protected DiscountCurve InternalBuildUSD3mLiborOISDCurve(DiscountCurve discountCurve, string marketSnapCode_, string quotesourceCode_, CarbonClient carbonClient_, string futfixingsMarketSnapCode_ = null)
{
var p = new SwapCurveParameters_fc
{
Index = "US0003M Index",
Currency = "USD",
UseFutures = true,
MaxNumFutures = 10,
FuturesIMMOnly = true,
FuturesMinTenor = Tenor.BusinessDays(3),
FuturesMaxTenor = Tenor.Years(3),
MarketSnapCode = marketSnapCode_,
QuoteSource = quotesourceCode_,
MarketSnapCode_Fix_MM_Fut = futfixingsMarketSnapCode_,
SwapTenors =
new List<string>
{
"3y",
"4y",
"5y",
"6y",
"7y",
"8y",
"9y",
"10y",
"12y",
"15y",
"20y",
"25y",
"30y",
"40y",
"50y",
"60y"
},
MoneyMarketIndices = new List<string> { "US0003M Index" },
BootstrapSettings = "Linear",
SmoothingSettings = "None",
CashConv = "CashUSD",
FixedLegConv = "SwapUSDSemi30360",
FloatingLegConv = "SwapUSD3mFloating",
FloatingIndex = "LiborUSD3m",
FuturesRateStartOffset = Tenor.BusinessDays(2)
};
if (ValueDate <= new DateTime(2009, 8, 5))
{
p.MaxNumFutures = 7;
p.SwapTenors = new List<string> { "2y", "3y", "4y", "5y", "6y", "7y", "8y", "9y", "10y", "12y", "15y", "20y", "25y", "30y", "40y", "50y", "60y" };
}
return CallCurveCalculator(new USD3mLiborOISDCurveBuilder(ValueDate, p, discountCurve), KnownCurve.USD3mLiborOISD,
marketSnapCode_, quotesourceCode_, carbonClient_);
}
public USD3mLiborOISDCurveBuilder(DateTime valueDate, SwapCurveParameters_fc parameters, DiscountCurve discountCurve)
: base(valueDate, parameters)
{
mDiscountCurve = discountCurve;
}
public GBP6mLiborCurveBuilder(DateTime valueDate, SwapCurveParameters_fc parameters)
: base(valueDate, parameters)
{
}
