public DiscountCurveSolver(ILogger logger, ICoreCache cache, string nameSpace, DateTime baseDate, NamedValueSet properties, IEnumerable <Triplet <string, decimal, int> > assets,
decimal[] adjustments, string spreadAssetId, BasicAssetValuation spreadAssetValuation,
int spreadDays, double spread, int spreadStartIndex, int spreadEndIndex,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
_nameSpace = nameSpace;
_properties = properties;
_spreadAssetId = spreadAssetId;
_spreadAssetValuation = spreadAssetValuation;
_baseDate = baseDate;
_spread = spread;
_spreadStartIndex = spreadStartIndex;
_spreadEndIndex = spreadEndIndex;
_adjustments = adjustments;
var enumerable = assets as Triplet <string, decimal, int>[] ?? assets.ToArray();
_instruments = enumerable.Select(a => a.First).ToArray();
_rates = enumerable.Select(a => a.Second).ToArray();
_days = enumerable.Select(a => a.Third).ToArray();
_spreadDays = spreadDays;
_logger = logger;
_cache = cache;
_fixingCalendar = fixingCalendar;
_rollCalendar = rollCalendar;
// Calculate the function value for zero spread
decimal[] zeroAdjustments = adjustments.Select(a => 0m).ToArray();
_valueForZeroAdjustment
= RateCurve.CalculateImpliedQuote(_logger, _cache, _nameSpace, _baseDate, _properties, _instruments, _rates, zeroAdjustments, _spreadAssetId, _spreadAssetValuation,
_fixingCalendar, _rollCalendar);
}
public double Value(double trialAdjustment)
{
// Set the adjustments
// Adjust the rates with the answer
if (_spreadStartIndex == 0)
{
for (int i = 0; i <= _spreadEndIndex; i++)
{
_adjustments[i] = (decimal)trialAdjustment;
}
}
else
{
int startDays = _days[_spreadStartIndex - 1];
// if there is only one point then don't interpolate
if (_spreadDays == startDays)
{
_adjustments[_spreadStartIndex] = (decimal)trialAdjustment;
}
else
{
var x = new double[] { startDays, _spreadDays };
var y = new[] { (double)_adjustments[_spreadStartIndex - 1], trialAdjustment };
var interpolation = new LinearInterpolation();
interpolation.Initialize(x, y);
for (int i = _spreadStartIndex; i <= _spreadEndIndex; i++)
{
int days = _days[i];
_adjustments[i] = (decimal)interpolation.ValueAt(days, false);
}
}
}
double valueForAdjustment = RateCurve.CalculateImpliedQuote(_logger, _cache, _nameSpace, _baseDate, _properties, _instruments, _rates, _adjustments, _spreadAssetId,
_spreadAssetValuation, _fixingCalendar, _rollCalendar);
return(valueForAdjustment - _valueForZeroAdjustment - _spread);
}