//------------------------------------------------------------------------------------------------
private DiscountFactors getDFfromOTAsOfDatetime(DateTime dt, string curvename)
//------------------------------------------------------------------------------------------------
{
TimeZone zone = TimeZone.CurrentTimeZone;
DiscountFactors disc = null;
DateTime utcTime = zone.ToUniversalTime(dt);
DateTime curveStamp = (dt + (dt - utcTime)).AddHours(-1.1).AddDays(1); // Add a day to treat before T+1 midnight as T's close. Adjust to pick up the snap before 00:01
var curves = m_carbonClient.GetInterestCurvesAsync(m_ccy, curvename, curveStamp);
if (curves.Result == null || curves.Result.Count() == 0)
{
return disc;
}
var curve = curves.Result.First(); // Should only be one curve here
// m_Log.InfoFormat(curve);
var points = curve.Points.FirstOrDefault();
if (points != null)
{
int N = points.CurvePoints.Count();
DateTime[] curveDates = new DateTime[N+1];
double[] curveDFs = new double[N+1];
var curvePointList = points.CurvePoints.ToList();
// Add the first discount factor of 1, consistent with the fincad format
curveDates[0] = dt;
curveDFs[0] = 1;
// Assign build resuts to dates/DFs
for (int k = 0; k < N; ++k)
{
var curveDate = curvePointList[k].Date.ToDateTime();
var curveDF = curvePointList[k].Df;
curveDates[k+1] = curveDate;
curveDFs[k+1] = curveDF;
}
// Assign outputs
disc = new DiscountFactors(curveDates, curveDFs);
}
if (disc != null)
{
//disc.PrintCurve();
}
else
{
m_Log.InfoFormat("No curve points on {0}", dt);
}
return disc;
}
tuples2DiscountFactors(SortedDictionary<DateTime, Tuple<DateTime, double>[]> inputs)
//------------------------------------------------------------------------------------------------
{
SortedDictionary<DateTime, DiscountFactors> outputs = new SortedDictionary<DateTime, DiscountFactors>();
foreach (var kvp in inputs)
{
DateTime dte = kvp.Key;
Tuple<DateTime, double>[] input = kvp.Value;
outputs[dte] = new DiscountFactors(input);
}
return outputs;
}