public static DiscountCurve LinearRateInterpol(FinancingId financing, DateTime[] pillars, double[] zcs, ITimeMeasure time)
{
if (pillars.Length != zcs.Length)
throw new Exception("LinearRateDiscountProvider : Incompatible size");
var dates = time[pillars];
var zcRates = new double[pillars.Length];
if (DoubleUtils.EqualZero(dates[0]))
{
if (!DoubleUtils.MachineEquality(1.0, zcs[0]))
throw new Exception("LinearRateInterpol : Discount for refDate must equal to 1.0 ");
zcRates[0] = 0.0;
}
else
{
zcRates[0] = -Math.Log(zcs[0]) / dates[0];
}
for (int i = 1; i < zcs.Length; i++)
{
zcRates[i] = -Math.Log(zcs[i]) / dates[i];
}
return new DiscountCurveFromRate(financing, time, RrFunctions.LinearInterpolation(dates, zcRates));
}
public static bool TryParse(string curveId, out FinancingId result)
{
result = null;
var splitted = curveId.Split('.');
if (splitted.Length != 2)
{
throw new Exception(string.Format("Not a valid FinancingCurveId : {0}", curveId));
}
Currency currency;
if (!Currency.TryParse(splitted[0], out currency))
{
return(false);
}
switch (splitted[1].Trim().ToLowerInvariant())
{
case "riskfree":
result = RiskFree(currency);
return(true);
}
return(false);
}
public ProductDiscount(DiscountCurve discount1, DiscountCurve discount2, FinancingId financing)
: base(discount1.RefDate, financing)
{
if (discount1.RefDate != discount2.RefDate)
throw new Exception("ProductDiscount : incompatible ref date !");
this.discount1 = discount1;
this.discount2 = discount2;
}
public DiscountCurve DiscountCurve(FinancingId financingId)
{
DiscountCurve curve;
if (!discountCurves.TryGetValue(financingId, out curve))
{
throw new Exception(string.Format("Missing discount curve : {0}", financingId));
}
return(curve);
}
protected bool Equals(FinancingId other)
{
return(string.Equals(id, other.id) && Equals(currency, other.currency));
}
public PaymentInfo(Currency currency, DateTime date)
: this(currency, date, FinancingId.RiskFree(currency))
{
}
public PaymentInfo(Currency currency, DateTime date, FinancingId financing)
{
Financing = financing;
Date = date;
Currency = currency;
}
public DiscountCurve RiskFreeDiscountCurve(Currency currency)
{
return(DiscountCurve(FinancingId.RiskFree(currency)));
}
public DiscountCurve AssetFinancingCurve(DiscountCurve cashFinancingCurve)
{
return(DiscountCurve.Product(RepoCurve, cashFinancingCurve, FinancingId.AssetCollat(Asset)));
}
public DiscountCurveFromRate(FinancingId financing, ITimeMeasure time, RrFunction zcRate)
: base(time.RefDate, financing)
{
this.time = time;
this.zcRate = zcRate;
}
public static DiscountCurve Flat(FinancingId financing, DateTime refDate, double zcRate)
{
var time = TimeMeasure.Act365(refDate);
var zc1Y = Math.Exp(-zcRate * time[refDate + Duration.Year]);
return LinearRateInterpol(financing, new[] { refDate + Duration.Year }, new[] { zc1Y }, time);
}
public static DiscountCurve Product(DiscountCurve discount1, DiscountCurve discount2, FinancingId financing)
{
return new ProductDiscount(discount1, discount2, financing);
}
protected DiscountCurve(DateTime refDate, FinancingId financing)
{
this.refDate = refDate;
Financing = financing;
}