/// <summary>
/// Create a curve that linearly interpolates the provided forward rates. Rates are not used to get discount factors.
/// </summary>
/// <remarks>
/// If you want to obtain discount factors from the provided rates rather use: <see cref="DatesAndRates" />
/// </remarks>
/// <param name="anchorDate"></param>
/// <param name="index"></param>
/// <param name="dates"></param>
/// <param name="rates"></param>
/// <param name="maximumDate"></param>
public ForecastCurve(Date anchorDate, FloatRateIndex index, Date[] dates, double[] rates,
Date maximumDate = null)
{
_index = index;
_floatingRateSourceDescription = new FloatingRateSourceDescription(index);
_dateAndRates = new DatesAndRates(index.Currency, anchorDate, dates, rates, maximumDate);
}
private DatesAndRates InitializeCurve(Date calibrationDate, InitialValueCollector initialValueCollector,
ObjectiveFunction objective, DiscountingSourceDescription curveToStrip,
IEnumerable <FloatRateIndex> indicesToBaseOffCurve)
{
if (curveToStrip == null)
{
return(null);
}
var curveNames = new List <string> {
curveToStrip.Name
};
var indices = indicesToBaseOffCurve.ToList();
curveNames.AddRange(
indices.Select(ind => new FloatingRateSourceDescription(ind).Name));
var initial = initialValueCollector.GetValues(curveNames);
var curve = new DatesAndRates(curveToStrip.Currency, calibrationDate,
initial.dates, initial.values);
foreach (var index in indices)
{
var name = new FloatingRateSourceDescription(index).Name;
_floatingRateSources[name] = new ForecastCurveFromDiscount(curve, index, null);
}
objective.AddCurve(curve, initial.values);
return(curve);
}
public FRACurveInstrument(Tenor startTenor, Tenor endTenor, FloatRateIndex floatRateIndex, double simpleRate)
{
_startTenor = startTenor;
_endTenor = endTenor;
_floatRateIndex = floatRateIndex;
_simpleRate = simpleRate;
_floatingRateSourceDescription = new FloatingRateSourceDescription(floatRateIndex);
}
