/// <summary>
/// </summary>
/// <param name="discountCurve"></param>
/// <param name="tenor"></param>
/// <param name="baseDate"></param>
/// <param name="interpolatedCurve"></param>
/// <param name="paymentCalendar"></param>
/// <param name="dayCounter"></param>
/// <returns></returns>
/// <exception cref="System.Exception"></exception>
public static TermCurve ToForwardCurve(TermCurve discountCurve, Period tenor, DateTime baseDate,
InterpolatedCurve interpolatedCurve, IBusinessCalendar paymentCalendar, IDayCounter dayCounter)
{
TermCurve result = TermCurve.Create(new List <TermPoint>());
var length = discountCurve.point.Length;
var offset = new Offset
{
dayType = DayTypeEnum.Calendar,
dayTypeSpecified = true,
period = tenor.period,
periodMultiplier = tenor.periodMultiplier,
periodSpecified = true
};
if (paymentCalendar == null)
{
return(result);
}
for (int i = 0; i < length - 1; i++) //This will only go to the penultimate point. Extrapolation required for more.
{
var pointStart = discountCurve.point[i];
DateTime startDate = XsdClassesFieldResolver.TimeDimensionGetDate(pointStart.term);
var endDate = paymentCalendar.Advance(startDate, offset, BusinessDayConventionEnum.FOLLOWING);
var endPoint = new DateTimePoint1D(baseDate, endDate);
var endDF = interpolatedCurve.Value(endPoint);
double time = dayCounter.YearFraction(startDate, endDate);
var forwardRateDouble =
RateAnalytics.DiscountFactorsToForwardRate((double)pointStart.mid, endDF, time);
TermPoint forwardPoint = TermPointFactory.Create(Convert.ToDecimal(forwardRateDouble), startDate);
forwardPoint.id = tenor.id;
result.Add(forwardPoint);
}
return(result);
}
// need a based date?
//
///<summary>
///</summary>
///<param name="discountCurve"></param>
///<param name="baseDate"></param>
///<param name="frequency"></param>
///<param name="dayCounter"></param>
///<returns></returns>
///<exception cref="System.Exception"></exception>
public static TermCurve ToZeroCurve(TermCurve discountCurve, DateTime baseDate,
CompoundingFrequencyEnum frequency, IDayCounter dayCounter)
{
TermCurve result = TermCurve.Create(new List <TermPoint>());
foreach (TermPoint point in discountCurve.point)
{
DateTime pointDate = XsdClassesFieldResolver.TimeDimensionGetDate(point.term);
double zeroRateDouble;
if (baseDate != pointDate)
{
double time = dayCounter.YearFraction(baseDate, pointDate);
zeroRateDouble = RateAnalytics.DiscountFactorToZeroRate((double)point.mid, time, frequency);
}
else
{
// set after the loop
zeroRateDouble = 0;
}
TermPoint zeroPoint = TermPointFactory.Create(Convert.ToDecimal(zeroRateDouble), pointDate);
zeroPoint.id = point.id;
result.Add(zeroPoint);
}
if (result.point[0].mid == 0)
{
result.point[0].mid = result.point[1].mid;
}
return(result);
}
/// <summary>
///
/// </summary>
/// <param name="pointToAdd"></param>
public void Add(TermPoint pointToAdd)
{
var list = new List <TermPoint>(point)
{
pointToAdd
};
point = list.ToArray();
}
public void Add(TermPoint pointToAdd)
{
List <TermPoint> list = new List <TermPoint>(this.point)
{
pointToAdd
};
this.point = list.ToArray();
}
/// <summary>
/// Returns a term curve.
/// This means the discount factor curve for a YieldCurve,
/// an fx forward curve for an Fx curve,
/// a recovery rate curve for a credit curve.
/// A volatility matrix is not handled.
