public Zc(DateTime date, DateTime payDate, Currency currency, FinancingId financingId)
{
FinancingId = financingId;
Currency = currency;
PayDate = payDate;
Date = date;
}
private static Market Market()
{
var refDate = DateTime.Parse("07/06/2009");
var time = TimeMeasure.Act365(refDate);
var pillars = new[] { refDate + Duration.Year, refDate + 2 * Duration.Year, refDate + 3 * Duration.Year, refDate + 5 * Duration.Year };
var zcRates = new[] { 0.0010, 0.003, 0.005, 0.008 };
var zcs = zcRates.Select((r, i) => Math.Exp(-time[pillars[i]] * r)).ToArray();
DiscountCurve discountCurve = DiscountCurve.LinearRateInterpol(
FinancingId.RiskFree(Currency.Eur),
pillars, zcs, time);
var market = new Market(new[] { discountCurve }, new AssetMarket[0]);
return(market);
}
public static object Discount(object mktObj, object[,] dates, string curveId)
{
return(FunctionRunnerUtils.Run("Discount", () =>
{
var market = MarketManager.Instance.GetMarket(mktObj);
var finCurveId = FinancingId.Parse(curveId);
DiscountCurve curve = market.DiscountCurve(finCurveId);
var result = dates.Map(o =>
{
var dateOrDuration = DateAndDurationConverter.ConvertDateOrDuration(o);
var date = dateOrDuration.ToDate(curve.RefDate);
return curve.Zc(date);
});
return result;
}));
}
private static AssetMarket[] ProcessAssetMkt(object[,] bag, DateTime refDate, DiscountCurve[] discountCurves)
{
var eqtyTime = TimeMeasure.Act365(refDate);
var assetRawDatas = bag.ProcessLabelledMatrix("Asset", o => o.ToString(), o => o.ToString(), o => o);
TimeMatrixDatas repoRawDatas = bag.ProcessTimeMatrixDatas("Repo");
var repoPillars = repoRawDatas.RowLabels
.Select(dOrDur => dOrDur.ToDate(refDate)).ToArray();
var assetMkts = new List <AssetMarket>();
for (int i = 0; i < assetRawDatas.RowLabels.Length; i++)
{
var assetName = assetRawDatas.RowLabels[i];
var rawCurrency = assetRawDatas.GetColFromLabel("Currency")[i].ToString();
object rawSpot = assetRawDatas.GetColFromLabel("Spot")[i];
var currency = Currency.Parse(rawCurrency);
var assetId = new AssetId(assetName, currency);
double spot;
if (!NumberConverter.TryConvertDouble(rawSpot, out spot))
{
throw new ArgumentException(String.Format("AssetMarketFactory, invalid {0} spot : {1}", assetName, rawSpot));
}
double[] repoRates = repoRawDatas.GetColFromLabel(assetName);
var repoZcs = repoRates.Select((r, idx) => Math.Exp(-eqtyTime[repoPillars[idx]] * r)).ToArray();
var repoCurve = DiscountCurve.LinearRateInterpol(FinancingId.AssetCollat(assetId), repoPillars, repoZcs, eqtyTime);
var divQuotes = ProcessDiv(bag, refDate, assetName);
var volMatrix = AssetVolMatrix(bag, eqtyTime, assetName);
var riskFreeDiscount = discountCurves.Single(curve => curve.Financing.Equals(FinancingId.RiskFree(currency)));
var mkt = new AssetMarket(assetId, refDate, eqtyTime,
spot, riskFreeDiscount, repoCurve,
divQuotes, volMatrix);
assetMkts.Add(mkt);
}
return(assetMkts.ToArray());
}
private static DiscountCurve[] RateCurveFromRawDatas(TimeMatrixDatas curveRawDatas, DateTime refDate)
{
var rateTimeInterpol = RateTimeMeasure(refDate);
DateTime[] datePillars = curveRawDatas.RowLabels
.Select(dOrDur => dOrDur.ToDate(refDate)).ToArray();
var curves = new List <DiscountCurve>();
foreach (var curveLabel in curveRawDatas.ColLabels)
{
FinancingId financingId;
if (!FinancingId.TryParse(curveLabel, out financingId))
{
throw new ArgumentException(String.Format("RateMarketFactory, invalid Discount Curve Id : {0}", curveLabel));
}
double[] zcs = curveRawDatas.GetColFromLabel(curveLabel);
var discountCurve = DiscountCurve.LinearRateInterpol(financingId, datePillars, zcs, rateTimeInterpol);
curves.Add(discountCurve);
}
return(curves.ToArray());
}
public Leg(TCoupon[] coupons)
{
this.coupons = coupons;
financing = coupons.Select(cpn => cpn.Financing).Distinct().Single();
}
