public RateMaster(DateTime tradeDate, DateTime endDate, List <ParRateElf> parRateElfList, List <DateTime> holidays)
{
this.TradeDate = tradeDate;
this.m_parRateElfList = parRateElfList;
this.m_tradeDateAx = new TradeDateAx(tradeDate, endDate, holidays);
this.SpotDate = m_tradeDateAx.GetSettlementDate(TradeDate, 0).Item1;
}
public YieldElf[] GetCurve(int year)
{
List <YieldElf> yieldList = new List <YieldElf>();
//foreach (var item in this.ParRateList)
//{
// (double zero, double FR, double DF, double newZero, double rate) = GetYield_T(item.DaysAct, item.DaysAct - 90 / 365d);
// yieldList.Add(new YieldElf(item, FR));
//}
for (int i = 0; i < year; i++)
{
for (int j = 1; j <= 4; j++)
{
int tenor = i * 12 + j * 3; //#每3個月
EnumTenorUnit unit = EnumTenorUnit.Month;
double rate = 0;
EnumRateMarket market = EnumRateMarket.None;
DateTime startDate = DateTime.Today;
(DateTime endDate, bool isLastDay, double days) = m_tradeDateAx.GetSettlementDate(startDate, (i * 4) + j);
double daysAct = days / 365d;
(double zero, double fr, double df, double newZero, double swap) = GetYield_T(daysAct);
YieldElf yieldElf = new YieldElf(tenor, unit, rate, market, startDate, endDate, days, daysAct, zero, df, fr);
bool exist = (from item in yieldList
where item.Days == days
select item).Any();
if (!exist) //# 如果已經存在就不要加入了
{
yieldList.Add(yieldElf);
}
}
}
var query = (from item in yieldList
orderby item.Days
select item).ToArray();
return(query);
}