public override void FromXML(XmlNode node)
{
// TODO: Implement correctly
//XmlNode conventionsNode = node.SelectSingleNode("Conventions");
CheckNode(node, "Conventions");
foreach (XmlNode child in node.ChildNodes)
{
if (child.NodeType == XmlNodeType.Comment)
{
continue;
}
Convention convention = new Convention();
string childName = child.Name;
if (childName == "Zero")
{
convention = new ZeroRateConvention();
}
else if (childName == "Deposit")
{
convention = new DepositConvention();
}
else if (childName == "Future")
{
convention = new FutureConvention();
}
else if (childName == "FRA")
{
convention = new FraConvention();
}
else if (childName == "OIS")
{
convention = new OisConvention();
}
else if (childName == "Swap")
{
convention = new IRSwapConvention();
}
//else if (childName == "AverageOIS")
//{
// convention.reset(new AverageOisConvention());
//}
//else if (childName == "TenorBasisSwap")
//{
// convention.reset(new TenorBasisSwapConvention());
//}
//else if (childName == "TenorBasisTwoSwap")
//{
// convention.reset(new TenorBasisTwoSwapConvention());
//}
else if (childName == "FX")
{
convention = new FXConvention();
}
//else if (childName == "CrossCurrencyBasis")
//{
// convention.reset(new CrossCcyBasisSwapConvention());
//}
//else if (childName == "CDS")
//{
// convention.reset(new CdsConvention());
//}
//else if (childName == "SwapIndex")
//{
// convention.reset(new SwapIndexConvention());
//}
//else if (childName == "InflationSwap")
//{
// convention.reset(new InflationSwapConvention());
//}
else
{
// Temporary before having implemented all conventions
continue;
//QLNet.Utils.QL_FAIL("Convention name, " + childName + ", not recognized.");
}
string id = child.SelectSingleNode("Id").FirstChild.Value;
try
{
//DLOG("Loading Convention " << id);
convention.FromXML(child);
Add(convention);
}
catch (Exception ex)
{
//Utils.QL_FAIL("Exception parsing convention XML Node (id = " + id + ") : " + ex.ToString());
//WLOG("Exception parsing convention " "XML Node (id = " << id << ") : " << e.what());
}
}
}
private void BuildDiscountCurve()
{
Utils.QL_REQUIRE(_curveSegments.Count <= 1, () => "More than one zero curve segment not supported yet.");
Utils.QL_REQUIRE(_curveSegments[0].CurveSegmentType() == YieldCurveSegment.Type.Zero, () => "The curve segment is not of type Zero.");
// Fill a vector of zero quotes.
List <ZeroQuote> zeroQuotes = new List <ZeroQuote>();
DirectYieldCurveSegment zeroCurveSegment = _curveSegments[0] as DirectYieldCurveSegment;
List <string> zeroQuoteIDs = zeroCurveSegment.Quotes();
for (int i = 0; i < zeroQuoteIDs.Count; ++i)
{
MarketDatum marketQuote = _loader.Get(zeroQuoteIDs[i], _asofDate);
if (marketQuote != null)
{
Utils.QL_REQUIRE(marketQuote.GetInstrumentType() == MarketDatum.InstrumentType.ZERO, () => "Market quote not of type zero.");
ZeroQuote zeroQuote = marketQuote as ZeroQuote;
zeroQuotes.Add(zeroQuote);
}
else
{
Utils.QL_FAIL("Could not find quote for ID " + zeroQuoteIDs[i] + " with as of date " + _asofDate + ".");
}
}
// Create the (date, zero) pairs.
