public CurveCalibrationProblem(InstrumentFactory instrumentFactory, List <InstrumentQuote> instruments)
{
this.Factory = instrumentFactory;
instruments.Sort(new Comparison <InstrumentQuote>((x, y) => DateTime.Compare(x.CurvePoint, y.CurvePoint)));
InputInstruments = instruments;
List <double> tempValues = new List <double>();
for (int i = 0; i < InputInstruments.Count; i++)
{
CurvePoints.Add(InputInstruments[i].CurvePoint);
tempValues.Add(1.0);
}
CurveToBeCalibrated = new MasterThesis.Curve(CurvePoints, tempValues);
}
public ADouble ValueInstrumentAD(LinearRateModel model, InstrumentFactory factory)
{
return(factory.ValueInstrumentFromFactoryAD(model, _identifier));
}
public static object[,] MakeExcelOutput(InstrumentFactory factory, string identifier)
{
Schedule schedule1 = null;
Schedule schedule2 = null;
QuoteType quoteType = factory.InstrumentTypeMap[identifier];
bool instrumentHasSchedule = false;
switch (quoteType)
{
case QuoteType.ParSwapRate:
schedule1 = factory.IrSwaps[identifier].FloatLeg.Schedule;
schedule2 = factory.IrSwaps[identifier].FixedLeg.Schedule;
instrumentHasSchedule = true;
break;
case QuoteType.ParBasisSpread:
schedule1 = factory.BasisSwaps[identifier].FloatLegNoSpread.Schedule;
schedule2 = factory.BasisSwaps[identifier].FloatLegSpread.Schedule;
instrumentHasSchedule = true;
break;
case QuoteType.OisRate:
schedule1 = factory.OisSwaps[identifier].FloatSchedule;
schedule2 = factory.OisSwaps[identifier].FixedSchedule;
instrumentHasSchedule = true;
break;
}
if (instrumentHasSchedule)
{
object[,] schedule1Object = MakeScheduleArray(schedule1);
object[,] schedule2Object = MakeScheduleArray(schedule2);
object[,] infoArray = MakeInstrumentInfoArray(factory, identifier);
int length = infoArray.GetLength(0);
int totalLength = length + Math.Max(schedule1Object.GetLength(0), schedule2Object.GetLength(0)) + 1;
object[,] output = new object[totalLength, 11];
for (int i = 0; i < totalLength; i++)
{
for (int j = 0; j < 11; j++)
{
output[i, j] = "";
}
}
for (int i = 0; i < length; i++)
{
output[i, 0] = infoArray[i, 0];
output[i, 1] = infoArray[i, 1];
}
// Fill out first schedule
for (int i = length; i < schedule1Object.GetLength(0) + length; i++)
{
output[i, 0] = schedule1Object[i - length, 0];
output[i, 1] = schedule1Object[i - length, 1];
output[i, 2] = schedule1Object[i - length, 2];
output[i, 3] = schedule1Object[i - length, 3];
output[i, 4] = schedule1Object[i - length, 4];
}
// Fill out second schedule
for (int i = length; i < schedule2Object.GetLength(0) + length; i++)
{
output[i, 6] = schedule2Object[i - length, 0];
output[i, 7] = schedule2Object[i - length, 1];
output[i, 8] = schedule2Object[i - length, 2];
output[i, 9] = schedule2Object[i - length, 3];
output[i, 10] = schedule2Object[i - length, 4];
}
return(output);
}
else
{
return(MakeInstrumentInfoArray(factory, identifier));
}
}
public static object[,] MakeInstrumentInfoArray(InstrumentFactory factory, string identifier)
{
object[,] output = new object[9, 2];
