public RateCurve(FinCADTable value)
{
var array = value.ObjectTable;
mValues = new Dictionary<decimal, double>();
for (int i = 0; i < array.GetLength(0); i++)
{
mValues.Add((decimal)((double)array[i, 0]), (double)array[i, 1]);
}
}
public GenericTable Calculate(DateTime valueDate, DateTime settleDate, DateTime maturity, decimal coupon, string[] futures) // assume 1m size
{
try
{
mSettlement = settleDate;
mValueDate = valueDate;
CreateFuturesStrip(futures);
if (mSettlement < mTEDFutures.First().Maturity)
{
mSettlement = mTEDFutures.First().Maturity;
}
CreateCashflows(mSettlement, maturity, coupon);
mFirstTED = FindFirstTED(mSettlement);
foreach(var cashflow in mCashflows)
{
DiscountCashflow(cashflow);
CalculateWeights(cashflow);
}
var strip = new double[mTEDFutures.Length, 1];
foreach(var future in mTEDFutures)
{
strip[future.No, 0] = mTEDFutures[future.No].Weight;
}
var fcTable = new FinCADTable();
fcTable.FromDoubleArray(strip);
return new GenericTable { Table = fcTable };
}
catch (Exception ex)
{
SLog.log.Error("Error calculating ED hedge ratios", ex);
}
return null;
}
public GenericTable()
{
Table = null;
}
public DiscountCurve(FinCADTable table)
{
Table = table;
}
