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));
}