string whiteSpace = "";
QuoteType quoteType = factory.InstrumentTypeMap[identifier];
output[0, 0] = quoteType.ToString();
output[0, 1] = whiteSpace;
output[4, 0] = whiteSpace;
output[4, 1] = whiteSpace;
output[7, 0] = whiteSpace;
output[7, 1] = whiteSpace;
output[8, 0] = whiteSpace;
output[8, 1] = whiteSpace;
// InstrumentStrings
output[5, 0] = InstrumentFactoryHeaders.GetHeaders[factory.InstrumentFormatTypeMap[identifier]];
output[5, 1] = whiteSpace;
output[6, 0] = factory.IdentifierStringMap[identifier];
output[6, 1] = whiteSpace;
switch (quoteType)
{
case QuoteType.ParSwapRate:
output[1, 0] = factory.IrSwaps[identifier].FloatLeg.StartDate.ToString("dd/MM/yyyy");
output[1, 1] = factory.IrSwaps[identifier].FixedLeg.StartDate.ToString("dd/MM/yyyy");
output[2, 0] = factory.IrSwaps[identifier].FloatLeg.EndDate.ToString("dd/MM/yyyy");
output[2, 1] = factory.IrSwaps[identifier].FixedLeg.EndDate.ToString("dd/MM/yyyy");
output[3, 0] = factory.IrSwaps[identifier].FloatLeg.Tenor.ToString();
output[3, 1] = factory.IrSwaps[identifier].FixedLeg.Tenor.ToString();
break;
case QuoteType.OisRate:
output[1, 0] = factory.OisSwaps[identifier].StartDate.ToString("dd/MM/yyyy");
output[1, 1] = whiteSpace;
output[2, 0] = factory.OisSwaps[identifier].EndDate.ToString("dd/MM/yyyy");
output[2, 1] = whiteSpace;
//output[3, 1] = factory.OisSwaps[dentifier].
output[3, 0] = whiteSpace;
output[3, 1] = whiteSpace;
output[8, 0] = "(Float schedule -- Fixed schedule)";
break;
case QuoteType.FraRate:
output[1, 0] = factory.Fras[identifier].StartDate.ToString("dd/MM/yyyy");
output[1, 1] = whiteSpace;
output[2, 0] = factory.Fras[identifier].EndDate.ToString("dd/MM/yyyy");
output[2, 1] = whiteSpace;
output[3, 0] = factory.Fras[identifier].ReferenceIndex.ToString();
output[3, 1] = whiteSpace;
break;
case QuoteType.ParBasisSpread:
output[1, 0] = factory.BasisSwaps[identifier].FloatLegNoSpread.StartDate.ToString("dd/MM/yyyy");
output[1, 1] = factory.BasisSwaps[identifier].FloatLegSpread.StartDate.ToString("dd/MM/yyyy");
output[2, 0] = factory.BasisSwaps[identifier].FloatLegNoSpread.EndDate.ToString("dd/MM/yyyy");
output[2, 1] = factory.BasisSwaps[identifier].FloatLegSpread.EndDate.ToString("dd/MM/yyyy");
output[3, 0] = factory.BasisSwaps[identifier].FloatLegNoSpread.Tenor.ToString();
output[3, 1] = factory.BasisSwaps[identifier].FloatLegSpread.Tenor.ToString();
break;
case QuoteType.FuturesRate:
output[1, 0] = factory.Futures[identifier].FraSameSpec.StartDate.ToString("dd/MM/yyyy");
output[1, 1] = whiteSpace;
output[2, 0] = factory.Futures[identifier].FraSameSpec.EndDate.ToString("dd/MM/yyyy");
output[2, 1] = whiteSpace;
output[3, 0] = factory.Futures[identifier].FraSameSpec.ReferenceIndex.ToString();
output[3, 1] = whiteSpace;
output[8, 0] = "Convexity adjustment: " + Math.Round(factory.Futures[identifier].Convexity, 4).ToString();
break;
case QuoteType.Deposit:
// do something
break;
default:
throw new InvalidOperationException("QuoteType for identifier is not valid.");
}
return(output);
}