public Market Build(object[,] bag)
{
DateTime refDate = RefDate(bag);
TimeMatrixDatas curveRawDatas = bag.ProcessTimeMatrixDatas("Discount");
DiscountCurve[] discountCurves = RateCurveFromRawDatas(curveRawDatas, refDate);
AssetMarket[] assetMarket = ProcessAssetMkt(bag, refDate, discountCurves);
return(new Market(discountCurves, assetMarket));
}
public void TestTimeMatrixDouble()
{
//Test1
var bag1 = new object[, ]
{
{ null, null, null, null },
{ "", "myparam ", "hello", "toto" },
{ null, "1y", "1.0", 5.0 },
{ null, "02/22/1978", "2.0", "4.0" },
{ null, "10y", "3.0", 1.0 }
};
TimeMatrixDatas timeDatas = bag1.ProcessTimeMatrixDatas("MyParam");
var helloDatas = timeDatas.GetColFromLabel("hello");
var totoDatas = timeDatas.GetColFromLabel("toto");
UnitTestUtils.EqualDoubleArray(helloDatas, new[] { 1.0, 2.0, 3.0 }, DoubleUtils.MachineEpsilon);
UnitTestUtils.EqualDoubleArray(totoDatas, new[] { 5.0, 4.0, 1.0 }, DoubleUtils.MachineEpsilon);
}
private static AssetMarket[] ProcessAssetMkt(object[,] bag, DateTime refDate, DiscountCurve[] discountCurves)
{
var eqtyTime = TimeMeasure.Act365(refDate);
var assetRawDatas = bag.ProcessLabelledMatrix("Asset", o => o.ToString(), o => o.ToString(), o => o);
TimeMatrixDatas repoRawDatas = bag.ProcessTimeMatrixDatas("Repo");
var repoPillars = repoRawDatas.RowLabels
.Select(dOrDur => dOrDur.ToDate(refDate)).ToArray();
var assetMkts = new List <AssetMarket>();
for (int i = 0; i < assetRawDatas.RowLabels.Length; i++)
{
var assetName = assetRawDatas.RowLabels[i];
var rawCurrency = assetRawDatas.GetColFromLabel("Currency")[i].ToString();
object rawSpot = assetRawDatas.GetColFromLabel("Spot")[i];
var currency = Currency.Parse(rawCurrency);
var assetId = new AssetId(assetName, currency);
double spot;
if (!NumberConverter.TryConvertDouble(rawSpot, out spot))
{
throw new ArgumentException(String.Format("AssetMarketFactory, invalid {0} spot : {1}", assetName, rawSpot));
}
double[] repoRates = repoRawDatas.GetColFromLabel(assetName);
var repoZcs = repoRates.Select((r, idx) => Math.Exp(-eqtyTime[repoPillars[idx]] * r)).ToArray();
var repoCurve = DiscountCurve.LinearRateInterpol(FinancingId.AssetCollat(assetId), repoPillars, repoZcs, eqtyTime);
var divQuotes = ProcessDiv(bag, refDate, assetName);
var volMatrix = AssetVolMatrix(bag, eqtyTime, assetName);
var riskFreeDiscount = discountCurves.Single(curve => curve.Financing.Equals(FinancingId.RiskFree(currency)));
var mkt = new AssetMarket(assetId, refDate, eqtyTime,
spot, riskFreeDiscount, repoCurve,
divQuotes, volMatrix);
assetMkts.Add(mkt);
}
return(assetMkts.ToArray());
}
private static DiscountCurve[] RateCurveFromRawDatas(TimeMatrixDatas curveRawDatas, DateTime refDate)
{
var rateTimeInterpol = RateTimeMeasure(refDate);
DateTime[] datePillars = curveRawDatas.RowLabels
.Select(dOrDur => dOrDur.ToDate(refDate)).ToArray();
var curves = new List <DiscountCurve>();
foreach (var curveLabel in curveRawDatas.ColLabels)
{
FinancingId financingId;
if (!FinancingId.TryParse(curveLabel, out financingId))
{
throw new ArgumentException(String.Format("RateMarketFactory, invalid Discount Curve Id : {0}", curveLabel));
}
double[] zcs = curveRawDatas.GetColFromLabel(curveLabel);
var discountCurve = DiscountCurve.LinearRateInterpol(financingId, datePillars, zcs, rateTimeInterpol);
curves.Add(discountCurve);
}
return(curves.ToArray());
}
