/// <summary>
/// The main ctor.
/// </summary>
/// <param name="termCurve"></param>
/// <param name="baseDate"></param>
/// <param name="centralBankMonthRules"></param>
/// <param name="centralBankDays"></param>
/// <param name="centralBank"></param>
/// <param name="dayCounter"></param>
public GapStepInterpolator(TermCurve termCurve, DateTime baseDate, int centralBankMonthRules, DateTime[] centralBankDays,
CentralBanks centralBank, IDayCounter dayCounter)
: base(ConvertTermCurve(centralBank.ToString(), termCurve, baseDate, centralBankDays,
dayCounter), baseDate, dayCounter)
{
CentralBankDateRuleMonths = centralBankMonthRules;
CentralBank = centralBank;
CentralBankDays = centralBankDays;
}
/// <summary>
/// Initializes a new instance of the <see cref="CentralBankDate"/> class.
/// </summary>
/// <param name="centralBankName">The central Bank Name.</param>
protected CentralBankDate(CentralBanks centralBankName)
{
CentralBankName = centralBankName;
ValidMeetingMonths = new List <int> {
2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12
};
ValidQuarterlyMonths = new List <int> {
3, 6, 9, 12
};
}
//TODO add EOM, EOQ and EOY perturbation: this transfers the step to the specific day.
//Also needs to add EOM swaps to the asset config file.
/// <summary>
/// The main ctor.
/// </summary>
/// <param name="termCurve"></param>
/// <param name="baseDate"></param>
/// <param name="centralBankDateRuleMonths"></param>
/// <param name="centralBank"></param>
/// <param name="dayCounter"></param>
public GapStepInterpolator(TermCurve termCurve, DateTime baseDate, int centralBankDateRuleMonths,
CentralBanks centralBank, IDayCounter dayCounter)
: base(ConvertTermCurve(termCurve, baseDate, centralBankDateRuleMonths, dayCounter), baseDate, dayCounter)
{
CentralBankDateRuleMonths = centralBankDateRuleMonths;
_centralBank = centralBank;//var names = Enum.GetNames(typeof(AssetFactory.Types));
//TODO remove this once working.
var lastDate = (DateTime)termCurve.point[termCurve.point.Length - 1].term.Items[0];
CentralBankDays = CentralBanksHelper.GetCentralBankDays(baseDate, centralBank, centralBankDateRuleMonths, lastDate);
TermCurve = InterpolateGapStepTermPoints(termCurve, CentralBankDays, baseDate, dayCounter);
}
/// <summary>
/// Creates the date time vector for the request Central Bank.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="centralBank">The requested central bank.</param>
/// <param name="centralBankDateRuleMonths">The rules.</param>
/// <param name="lastDate">The last date required.</param>
/// <returns>An array of relevant dates.</returns>
public static DateTime[] GetCentralBankDays(DateTime baseDate, CentralBanks centralBank,
int centralBankDateRuleMonths, DateTime lastDate)
{
ICentralBankDate date = null;
switch (centralBank)
{
case CentralBanks.RBA:
date = new RBADate();
break;
case CentralBanks.BNZ:
date = new BNZDate();
break;
case CentralBanks.BOE:
date = new BOEDate();
break;
case CentralBanks.BOJ:
date = new BOJDate();
break;
case CentralBanks.ECB:
date = new ECBDate();
break;
case CentralBanks.FOMC:
date = new FOMCDate();
break;
case CentralBanks.BHK:
date = new BHKDate();
break;
}
if (date != null)
{
var dates1 = date.GetCentralBankDays(baseDate, centralBankDateRuleMonths);
var dates2 = date.GetCentralBankDays(dates1[dates1.Count - 1], lastDate, false);
//DateTime[] dates3 = new DateTime[dates1.Length + dates2.Length];
var result = new List <DateTime>();
// OMFG
//
result.AddRange(dates1);
result.AddRange(dates2);
return(result.ToArray());
}
return(new DateTime[] {});
}
/// <summary>
/// Initializes a new instance of the <see cref="CentralBankDate"/> class.
/// </summary>
/// <param name="centralBankName">The central Bank Name.</param>
/// <param name="validMeetingMonths">The valid Meeting Months.</param>
/// <param name="validQuarterlyMonths">The valid quarterly Months.</param>
protected CentralBankDate(CentralBanks centralBankName, List <int> validMeetingMonths, List <int> validQuarterlyMonths)
{
CentralBankName = centralBankName;
ValidMeetingMonths = validMeetingMonths;
ValidQuarterlyMonths = validQuarterlyMonths;
}