public bool TryCalibrate(Date calibrationDate, IMarketDataContainer marketDataContainer)
{
if (!marketDataContainer.Contains(_baseCurveDescription))
{
return(false);
}
var underlyingDiscountCurve = marketDataContainer.Get(_baseCurveDescription);
_curve = new ForecastCurveFromDiscount(underlyingDiscountCurve, _index, null);
return(true);
}
public bool CanBeA <T>(MarketDataDescription <T> marketDataDescription, IMarketDataContainer marketDataContainer)
where T : class, IMarketDataSource
{
if (marketDataDescription.Name == _curveToStrip.Name)
{
return(true);
}
if (_secondCurveToStrip != null && marketDataDescription.Name == _secondCurveToStrip.Name)
{
return(true);
}
if (_floatingRateSources.ContainsKey(marketDataDescription.Name))
{
return(true);
}
return(false);
}
public bool TryCalibrate(Date calibrationDate, IMarketDataContainer marketDataContainer)
{
_calibrationDate = calibrationDate;
var initialValues = new InitialValueCollector(_calibrationDate, _instruments);
var objective = new ObjectiveFunction();
_curve = InitializeCurve(calibrationDate, initialValues, objective, _curveToStrip,
_indicesToBaseOffDiscountCurve);
_secondCurve = InitializeCurve(calibrationDate, initialValues, objective, _secondCurveToStrip,
_indicesToBaseOffSecondCurve);
objective.SetBenchmarkObjectives(_instruments, marketDataContainer);
var result = _rootFinder.FindRoot(objective, objective.InitialValues);
return(true);
}
public bool TryCalibrate(Date calibrationDate, IMarketDataContainer marketDataContainer)
{
return(true);
}
public bool CanBeA <T>(MarketDataDescription <T> marketDataDescription, IMarketDataContainer marketDataContainer) where T : class, IMarketDataSource
{
return(marketDataDescription.Name == _name);
}
public void SetMarketData(IMarketDataContainer marketData)
{
_forecastCurve = marketData.Get(new FloatingRateSourceDescription(_index));
_discountCurve = marketData.Get(_discountCurveDescription);
}
public bool CanBeA <T>(MarketDataDescription <T> marketDataDescription, IMarketDataContainer marketDataContainer)
where T : class, IMarketDataSource
{
return(marketDataDescription.Name == new DiscountingSourceDescription(_currency).Name);
}
public void SetMarketData(IMarketDataContainer marketData)
{
_leg1Curve = marketData.Get(new FloatingRateSourceDescription(_leg1Index));
_leg2Curve = marketData.Get(new FloatingRateSourceDescription(_leg2Index));
_discountCurve = marketData.Get(_discountCurveDescription);
}
public void SetBenchmarkObjectives(IEnumerable <IRateCurveInstrument> instruments, IMarketDataContainer marketDataContainer)
{
foreach (var instrument in instruments)
{
instrument.SetMarketData(marketDataContainer);
_benchmarkObjectives.Add(instrument.Objective);
}
Value = Vector <double> .Build.Dense(_benchmarkObjectives.Count);
}
public void SetMarketData(IMarketDataContainer marketData)
{
_curve = marketData.Get(_floatingRateSourceDescription);
}
public void SetMarketData(IMarketDataContainer marketData)
{
_curve = marketData.Get(_discountCurve);
}
