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
}
}
// return array of curves, initialised after shifting mktRateSet elements
public ISingleRateCurve[] ShiftedCurveArray(double shift)
{
// i-curve is built using its setup (interpolator,..), but shifting i-element of mktRateSet
// up of 'shift' quantity
RateSet[] rsArr = mktRateSet.ShiftedRateSetArray(shift); // array of shifted RateSet (my scenario)
int n = rsArr.Length; // number of elements
ISingleRateCurve[] curves = new ISingleRateCurve[n]; // array of curves
for (int i = 0; i < n; i++)
{ // iterate to build all curve needed
curves[i] = CreateInstance(rsArr[i]); // build the correct curve
}
return(curves);
}
public IMultiRateCurve CreateInstance(RateSet newRateSet, ISingleRateCurve newDiscountingCurve)
{
return(new MultiCurveBuilder <Interpolation>(newRateSet, newDiscountingCurve));
}
// Constructor
public MultiCurveBuilder3(RateSet rateSetMC, ISingleRateCurve DiscountingCurve)
{
PrePorcessData(rateSetMC, DiscountingCurve);
Solve();
}