public Dictionary <string, IPriceCurve> GetDeltaScenarios(double bumpSize, DateTime?LastDateToBump)
{
var o = new Dictionary <string, IPriceCurve>();
var cSpot = new ContangoPriceCurve(BuildDate, Spot + bumpSize, SpotDate, PillarDates, Contangos, _currencyProvider, Basis)
{
SpotCalendar = SpotCalendar,
SpotLag = SpotLag
};
o.Add("Spot", cSpot);
return(o);
}
public IPriceCurve RebaseDate(DateTime newAnchorDate)
{
var newSpotDate = newAnchorDate.SpotDate(SpotLag, SpotCalendar, SpotCalendar);
var newSpot = GetPriceForDate(newSpotDate);
var fwds = PillarDates.Select(p => GetPriceForDate(p)).ToArray();
var times = PillarDates.Select(p => newSpotDate.CalculateYearFraction(p, Basis)).ToArray();
var newCtgos = fwds.Select((f, ix) => times[ix] == 0 ? 0.0 : (f / newSpot - 1.0) / times[ix]).ToArray();
var o = new ContangoPriceCurve(newAnchorDate, newSpot, newSpotDate, PillarDates, newCtgos, _currencyProvider, Basis, PillarLabels)
{
AssetId = AssetId,
Currency = Currency,
Name = Name,
SpotCalendar = SpotCalendar,
SpotLag = SpotLag
};
return(o);
}
