public static CurvePoint Solve(this ExtrapolationShort extraShort, CurvePoint min, Maturity maturity)
{
var p = min.ToPoint();
var x = maturity.ToX();
var point = extraShort.GetPoint(p, x);
return(CurvePoint.FromPoint(point, min.Price.Currency));
}
public CurveRecipe(Guid id, Tenor lastLiquidTenor, DayCountConvention dayCountConvention, Interpolation interpolation,
ExtrapolationShort extrapolationShort, ExtrapolationLong extrapolationLong, OutputFrequency outputFrequency, OutputType outputType, params OrderedTransformation[] transformations)
{
Id = id;
LastLiquidTenor = lastLiquidTenor;
DayCountConvention = dayCountConvention;
Interpolation = interpolation;
ExtrapolationShort = extrapolationShort;
ExtrapolationLong = extrapolationLong;
OutputFrequency = outputFrequency;
OutputType = outputType;
_transformations = transformations?.ToImmutableArray() ?? ImmutableArray <OrderedTransformation> .Empty;
}
private CurvePoint ResolveMaturity(Maturity maturity, IEnumerable <CurvePoint> points)
{
var alreadyExistingPoint = points.FirstOrDefault(p => p.Maturity == maturity);
if (alreadyExistingPoint != null)
{
return(alreadyExistingPoint);
}
var minPoint = points
.OrderBy(p => p.Maturity)
.First();
if (maturity < minPoint.Maturity)
{
return(ExtrapolationShort.Solve(minPoint, maturity));
}
var maxPoint = points
.OrderBy(p => p.Maturity)
.Last();
if (maturity > maxPoint.Maturity)
{
return(ExtrapolationLong.Solve(maxPoint, maturity));
}
var before = points
.Where(p => p.Maturity < maturity)
.OrderBy(p => p.Maturity)
.Last();
var after = points
.Where(p => p.Maturity > maturity)
.OrderBy(p => p.Maturity)
.First();
return(Interpolation.Solve(before, after, maturity));
}
public CurveRecipe Define(NonEmptyGuid marketCurveId, NonEmptyString shortName, NonEmptyString description, Tenor lastLiquidTenor, DayCountConvention dayCountConvention, Interpolation interpolation, ExtrapolationShort extrapolationShort,
ExtrapolationLong extrapolationLong, OutputFrequency outputFrequency, OutputType outputType)
{
var @event = CurveRecipeCreated(marketCurveId, shortName, description, lastLiquidTenor, dayCountConvention, interpolation, extrapolationShort,
extrapolationLong, outputFrequency.OutputSeries, outputFrequency.MaximumMaturity.Value, outputType);
GenerateEvent(@event);
return(this);
}
private static Point GetPoint(this ExtrapolationShort extrapolation, Point p, X x) => extrapolation switch
{