/// </summary>
/// <returns></returns>
public TermCurve GetTermCurve()
{
// we need to extract the curve.
if (Items1 == null)
{
return(null);
}
var psv = Items1[0];
var ycv = psv as YieldCurveValuation;
if (ycv?.zeroCurve != null)
{
return(ycv.zeroCurve.rateCurve ?? ycv.discountFactorCurve);
}
if (psv is FxCurveValuation fxv)
{
return(fxv.fxForwardCurve);
}
if (psv is CreditCurveValuation crv)
{
return(crv.recoveryRateCurve);
}
//This only works for volatility curves.
if (psv is VolatilityMatrix vm)
{
var points = vm.dataPoints?.point;
var termPoints = new List <TermPoint>();
if (points != null && vm.baseDate?.Value is DateTime baseDate)
{
foreach (var point in points)
{
var tenor = point.coordinate[0]?.expiration[0];
var period = tenor?.Items[0];
if (period is Period numDaysPeriod)
{
var newDate = baseDate.AddDays(Convert.ToInt16(numDaysPeriod.periodMultiplier));
var time = new TimeDimension {
Items = new object[1]
};
time.Items[0] = newDate;
var termPoint = new TermPoint
{
term = time,
mid = point.value,
midSpecified = true
};
termPoints.Add(termPoint);
}
}
}
var termCurve = new TermCurve {
point = termPoints.ToArray()
};
return(termCurve);
}
return(null);
}
public static TermPoint Create(decimal mid, TimeDimension term)
{
var termPoint = new TermPoint
{
mid = mid,
midSpecified = true,
term = term
};
return(termPoint);
}
public static TermPoint Create(decimal mid, DateTime term)
{
var termPoint = new TermPoint
{
mid = mid,
midSpecified = true
};
var timeDimension = new TimeDimension();
XsdClassesFieldResolver.TimeDimensionSetDate(timeDimension, term);
termPoint.term = timeDimension;
return(termPoint);
}
public static TermPoint Create(decimal mid, TimeDimension term)
{
var termPoint = new TermPoint
{
mid = mid,
midSpecified = true
};
var timeDimension = new TimeDimension {
Items = new object[] { term }
};
termPoint.term = timeDimension;
return(termPoint);
}
internal static TermCurve ConstructDiscountFactors(ILogger logger, ICoreCache cache, string nameSpace, TermCurve inputCurve, DateTime baseDate, string currency)
{
List <DateTime> dates = inputCurve.point.Select(a => (DateTime)a.term.Items[0]).ToList();
List <decimal> values = inputCurve.point.Select(a => a.mid).ToList();
var properties = new NamedValueSet();
properties.Set(CurveProp.PricingStructureType, PricingStructureTypeEnum.RateCurve.ToString());
properties.Set(CurveProp.Market, "ConstructDiscountFactors");
properties.Set(CurveProp.IndexTenor, "0M");
properties.Set(CurveProp.Currency1, currency);
properties.Set(CurveProp.IndexName, "XXX-XXX");
properties.Set(CurveProp.Algorithm, "FastLinearZero");
properties.Set(CurveProp.BaseDate, baseDate);
var curveId = new RateCurveIdentifier(properties);
var algorithmHolder = new PricingStructureAlgorithmsHolder(logger, cache, nameSpace, curveId.PricingStructureType, curveId.Algorithm);
var curve = new RateCurve(properties, algorithmHolder, dates, values);
var termPoints = new List <TermPoint>();
for (DateTime date = dates.First(); date <= dates.Last(); date = date.AddMonths(1))
{
var discountFactor = (decimal)curve.GetDiscountFactor(date);
var timeDimension = new TimeDimension();
XsdClassesFieldResolver.TimeDimensionSetDate(timeDimension, date);
var termPoint = new TermPoint
{
mid = discountFactor,
midSpecified = true,
term = timeDimension
};
termPoints.Add(termPoint);
}
var termCurve = new TermCurve {
point = termPoints.ToArray()
};
return(termCurve);
}
public static DateTime GetDate(TermPoint termPoint)
{
DateTime date = XsdClassesFieldResolver.TimeDimensionGetDate(termPoint.term);
return(date);
}
/// <summary>
/// Gets the termpoints from a priceablespreadasset controller.
/// </summary>
/// <param name="spreadAsset"></param>
/// <returns></returns>
public static TermPoint[] SpreadAssetMapper(IPriceableSpreadAssetController spreadAsset)
{
var points = new TermPoint[1];
return(points);
}
