public static double[,] CreateCashExtendedTable(MaturityValuePairs input, aaSwap_crv3Parameters parameters)
{
var result = new double[input.Rows, 6];
var spotDate = aaDateAdjustWrapper.RollDate(parameters.ValuationDate, parameters.SpotDelay, 1, 4, parameters.HolidayCentre);
for(int i = 0; i < input.Rows; ++i)
{
var tenorString = input.ObjectTable[i, 0].ToString();
DateTime effectiveDate = Tenor.IsON(tenorString) ? parameters.ValuationDate : spotDate;
DateTime terminatingDate = DateTime.MinValue;
Tenor tenor = Tenor.FromString(tenorString);
switch(tenor.TenorType)
{
case TenorType.Month:
terminatingDate = aaDateAdjustWrapper.RollDate(effectiveDate, tenor.Duration, 4, parameters.AdjustMethod, parameters.HolidayCentre);
break;
case TenorType.Week:
terminatingDate = aaDateAdjustWrapper.RollDate(effectiveDate, tenor.Duration, 3, parameters.AdjustMethod, parameters.HolidayCentre);
break;
case TenorType.CalendarDay:
terminatingDate = aaDateAdjustWrapper.RollDate(effectiveDate, tenor.Duration, 2, parameters.AdjustMethod, parameters.HolidayCentre);
break;
case TenorType.BusinessDay:
terminatingDate = aaDateAdjustWrapper.RollDate(effectiveDate, tenor.Duration, 1, parameters.AdjustMethod, parameters.HolidayCentre);
break;
default:
throw new System.Exception("Unsupported tenor type in money market rates: " + tenorString);
}
result[i, 0] = effectiveDate.ToOADate();
result[i, 1] = terminatingDate.ToOADate();
result[i, 2] = (double)((decimal)input.ObjectTable[i, 1]);
result[i, 3] = parameters.CashQuoteRateQuotationBasis;
result[i, 4] = parameters.CashQuoteAccrualMethod;
result[i, 5] = (double)1;
}
return result;
}
public static double[,] CreateSwapsExtendedTable(MaturityValuePairs input, aaSwap_crv3Parameters parameters)
{
var result = new double[input.Rows, 10];
var spotDate = aaDateAdjustWrapper.RollDate(parameters.ValuationDate, parameters.SpotDelay, 1, parameters.AdjustMethod, parameters.HolidayCentre);
for (int i = 0; i < input.Rows; ++i)
{
var tenorString = input.ObjectTable[i, 0].ToString();
DateTime effectiveDate = spotDate;
DateTime terminatingDate = DateTime.MinValue;
Tenor tenor = Tenor.FromString(tenorString);
switch (tenor.TenorType)
{
case TenorType.Month:
terminatingDate = aaDateAdjustWrapper.RollDate(effectiveDate, tenor.Duration, 4, parameters.AdjustMethod, parameters.HolidayCentre);
break;
case TenorType.Week:
terminatingDate = aaDateAdjustWrapper.RollDate(effectiveDate, tenor.Duration, 3, parameters.AdjustMethod, parameters.HolidayCentre);
break;
case TenorType.CalendarDay:
terminatingDate = aaDateAdjustWrapper.RollDate(effectiveDate, tenor.Duration, 2, parameters.AdjustMethod, parameters.HolidayCentre);
break;
case TenorType.BusinessDay:
terminatingDate = aaDateAdjustWrapper.RollDate(effectiveDate, tenor.Duration, 1, parameters.AdjustMethod, parameters.HolidayCentre);
break;
case TenorType.Year:
terminatingDate = aaDateAdjustWrapper.RollDate(effectiveDate, tenor.Duration, 5, parameters.AdjustMethod, parameters.HolidayCentre);
break;
default:
throw new System.Exception("Unsupported tenor type in swap rates: " + tenorString);
}
result[i, 0] = effectiveDate.ToOADate();
result[i, 1] = terminatingDate.ToOADate();
result[i, 2] = (double)((decimal)input.ObjectTable[i, 1]);
result[i, 3] = parameters.SwapQuoteFixedPayFrequency;
result[i, 4] = parameters.SwapQuoteFixedAccrualMethod;
result[i, 5] = parameters.SwapQuoteBusinessDayConvention;
result[i, 6] = (double)1;
result[i, 7] = double.NaN;
result[i, 8] = parameters.SwapQuoteFloatingPayFrequency;
result[i, 9] = parameters.SwapQuoteFloatingAccrualMethod;
}
return result;
}
public static object Build(aaSwap_crv3Parameters p, int curveType)
{
var singleton = FinCADWrapper.Instance();
lock (singleton.GetLock())
{
double[,] discCurve = null;
var cashTable = CreateCashExtendedTable(p.CashQuotes, p);
var swapsTable = CreateSwapsExtendedTable(p.SwapQuotes, p);
var holidays = aaHolidaysWrapper.Holidays(p.HolidayCentre);
using (SLog.NDC("aaSwap_crv3"))
{
FinCADHelpers.LogFinCADError(FincadFunctions.aaSwap_crv3(
p.ValuationDate.ToOADate(),
cashTable,
new double[0, 0],
swapsTable,
p.SwapBootstrapingMethod,
p.Interpolation,
p.FuturesGapMethod,
p.RateQuotationBasis,
p.AccrualMethod,
holidays,
p.MethodUsed,
p.MinimumLength,
p.MethodForExtending,
p.YieldSpread,
p.SpreadType,
curveType,
ref discCurve));
}
return discCurve;
}
}