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 bool TryCalibrate(Date calibrationDate, IMarketDataContainer marketDataContainer)
{
_calibrationDate = calibrationDate;
var initialValues = new InitialValueCollector(_calibrationDate, _instruments);
var objective = new ObjectiveFunction();
_curve = InitializeCurve(calibrationDate, initialValues, objective, _curveToStrip,
_indicesToBaseOffDiscountCurve);
_secondCurve = InitializeCurve(calibrationDate, initialValues, objective, _secondCurveToStrip,
_indicesToBaseOffSecondCurve);
objective.SetBenchmarkObjectives(_instruments, marketDataContainer);
var result = _rootFinder.FindRoot(objective, objective.InitialValues);
return(true);
}