/// <summary>
/// Creates a stream environment.
/// </summary>
/// <param name="baseDate"></param>
/// <param name="discountCurve"></param>
/// <param name="forecastCurve"></param>
/// <param name="fxCurve"></param>
/// <returns></returns>
public static ISwapLegEnvironment CreateInterestRateStreamEnvironment(DateTime baseDate, IRateCurve discountCurve, IRateCurve forecastCurve, IFxCurve fxCurve)
{
var market = new SwapLegEnvironment();
market.AddPricingStructure(InterestRateStreamPSTypes.DiscountCurve.ToString(), discountCurve);
market.AddPricingStructure(InterestRateStreamPSTypes.ForecastCurve.ToString(), forecastCurve);
market.AddPricingStructure(InterestRateStreamPSTypes.ReportingCurrencyFxCurve.ToString(), fxCurve);
return(market);
}
private static ISwapLegEnvironment CreateMarket(IPricingStructure discountCurve, IPricingStructure forwardCurve)
{
var market = new SwapLegEnvironment();
market.AddPricingStructure(InterestRateStreamPSTypes.DiscountCurve.ToString(), discountCurve);
market.AddPricingStructure(InterestRateStreamPSTypes.ForecastCurve.ToString(), forwardCurve);
market.AddPricingStructure(InterestRateStreamPSTypes.ReportingCurrencyFxCurve.ToString(), null);
return(market);
}
static public ISwapLegEnvironment CreateInterestRateStreamEnvironment(DateTime baseDate, Double[] times, Double[] dfs)
{
var market = new SwapLegEnvironment();
var interpMethod = InterpolationMethodHelper.Parse("LogLinearInterpolation");
var curve = new SimpleDiscountFactorCurve(baseDate, interpMethod, true, times, dfs);
market.AddPricingStructure("DiscountCurve", curve);
market.AddPricingStructure("ForecastCurve", curve);
return(market);
}
public ISwapLegEnvironment CreateInterestRateStreamTestEnvironment(DateTime baseDate)
{
var market = new SwapLegEnvironment();
var curve = TestRateCurve(baseDate);
var fxcurve = TestFxCurve(baseDate);
market.AddPricingStructure("DiscountCurve", curve);
market.AddPricingStructure("ForecastCurve", curve);
market.AddPricingStructure("ReportingCurrencyFxCurve", fxcurve);
return(market);
}
static public IMarketEnvironment CreateFxLegTestEnvironment(DateTime baseDate)
{
var market1 = new SwapLegEnvironment();
var market2 = new SwapLegEnvironment();
var discurve1 = TestRateCurve(baseDate);
var fx1Curve = TestFxCurve(baseDate);
market1.AddPricingStructure("DiscountCurve", discurve1);
market2.AddPricingStructure("DiscountCurve", discurve1);
market1.AddPricingStructure("ReportingCurrencyFxCurve", fx1Curve);
market2.AddPricingStructure("ReportingCurrencyFxCurve", fx1Curve);
var marketEnv = new FxLegEnvironment("temp", market1, market2);
return(marketEnv);
}