/// <summary>
/// An inital test to see if the guess was good..
/// </summary>
/// <returns></returns>
public Boolean InitialValue()
{
var curve = new SimpleFxCurve(_baseDate, _interpolationMethod, _extrapolation, _dates, _dfs);
var impliedQuote = _priceableAsset.CalculateImpliedQuote(curve);
var marketQuote = MarketQuoteHelper.NormalisePriceUnits(_priceableAsset.MarketQuote, "DecimalRate").value;
var quoteError = (double)(marketQuote - impliedQuote);
return(Math.Abs(quoteError) < _cTolerance);
}
static public IMarketEnvironment CreateSimpleFxCurve(string curveName, DateTime baseDate, Double[] times, Double[] dfs)
{
var market = new MarketEnvironment();
var interpMethod = InterpolationMethodHelper.Parse("LinearInterpolation");
var curve = new SimpleFxCurve(baseDate, interpMethod, true, times, dfs);
market.AddPricingStructure(curveName, curve);
return(market);
}
/// <summary>
/// Values the specified discount factor.
/// </summary>
/// <param name="discountFactor">The discount factor.</param>
/// <returns>Quote error - difference between market quote and implied (from the bootstrapped term structure) quote</returns>
public double Value(double discountFactor)
{
_dfs[_dfs.Count - 1] = discountFactor;
var curve = new SimpleFxCurve(_baseDate, _interpolationMethod, _extrapolation, _dates, _dfs);
var impliedQuote = _priceableAsset.CalculateImpliedQuote(curve);
var marketQuote = MarketQuoteHelper.NormalisePriceUnits(_priceableAsset.MarketQuote, "DecimalRate").value;
var quoteError = (double)(marketQuote - impliedQuote);
return(quoteError);
}