Dictionary <Date, double> data = new Dictionary <Date, double>();
Convention convention = _conventions.Get(_curveSegments[0].ConventionsID());
Utils.QL_REQUIRE(convention != null, () => "No conventions found with ID: " + _curveSegments[0].ConventionsID());
Utils.QL_REQUIRE(convention.ConventionType() == Convention.Type.Zero, () => "Conventions ID does not give zero rate conventions.");
ZeroRateConvention zeroConvention = convention as ZeroRateConvention;
DayCounter quoteDayCounter = zeroConvention.DayCounter();
for (int i = 0; i < zeroQuotes.Count; ++i)
{
Utils.QL_REQUIRE(quoteDayCounter == zeroQuotes[i].DayCounter(), () => "The day counter should be the same between the conventions and the quote.");
if (!zeroQuotes[i].TenorBased())
{
data[zeroQuotes[i].Date()] = zeroQuotes[i].Quote().link.value();
}
else
{
Utils.QL_REQUIRE(zeroConvention.TenorBased(), () => "Using tenor based zero rates without tenor based zero rate conventions.");
Date zeroDate = _asofDate;
if (zeroConvention.SpotLag() > 0)
{
}
zeroDate = zeroConvention.SpotCalendar().advance(zeroDate, new Period(zeroConvention.SpotLag(), TimeUnit.Days));
zeroDate = zeroConvention.TenorCalendar().advance(zeroDate, zeroQuotes[i].Tenor(), zeroConvention.RollConvention(), zeroConvention.Eom());
data[zeroDate] = zeroQuotes[i].Quote().link.value();
}
}
Utils.QL_REQUIRE(data.Count > 0, () => "No market data found for curve spec " + _curveSpec.Name() + " with as of date " + _asofDate);
// \todo review - more flexible (flat vs. linear extrap)?
if (data.Keys.First() > _asofDate)
{
double rate = data.Values.First();
data[_asofDate] = rate;
//LOG("Insert zero curve point at time zero for " + curveSpec_.name() + ": "+ "date " + _asofDate + ", "+"zero " + data[_asofDate]);
}
Utils.QL_REQUIRE(data.Count > 1, () => "The single zero rate quote provided should be associated with a date greater than as of date.");
// First build temporary curves
List <Date> dates = new List <Date>();
List <double> zeroes = new List <double>();
List <double> discounts = new List <double>();
dates.Add(data.Keys.First());
zeroes.Add(data.Values.First());
discounts.Add(1.0);
Compounding zeroCompounding = zeroConvention.Compounding();
Frequency zeroCompoundingFreq = zeroConvention.CompoundingFrequency();
Dictionary <Date, double> it;
foreach (KeyValuePair <Date, double> kvp in data)
{
Date d = kvp.Key;
double r = kvp.Value;
dates.Add(d);
InterestRate tempRate = new InterestRate(r, quoteDayCounter, zeroCompounding, zeroCompoundingFreq);
double t = quoteDayCounter.yearFraction(_asofDate, d);
/* Convert zero rate to continuously compounded if necessary */
if (zeroCompounding == Compounding.Continuous)
{
zeroes.Add(r);
}
else
{
zeroes.Add(tempRate.equivalentRate(Compounding.Continuous, Frequency.Annual, t).value());
}
discounts.Add(tempRate.discountFactor(t));
//LOG("Add zero curve point for " + curveSpec_.name() + ": " + dates.Last() + " " + zeroes.Last() + " / " + discounts.Last());
}
Utils.QL_REQUIRE(dates.Count == zeroes.Count, () => "Date and zero vectors differ in size.");
Utils.QL_REQUIRE(dates.Count == discounts.Count, () => "Date and discount vectors differ in size.");
// Now build curve with requested conventions
if (_interpolationVariable == YieldCurve.InterpolationVariable.Zero)
{
YieldTermStructure tempCurve = Zerocurve(dates, zeroes, quoteDayCounter);
zeroes.Clear();
for (int i = 0; i < dates.Count; ++i)
{
double zero = tempCurve.zeroRate(dates[i], _zeroDayCounter, Compounding.Continuous).value();
zeroes.Add(zero);
}
_p = Zerocurve(dates, zeroes, _zeroDayCounter);
}
else if (_interpolationVariable == YieldCurve.InterpolationVariable.Discount)
{
YieldTermStructure tempCurve = Discountcurve(dates, discounts, quoteDayCounter);
discounts.Clear();
for (int i = 0; i < dates.Count; ++i)
{
double discount = tempCurve.discount(dates[i]);
discounts.Add(discount);
}
_p = Discountcurve(dates, discounts, _zeroDayCounter);
}
else
{
Utils.QL_FAIL("Unknown yield curve interpolation variable.");
}
}
