public void InitialOisAttempt()
{
var model = _fundingModel.DeepClone(null);
var solver = new Core.Calibrators.NewtonRaphsonMultiCurveSolver();
solver.Solve(model, _instruments);
}
public static IFundingModel RemapBaseCurrency(IFundingModel input, Currency newBaseCurrency, ICurrencyProvider currencyProvider)
{
if (newBaseCurrency == input.FxMatrix.BaseCurrency)
{
return(input.Clone());
}
var mf = input.DeepClone(null);
var homeToBase = mf.FxMatrix.SpotRates[newBaseCurrency];
var ccys = mf.FxMatrix.SpotRates.Keys.ToList()
.Concat(new[] { mf.FxMatrix.BaseCurrency })
.Where(x => x != newBaseCurrency);
var newRateDict = new Dictionary <Currency, double>();
foreach (var ccy in ccys)
{
var spotDate = mf.FxMatrix.GetFxPair(newBaseCurrency, ccy).SpotDate(mf.BuildDate);
var newRate = mf.GetFxRate(spotDate, newBaseCurrency, ccy);
newRateDict.Add(ccy, newRate);
}
var newFx = new FxMatrix(currencyProvider);
newFx.Init(newBaseCurrency, mf.FxMatrix.BuildDate, newRateDict, mf.FxMatrix.FxPairDefinitions, mf.FxMatrix.DiscountCurveMap);
mf.SetupFx(newFx);
return(mf);
}