// Methods
#region Protected Methods used in constructor
// Prepare data to be used in Solve()
protected override void PreProcessInputs()
{
// PreProcessInputs()
// 1) fill missing data
// -find missing swap;
// -create them;
// -interpolate value of them according to interpolator
// 2) Create PreProcessedData: merge missing data with starting available data
// fill missing
int MaxSwapTenor = OnlyGivenSwap.Last().Tenor.tenor; // Max tenor of available swap
List <BuildingBlock> MissingSwapList = new List <BuildingBlock>(); // List of missing swap
// Add Missing Swap to MissingSwapList
BuildingBlockFactory f = new BuildingBlockFactory(); // factory to create missing building block
for (int i = 1; i < MaxSwapTenor; i++)
{
Period p = new Period(i, TenorType.Y); // needed period
if (!OnlyGivenSwap.Any(bb => bb.Tenor.GetPeriodStringFormat() == p.GetPeriodStringFormat()))
{
// Check if in OnlyGivenSwap period "p" exists.
// if not, it starts creating missing swap. Rate 0.0 just to initialise
MissingSwapList.Add(f.CreateBuildingBlock(refDate, 0.0, p.GetPeriodStringFormat(), SwapType.buildingBlockType));
}
}
// interpolate missing rate using given data: it interpolates directly on markets rate
IEnumerable <double> xGivenDays = from c in OnlyGivenSwap
select c.endDate.SerialValue;
IEnumerable <double> yGivenSwap = from c in OnlyGivenSwap
select c.rateValue;
// Set up interpolator
OneDimInterpFactory iFactory = new OneDimInterpFactory();
IInterpolate iSwap = iFactory.FactoryMethod(MissingRateInterp, xGivenDays.ToArray(), yGivenSwap.ToArray());
// Missing swap with interpolated value
IEnumerable <BuildingBlock> MissingSwap = from c in MissingSwapList
select f.CreateBuildingBlock(c.refDate, iSwap.Solve(c.endDate.SerialValue), c.Tenor.GetPeriodStringFormat(), c.buildingBlockType);
// Complete Filled data ready to be bootstrapped
PreProcessedData = from c in BBArray.Union(MissingSwap)
orderby c.endDate.SerialValue ascending
select c;
}
// Prepare data to be used in Solve()
protected override void PreProcessInputs()
{
/*
* 1) Check if input data are ok (data validation): from date contained
* 2) I choose the Longer Swap (LS)
* 3) I get array of dates of payment of LS (pass it to data member)
* 4) I get array of year fraction of LS (pass it to data member)
*/
// From date of each fwd rate from longer swap(LS)
List <double> FromDatesSerial = Date.GetSerialValue(OnlyGivenSwap.Last().scheduleLeg2.fromDates).ToList <double>();
// validating underlying tenor: swap should be all vs the same tenor
string UnderlyingTenor = ((SwapStyle)OnlyGivenSwap.First()).swapLeg2.UnderlyingRateTenor;
foreach (SwapStyle b in OnlyGivenSwap)
{
// Check if contained
if (!FromDatesSerial.Contains(((SwapStyle)b).scheduleLeg2.fromDates.Last().SerialValue))
{
throw new ArgumentException("From date not contained");
}
}
DateDf = new SortedList <double, double>(); // Inizialize DateDF
DateDf.Add(refDate.SerialValue, 1.0); // first discount factor
// IEnumerable<KeyValuePair<double,double>>
var f = from c in BBArray
where c.GetType().BaseType == typeof(OnePaymentStyle)
where c.endDate != refDate.add_period(UnderlyingTenor)
let yf = refDate.YF(c.endDate, c.dayCount) // year fraction
let df = Formula.DFsimple(yf, c.rateValue) // calculate discount factor
select new KeyValuePair <double, double>(c.endDate.SerialValue, df);
foreach (KeyValuePair <double, double> kpv in f)
{
DateDf.Add(kpv.Key, kpv.Value);
}
// 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();
// Inizialize some data member
SwapStyle LongerSwap = OnlyGivenSwap.Last(); // Swap with longer maturity
// Year Fraction of floating leg of longer swap. It is needed to calculate DF
yfFloatLegLongerSwap = LongerSwap.scheduleLeg2.GetYFVect(LongerSwap.swapLeg2.DayCount); // floating leg is leg 2
// Dates on which I calculate Df
DatesDfLongerSwap = Date.GetSerialValue(LongerSwap.scheduleLeg2.payDates);
// number of fwd rate to find
N = DatesDfLongerSwap.Length;
// fwd rate of longer swap
fwdGuessLongerSwap = new double[N];
fwdGuessLongerSwap[0] = fixing; // first is the fixing
}
