public string PublishCurve(object[][] structurePropertiesRange, object[][] publishPropertiesRange, object[][] valuesRange)
{
// Create curve
IPricingStructure pricingStructure = PricingStructureFactory.CreatePricingStructure(Logger.Target, Cache, NameSpace, structurePropertiesRange, valuesRange);
// Get properties needed
Market market = GetMarket(pricingStructure);
string uniqueIdentifier = pricingStructure.GetPricingStructureId().UniqueIdentifier;
NamedValueSet properties = pricingStructure.GetPricingStructureId().Properties;
// Save
Publish(market, uniqueIdentifier, properties, publishPropertiesRange);
return(uniqueIdentifier);
}
public string PublishVolatilityCube(object[][] structurePropertiesRange, object[][] publishPropertiesRange, object[][] strikesOrTenorsRange, object[][] valuesRange)
{
// Translate into useful objects
NamedValueSet structureProperties = structurePropertiesRange.ToNamedValueSet();
var data = (object[, ])PricingStructureFactory.TrimNulls(valuesRange.ConvertArrayToMatrix());
decimal[] strikes = strikesOrTenorsRange.ConvertToOneDimensionalArray <decimal>();
string[] expiries = PricingStructureFactory.ExtractExpiries(data).Distinct().ToArray();
string[] tenors = PricingStructureFactory.ExtractTenors(data).Distinct().ToArray();
decimal[,] vols = PricingStructureFactory.ConvertToDecimalArray(data, 2);
// Create curve
var volatilityCube = new VolatilityCube(structureProperties, expiries, tenors, vols, strikes);
// Get properties needed
Market market = GetMarket(volatilityCube);
string uniqueIdentifier = volatilityCube.GetPricingStructureId().UniqueIdentifier;
NamedValueSet properties = volatilityCube.GetPricingStructureId().Properties;
// Save
Publish(market, uniqueIdentifier, properties, publishPropertiesRange);
return(uniqueIdentifier);
}
