private static TermCurve ConvertTermCurve(TermCurve termCurve, DateTime baseDate, int centralBankDateRuleMonths, IDayCounter dayCounter)
{
var interpolationMethod = new InterpolationMethod
{
Value = "PiecewiseConstantRateInterpolation"
};
termCurve.interpolationMethod = interpolationMethod;
var lastDate = (DateTime)termCurve.point[termCurve.point.Length - 1].term.Items[0];
return(InterpolateGapStepTermPoints(termCurve, CentralBanksHelper.GetCentralBankDays(baseDate, _centralBank, centralBankDateRuleMonths, lastDate), baseDate, dayCounter));//Add the extra points..
}
//TODO add EOM, EOQ and EOY perturbation: this transfers the step to the specific day.
//Also needs to add EOM swaps to the asset config file.
/// <summary>
/// The main ctor.
/// </summary>
/// <param name="termCurve"></param>
/// <param name="baseDate"></param>
/// <param name="centralBankDateRuleMonths"></param>
/// <param name="centralBank"></param>
/// <param name="dayCounter"></param>
public GapStepInterpolator(TermCurve termCurve, DateTime baseDate, int centralBankDateRuleMonths,
CentralBanks centralBank, IDayCounter dayCounter)
: base(ConvertTermCurve(termCurve, baseDate, centralBankDateRuleMonths, dayCounter), baseDate, dayCounter)
{
CentralBankDateRuleMonths = centralBankDateRuleMonths;
_centralBank = centralBank;//var names = Enum.GetNames(typeof(AssetFactory.Types));
//TODO remove this once working.
var lastDate = (DateTime)termCurve.point[termCurve.point.Length - 1].term.Items[0];
CentralBankDays = CentralBanksHelper.GetCentralBankDays(baseDate, centralBank, centralBankDateRuleMonths, lastDate);
TermCurve = InterpolateGapStepTermPoints(termCurve, CentralBankDays, baseDate, dayCounter);
}