private double GetProjectedRate(Ettj ettj, int businessDays)
{
if (ettj.Rates.Count() == 1)
{
return(ettj.Rates.First().RateValue);
}
var interpolationSet = TransformEttjToInterpolationSet(ettj, businessDays);
return(_interpolationCalculator.CalculateExponential(interpolationSet));
}
private InterpolationSet TransformEttjToInterpolationSet(Ettj ettj, int targetMaturityDays)
{
var rates = ettj.Rates.OrderBy(x => x.BusinessDays).ToList();
var firstRate = rates[0];
var secondRate = rates[1];
var firstInterpolationPoint = new InterpolationPoint(firstRate.BusinessDays, firstRate.RateValue);
var secondInterpolationPoint = new InterpolationPoint(secondRate.BusinessDays, secondRate.RateValue);
return(new InterpolationSet(firstInterpolationPoint, secondInterpolationPoint, targetMaturityDays));
}
