Пример #1
0
 /// <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;
 }
Пример #2
0
 /// <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
     };
 }
Пример #3
0
        //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);
        }
Пример #4
0
        /// <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[] {});
        }
Пример #5
0
 /// <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;
 }