bool CellLocationHasEast(CellLocation testLocation)
{
if (testLocation.x == NumBuildingBlocksAcross - 1)
{
return(false);
}
BuildingBlockType testType = buildingBlockTypeGrid[testLocation.x, testLocation.z];
switch (testType)
{
case BuildingBlockType.WNES:
case BuildingBlockType.WE:
case BuildingBlockType.NE:
case BuildingBlockType.ES:
case BuildingBlockType.WNE:
case BuildingBlockType.WES:
case BuildingBlockType.NES:
case BuildingBlockType.Ex:
return(true);
default:
return(false);
}
}
// Members
// Add a rate
public void Add(double Value, string Maturity, BuildingBlockType Type)
{
RateSet aRate = new RateSet(Value, Maturity, Type);
aRate.refDate = this.refDate; // get the same ref Date. Needed in CompareTo
List.Add(aRate);
}
bool CellLocationHasNorth(CellLocation testLocation)
{
if (testLocation.z == NumBuildingBlocksUp - 1)
{
return(false);
}
BuildingBlockType testType = buildingBlockTypeGrid[testLocation.x, testLocation.z];
switch (testType)
{
case BuildingBlockType.WNES:
case BuildingBlockType.NS:
case BuildingBlockType.NE:
case BuildingBlockType.WN:
case BuildingBlockType.WNE:
case BuildingBlockType.NES:
case BuildingBlockType.WNS:
case BuildingBlockType.Nx:
return(true);
default:
return(false);
}
}
bool CellLocationHasSouth(CellLocation testLocation)
{
if (testLocation.z == 0)
{
return(false);
}
BuildingBlockType testType = buildingBlockTypeGrid[testLocation.x, testLocation.z];
switch (testType)
{
case BuildingBlockType.WNES:
case BuildingBlockType.NS:
case BuildingBlockType.WS:
case BuildingBlockType.ES:
case BuildingBlockType.WES:
case BuildingBlockType.NES:
case BuildingBlockType.WNS:
case BuildingBlockType.Sx:
return(true);
default:
return(false);
}
}
protected void PrePorcessData(RateSet rateSetMC, ISingleRateCurve DiscountingCurve)
{
this.refDate = rateSetMC.refDate;
this.DCurve = DiscountingCurve; // my curve used in discounting
FWDInterpolator = new Interpolation(); // Interpolator used in fwd
this.mktRateSet = rateSetMC; // pass market rate set
// Create Building block
IEnumerable <BuildingBlock> BB = mktRateSet.GetArrayOfBB();
// Sort ascending end date
BBArray = from c in BB
orderby c.endDate.SerialValue ascending
select c;
// Only Given Swap from BBArray
OnlyGivenSwap = (from c in BBArray
where c.GetType().BaseType == typeof(SwapStyle)
select(SwapStyle) c).ToArray();
// validating underlying tenor: swap should be all vs the same tenor
string UnderlyingTenor = ((SwapStyle)OnlyGivenSwap.First()).swapLeg2.UnderlyingRateTenor;
// Getting the fixing
fixing = (from c in BBArray
where c.GetType().BaseType == typeof(OnePaymentStyle)
where c.endDate == refDate.add_period(UnderlyingTenor)
select c.rateValue).Single();
// From date of each fwd rate from longer swap(LS)
// FromDatesSerial = Date.GetSerialValue(OnlyGivenSwap.Last().scheduleLeg2.fromDates);
List <double> SerialDate = (from c in OnlyGivenSwap
select c.scheduleLeg2.fromDates.Last().SerialValue).ToList <double>();
// adding reference date at beginning (this is important since I use the fixing)
SerialDate.Insert(0, refDate.SerialValue);
FromDatesSerial = SerialDate.ToArray();
// some data validation: swap should be all of same building block
// the type of building block
BuildingBlockType BBT = OnlyGivenSwap[0].buildingBlockType;
// Are all them the same?
bool IsSameSwapType = OnlyGivenSwap.All(s => s.buildingBlockType == BBT);
if (IsSameSwapType) // if true
{
// it is swap type used as inputs (i.e. EurSwapVs6m, EurSwapVs3m, ...)
