public IRZeroCurve GenerateCurve(BusinessDay currentDate)
{
if (_curve_dictionary.ContainsKey(currentDate.DateTime))
{
return(_curve_dictionary[currentDate.DateTime]);
}
IRZeroCurve curve = new IRZeroCurve(currentDate);
foreach (InterestRate rate in _interest_rate_lst)
{
try
{
double value = rate[currentDate.DateTime, TimeSeriesType.Last, DataProvider.DefaultProvider, TimeSeriesRollType.Exact] / 100.0;
if (double.IsNaN(value))
{
value = rate[Calendar.Close(currentDate.DateTime), TimeSeriesType.Last, DataProvider.DefaultProvider, TimeSeriesRollType.Last] / 100.0;
}
if (!double.IsNaN(value))
{
// Console.WriteLine("Generate Curve: " + this._currency + " " + currentDate.DateTime + " " + rate + " " + value);
if (rate.InstrumentType == InstrumentType.Deposit)
{
Deposit deposit = (rate as Deposit);
curve.AddCashFlow(value, deposit.MaturityType, deposit.Maturity, deposit.MaturityType, deposit.Maturity, deposit.DayCountConvention);
// Console.WriteLine(" Add deposit:" + rate + " " + deposit.MaturityType + " " + deposit.Maturity + " " + deposit.MaturityType + " " + deposit.Maturity + " " + deposit.DayCountConvention);
}
else if (rate.InstrumentType == InstrumentType.InterestRateSwap)
{
InterestRateSwap swap = (rate as InterestRateSwap);
curve.AddCashFlow(value, swap.FixedFrequencyType, swap.FixedFrequency, swap.MaturityType, swap.Maturity, swap.FixedDayCountConvention);
// Console.WriteLine(" Add Swap:" + rate + " " + swap.FixedFrequency + " " + swap.MaturityType + " " + swap.Maturity + " " + swap.FixedDayCountConvention);
}
}
}
catch { }
}
curve.BootStrap();
if (_curve_dictionary.ContainsKey(currentDate.DateTime))
{
_curve_dictionary[currentDate.DateTime] = curve;
}
else
{
_curve_dictionary.TryAdd(currentDate.DateTime, curve);
}
return(curve);
}
public double NPV(BusinessDay businessDay)
{
IRZeroCurve curve = _curveCollection == null ? null : _curveCollection.GenerateCurve(businessDay);
return(Amount * (curve.PresentValue(this.Calendar.GetClosestBusinessDay(Date, TimeSeries.DateSearchType.Previous))));
}
