//To transform par to discount, get the par rates needed
private static Curve GetParCurveForTransformationToDiscount(Curve curve)
{
var inputTermsAndRates = curve.TermsAndRates;
var freqTimesteps = decimal.Divide(1, (decimal)curve.CompoundingFrequency.Value);;
var requiredTerms = Array.ConvertAll(CreateArrayConstantIncrement((decimal)inputTermsAndRates.Keys.Max(), freqTimesteps, freqTimesteps), x => (double)x);
if (requiredTerms.Any(x => !inputTermsAndRates.ContainsKey(x)))
{
Log.Info("Par rates have not been given for every cashflow frequency. Linear interpolation will be done on the par rates for missing rates! If you would like to use a different interpolation method, interpolate before calling this method.");
}
var interpolator = new InterpolationModifier(InterpolationType.Linear, inputTermsAndRates);
var interpolatedTermsAndRates = interpolator.Interpolate(requiredTerms.ToArray());
var interpolatedParCurve = curve.Copy();
interpolatedParCurve.SetTermsAndRates(interpolatedTermsAndRates);
return(interpolatedParCurve);
}
static void Main()
{
var curveInfoFilePath = @"C:\Users\flori\OneDrive\Documents\Learning\C# Curves\Inputs\TestCurveInformation.csv";
var ratesFilePath = @"C:\Users\flori\OneDrive\Documents\Learning\C# Curves\Inputs\TestRates.csv";
var outputPathCurves = @"C:\Users\flori\OneDrive\Documents\Learning\C# Curves\Outputs\TransformedCurves.csv";
var curves = ParseCurves(curveInfoFilePath, ratesFilePath);
var adjustedCurves = new Dictionary <string, Curve>();
foreach (var curveWithName in curves)
{
var name = curveWithName.Key;
var curve = curveWithName.Value;
adjustedCurves.Add($"{name}_1base", curve);
//interpolated curve example
var interpolatedCurve = curve.Copy();
var interpolator = new InterpolationModifier(InterpolationType.Spline, curve.TermsAndRates);
interpolator.Interpolate(interpolatedCurve, MaturityType.Quarterly);
adjustedCurves.Add($"{name}_2interpolated", interpolatedCurve);
//extrapolated curve example
var extrapolatedCurve = interpolatedCurve.Copy();
var extrapolator = new ExtrapolationModifier(ExtrapolationType.Constant, interpolatedCurve.TermsAndRates);
extrapolator.Extrapolate(extrapolatedCurve, 100);
adjustedCurves.Add($"{name}_3extrapolated", extrapolatedCurve);
//transformed curve example forward
var transformedCurveDisc = extrapolatedCurve.Copy();
var curveTypeTransformerDisc = new CurveTypeTransformerFactory().GetTransformer(CurveType.Discount);
curveTypeTransformerDisc.Transform(transformedCurveDisc);
adjustedCurves.Add($"{name}_4transformedDisc", transformedCurveDisc);
//transformed curve example forward
var transformedCurveFwd = transformedCurveDisc.Copy();
var curveTypeTransformerFwd = new CurveTypeTransformerFactory().GetTransformer(CurveType.Forward);
curveTypeTransformerFwd.Transform(transformedCurveFwd);
adjustedCurves.Add($"{name}_5transformedFwd", transformedCurveFwd);
}
WriteRatesToCsv(adjustedCurves, outputPathCurves);
}