SwapType = (SwapStyle) new BuildingBlockFactory().CreateEmptyBuildingBlock(BBT);
}
else
{
throw new ArgumentException("error in building blocktype"); // if not throw an exception
}
}
Transform GetPrefabFromBuildingBlockType(BuildingBlockType bbType)
{
switch (bbType)
{
case BuildingBlockType.Empty:
return(PrefabBuildingBlock_Empty);
case BuildingBlockType.WNES:
return(PrefabBuildingBlock_WNES);
case BuildingBlockType.WE:
return(PrefabBuildingBlock_WE);
case BuildingBlockType.NS:
return(PrefabBuildingBlock_NS);
case BuildingBlockType.WN:
return(PrefabBuildingBlock_WN);
case BuildingBlockType.NE:
return(PrefabBuildingBlock_NE);
case BuildingBlockType.ES:
return(PrefabBuildingBlock_ES);
case BuildingBlockType.WS:
return(PrefabBuildingBlock_WS);
case BuildingBlockType.WNE:
return(PrefabBuildingBlock_WNE);
case BuildingBlockType.WES:
return(PrefabBuildingBlock_WES);
case BuildingBlockType.NES:
return(PrefabBuildingBlock_NES);
case BuildingBlockType.WNS:
return(PrefabBuildingBlock_WNS);
case BuildingBlockType.Wx:
return(PrefabBuildingBlock_Wx);
case BuildingBlockType.Nx:
return(PrefabBuildingBlock_Nx);
case BuildingBlockType.Ex:
return(PrefabBuildingBlock_Ex);
case BuildingBlockType.Sx:
return(PrefabBuildingBlock_Sx);
default:
return(PrefabBuildingBlock_Empty);
}
}
ArrayList GetListOfAllBuildingBlockTypes()
{
ArrayList returnList = new ArrayList();
foreach (BuildingBlockType value in BuildingBlockType.GetValues(typeof(BuildingBlockType)))
{
returnList.Add(value);
}
return(returnList);
}
string IRate.AddMultiCurve(string idCode, double RefDate, object DfTenor, object DfRates, string DfType,
object FwdTenor, object FwdRates, string FwdType, string FixingTenor, double FixingValue)
{
#region Market Rates for discounting
RateSet dfMktRates = new RateSet(new Date(RefDate));
double[] dfRates = (double[])DfRates;
string[] dfTenor = (string[])DfTenor;
int MaxDfRates = dfTenor.Count();
BuildingBlockType dfType = (BuildingBlockType)Enum.Parse(typeof(BuildingBlockType), DfType);
for (int i = 0; i < MaxDfRates; i++)
{
dfMktRates.Add(dfRates[i], dfTenor[i], dfType);
}
#endregion
#region Market Rates for forwarding
RateSet fwdMktRates = new RateSet(new Date(RefDate));
double[] fwdRates = (double[])FwdRates;
string[] fwdTenor = (string[])FwdTenor;
int MaxFwdRates = fwdTenor.Count();
BuildingBlockType fwdType = (BuildingBlockType)Enum.Parse(typeof(BuildingBlockType), FwdType);
fwdMktRates.Add(FixingValue, FixingTenor, BuildingBlockType.EURDEPO);
for (int i = 0; i < MaxFwdRates; i++)
{
fwdMktRates.Add(fwdRates[i], fwdTenor[i], fwdType);
}
#endregion
#region InizializeMyCurve
SingleCurveBuilderStandard <OnDf, LinearInterpolator> DCurve = new SingleCurveBuilderStandard <OnDf, LinearInterpolator>(dfMktRates, OneDimensionInterpolation.Linear);
MultiCurveBuilder <SimpleCubicInterpolator> MultiCurve = new MultiCurveBuilder <SimpleCubicInterpolator>(fwdMktRates, DCurve);
#endregion
#region UpDating Dictionary
try
{
if (MCDictionary.ContainsKey(idCode) == true) // check if idCode is in dictionary
{
MCDictionary[idCode] = MultiCurve; // if true, updates it
}
else
{
MCDictionary.Add(idCode, MultiCurve); // if false, adds it
}
return("Loaded @ " + DateTime.Now.ToString()); // return time of last load
}
catch (Exception e)
{
return((string)e.ToString());
}
#endregion
}
void Awake()
