public SmoothCurveAndSettingsGroup(FitPhases phases_, CountryBondSource source_, BondField timeToMaturity_, Focus focus_, BondField minusField_, BondField minusFieldFitted_, int recalcNumber_, bool fitOnEvent_ = true)
: this(phases_, source_, timeToMaturity_, focus_, recalcNumber_, fitOnEvent_)
{
// explanation of logic of last 2 arguments
// false => don't want to continually recalc on the recalc cycle, but only once
// true => if the MinusOffset changes, we want to recalculate
DateTime thirtyYearsTime = DateTime.Today.AddYears(30);
MinusCMT = new CMTLine(source_.Market,focus_);
MinusCalculator = new SmoothCurveCalculator(
cml_: MinusCMT,
cmlStartTenor_: 1,
cmlEndTenor_: 34,
list_: source_.Lines.Where(x => x.Maturity <= thirtyYearsTime).ToList(),
timeToMaturityField_: timeToMaturity_,
valueField_: minusField_,
fittedValueField_: minusFieldFitted_,
recalcNumber_: recalcNumber_,
updateOnCalcEvent_: false,
updateOnMinusOffsetChange_: true,
settings_: Settings);
}
public SmoothCurveAndSettingsGroup(FitPhases phases_, CountryBondSource source_, BondField timeToMaturity_, Focus focus_, int recalcNumber_, bool fitOnEvent_=true)
{
m_settings = new SmoothCurveSettings(phases_);
LiveCMT = new CMTLine(source_.Market,focus_);
DateTime thirtyYearsTime = DateTime.Today.AddYears(34);
LiveCalculator = new SmoothCurveCalculator(
cml_: LiveCMT,
cmlStartTenor_: 1,
cmlEndTenor_: 34,
list_: source_.Lines.Where(x => x.Maturity <= thirtyYearsTime).ToList(),
timeToMaturityField_: timeToMaturity_,
valueField_: BondAnalysisLineHelper.GetFieldForFocusAndType(focus_,FieldType.Live),
fittedValueField_: BondAnalysisLineHelper.GetFieldForFocusAndType(focus_,FieldType.FittedLive),
recalcNumber_: recalcNumber_,
updateOnCalcEvent_: fitOnEvent_,
settings_: Settings);
}
private SmoothCurveCalculator createModDurationFitter()
{
m_modDurFitter = new SmoothCurveCalculator(
cml_: new CMTLine(Market,Focus.None),
cmlEndTenor_: 34,
cmlStartTenor_: 1,
list_: Lines,
timeToMaturityField_: BondField.TimeToMaturity,
valueField_: BondField.ModDuration,
fittedValueField_: BondField.None,
settings_: new SmoothCurveSettings(FitPhases.Double),
recalcNumber_: -1,
updateOnCalcEvent_: false);
m_modDurFitter.RebuildCurveAndApplyResults();
return m_modDurFitter;
}
