static public IMarketEnvironment CreateDFandVolCurves(string curveName, string volcurveName, DateTime baseDate, Double[] times, Double[] dfs, Double[] voltimes, Double[] volstrikes, Double[,] vols)
{
var market = new MarketEnvironment();
var interpMethod = InterpolationMethodHelper.Parse("LinearInterpolation");
var curve = new SimpleDiscountFactorCurve(baseDate, interpMethod, true, times, dfs);
var volcurve = new SimpleVolatilitySurface(baseDate, interpMethod, true, voltimes, volstrikes, vols);
market.AddPricingStructure(curveName, curve);
market.AddPricingStructure(volcurveName, volcurve);
return(market);
}
///<summary>
/// Creates a market environment for use in calculations.
///</summary>
///<param name="marketName">The name of the market environment.</param>
///<param name="curve">The curve.</param>
///<returns></returns>
public static IMarketEnvironment Create(string marketName, IPricingStructure curve)
{
var environment = new MarketEnvironment(marketName);
var name = (PricingStructureIdentifier)curve.GetPricingStructureId();
environment.AddPricingStructure(name.UniqueIdentifier, curve);
return(environment);
}
static public IMarketEnvironment CreateSimpleInflationCurve(string curveName, DateTime baseDate, Double[] times, Double[] dfs)
{
var market = new MarketEnvironment();
var interpMethod = InterpolationMethodHelper.Parse("LinearInterpolation");
var curve = new SimpleDiscountFactorCurve(baseDate, interpMethod, true, times, dfs);
market.AddPricingStructure(curveName, curve);
return(market);
}
///<summary>
/// Creates a market environment for use in calculations.
///</summary>
///<param name="marketName">The name of the market environment.</param>
///<param name="curve">The curve.</param>
///<returns></returns>
public static IMarketEnvironment Create(string marketName, List <IPricingStructure> curve)
{
var environment = new MarketEnvironment(marketName);
foreach (var structure in curve)
{
var name = (PricingStructureIdentifier)structure.GetPricingStructureId();
environment.AddPricingStructure(name.UniqueIdentifier, structure);
}
return(environment);
}