{
if (instance != null && instance != this)
{
Destroy(this.gameObject);
return;
}
instance = this;
DontDestroyOnLoad(this.gameObject);
for (int i = 0; i < allBuildingBlockTypes.Length; i++)
{
BuildingBlockType bbt = allBuildingBlockTypes[i];
BuildingBlock buildingBlock = new BuildingBlock(i, bbt.blockName, bbt.prefab);
buildingBlockDictionary.Insert(i, buildingBlock);
Debug.Log("Block added to dictionary " + buildingBlockDictionary[i].blockName);
}
}
public RateSet mktRateSet; // market starting data
// constructor: RateSet rateSet are market data inputs
public SingleCurveBuilder(RateSet rateSet)
{
// RefDate
refDate = rateSet.refDate;
PostProcessInterpo = new Interpolation(); // Post process interpolator
interpAdapter = new DoInterpOn();
mktRateSet = rateSet;
// Create Building block
IEnumerable <BuildingBlock> BB = rateSet.GetArrayOfBB();
// Sort ascending end date
BBArray = from c in BB
orderby c.endDate.SerialValue ascending
select c;
// Only Given Swap from BBArray
OnlyGivenSwap = (from c in BBArray
where c.GetType().BaseType == typeof(SwapStyle)
select(SwapStyle) c).ToArray();
// some data validation: swap should be all of same building block
// the type of building block
BuildingBlockType BBT = OnlyGivenSwap[0].buildingBlockType;
// Are all them the same?
bool IsSameSwapType = OnlyGivenSwap.All(s => s.buildingBlockType == BBT);
if (IsSameSwapType) // if true
{
// it is swap type used as inputs (i.e. EurSwapVs6m, EurSwapVs3m, ...)
SwapType = (SwapStyle) new BuildingBlockFactory().CreateEmptyBuildingBlock(BBT);
}
else
{
throw new ArgumentException("error in building blocktype"); // if not throw an exception
}
}
// According to BuildingBlockType will create an empty building block (so no rate, no tenor, no ref date).
// Empty building block is used to have info stored in Load Specifications()
public BuildingBlock CreateEmptyBuildingBlock(BuildingBlockType myBuildingBlockType)
{
if (myBuildingBlockType == BuildingBlockType.EURZERORATE)
{
return(new EurZeroRate());
}
else if (myBuildingBlockType == BuildingBlockType.EURDEPO)
{
return(new EurDepo());
}
else if (myBuildingBlockType == BuildingBlockType.EURSWAP6M)
{
return(new EurSwapVs6m());
}
else if (myBuildingBlockType == BuildingBlockType.EURSWAP3M)
{
return(new EurSwapVs3m());
}
else if (myBuildingBlockType == BuildingBlockType.EURBASIS6M3M)
{
return(new EurSwap6mVs3m());
}
else if (myBuildingBlockType == BuildingBlockType.EONIASWAP)
{
return(new EoniaSwap());
}
else
{
return(null);
}
}
Transform GetPrefabFromBuildingBlockType(BuildingBlockType bbType)
{
switch (bbType)
{
case BuildingBlockType.Empty:
return PrefabBuildingBlock_Empty;
case BuildingBlockType.WNES:
return PrefabBuildingBlock_WNES;
case BuildingBlockType.WE:
return PrefabBuildingBlock_WE;
case BuildingBlockType.NS:
return PrefabBuildingBlock_NS;
case BuildingBlockType.WN:
return PrefabBuildingBlock_WN;
case BuildingBlockType.NE:
return PrefabBuildingBlock_NE;
case BuildingBlockType.ES:
return PrefabBuildingBlock_ES;
case BuildingBlockType.WS:
return PrefabBuildingBlock_WS;
case BuildingBlockType.WNE:
return PrefabBuildingBlock_WNE;
case BuildingBlockType.WES:
return PrefabBuildingBlock_WES;
case BuildingBlockType.NES:
return PrefabBuildingBlock_NES;
case BuildingBlockType.WNS:
return PrefabBuildingBlock_WNS;
case BuildingBlockType.Wx:
return PrefabBuildingBlock_Wx;
case BuildingBlockType.Nx:
return PrefabBuildingBlock_Nx;
case BuildingBlockType.Ex:
return PrefabBuildingBlock_Ex;
case BuildingBlockType.Sx:
return PrefabBuildingBlock_Sx;
default:
return PrefabBuildingBlock_Empty;
}
}
public BuildingBlock(BuildingBlockType buildingBlockType, ILocation location)
{
Location = location;
BuildingBlockType = buildingBlockType;
}
public BuildingBlockData(Vector3 _pos, BuildingBlockType type, Quaternion _rot = new Quaternion())
{
pos = _pos;
blockType = type;
rot = _rot;
}
public void Initialize(Vector3 pos, BuildingBlockType type)
{
transform.position = pos;
blockType = type;
}
private IBuildingBlockIdentifier GetBuildingBlockIdentifier(IMazeSchema mazeSchema, BuildingBlockType buildingBlockType)
{
return((from x in mazeSchema.GetBuildingBlockDefinations()
where x.GetBuildingBlockType() == buildingBlockType
select x).FirstOrDefault());
}
public BuildingBlock CreateBuildingBlock(Date refDate, double rateValue, string tenor, BuildingBlockType type)
{
switch (type)
{
case BuildingBlockType.EURZERORATE:
return(new EurZeroRate(refDate, rateValue, tenor));
case BuildingBlockType.EURDEPO:
break;
case BuildingBlockType.EURSWAP3M:
break;
case BuildingBlockType.EURSWAP6M:
break;
case BuildingBlockType.EONIASWAP:
break;
case BuildingBlockType.EURBASIS6M3M:
break;
default:
return(null);
}
return(null);
}
public BuildingBlock CreateEmptyBuildingBlock(BuildingBlockType type)
{
return(null);
}
// Set type
public void SetType(BuildingBlockType Type)
{
this.T = Type;
}
} // Copy Constructor
// Constructor needs value or rate, tenor of rate as string and building block type
public RateSet(double Value, string Maturity, BuildingBlockType Type)
: this(Value, new Period(Maturity), Type)
{
}
// Constructor needs value or rate, tenor of rate as period and building block type
public RateSet(double Value, Period Maturity, BuildingBlockType Type)
{
this.M = Maturity;
this.V = Value;
this.T = Type;
}
// According to BuildingBlockType will crate the right BuildingBlock
public BuildingBlock CreateBuildingBlock(Date RefDate, double rateValue, string TenorString, BuildingBlockType myBuildingBlockType)
{
if (myBuildingBlockType == BuildingBlockType.EURZERORATE)
{
return(new EurZeroRate(RefDate, rateValue, TenorString));
}
else if (myBuildingBlockType == BuildingBlockType.EURDEPO)
{
return(new EurDepo(RefDate, rateValue, TenorString));
}
else if (myBuildingBlockType == BuildingBlockType.EURSWAP6M)
{
return(new EurSwapVs6m(RefDate, rateValue, TenorString));
}
else if (myBuildingBlockType == BuildingBlockType.EURSWAP3M)
{
return(new EurSwapVs3m(RefDate, rateValue, TenorString));
}
else if (myBuildingBlockType == BuildingBlockType.EURBASIS6M3M)
{
return(new EurSwap6mVs3m(RefDate, rateValue, TenorString));
}
else if (myBuildingBlockType == BuildingBlockType.EONIASWAP)
{
return(new EoniaSwap(RefDate, rateValue, TenorString));
}
else
{
return(null);
}
}
public BuildingBlockIdentifier(BuildingBlockType buildingBlockType, string defination)
{
Defination = defination;
BuildingBlockType = buildingBlockType;
}
public virtual IBuildingBlockIdentifier CreateBuildingBlockIdentifier(BuildingBlockType buildingBlockType, string defination)
{
return(new BuildingBlockIdentifier(buildingBlockType, defination));
}
