// The functionality below takes the original "double" curves
// and converts them to AD curves.
public void SetAdCurvesFromOrdinaryCurve()
{
List <ADouble> discValues = new List <ADouble>();
for (int i = 0; i < DiscCurve.Values.Count; i++)
{
discValues.Add(new MasterThesis.ADouble(DiscCurve.Values[i]));
}
ADDiscCurve = new MasterThesis.Curve_AD(DiscCurve.Dates, discValues);
ADFwdCurveCollection = new ADFwdCurveContainer();
foreach (CurveTenor tenor in FwdCurveCollection.Curves.Keys)
{
List <ADouble> tempValues = new List <ADouble>();
for (int i = 0; i < FwdCurveCollection.GetCurve(tenor).Values.Count; i++)
{
tempValues.Add(new ADouble(FwdCurveCollection.GetCurve(tenor).Values[i]));
}
Curve_AD tempCurve = new Curve_AD(FwdCurveCollection.GetCurve(tenor).Dates, tempValues);
ADFwdCurveCollection.AddCurve(tempCurve, tenor);
}
ADCurvesHasBeenSet = true;
}
public ZcbRiskOutputContainer ZcbRiskProductOutputContainer(LinearRateInstrument product, DateTime asOf)
{
double[] risk = ZcbRiskProductAD(product);
ZcbRiskOutputContainer output = new ZcbRiskOutputContainer();
ZcbRiskOutput discRisk = new MasterThesis.ZcbRiskOutput(asOf);
int j = 0;
for (int i = 0; i < DiscCurve.Dimension; i++)
{
discRisk.AddRiskCalculation(CurveTenor.DiscOis, DiscCurve.Dates[i], risk[j]);
j++;
}
output.AddDiscRisk(discRisk);
CurveTenor[] tenors = new CurveTenor[] { CurveTenor.Fwd1M, CurveTenor.Fwd3M, CurveTenor.Fwd6M, CurveTenor.Fwd1Y };
foreach (CurveTenor tenor in tenors.ToList())
{
ZcbRiskOutput tempFwdRisk = new ZcbRiskOutput(asOf);
for (int i = 0; i < FwdCurveCollection.GetCurve(tenor).Dimension; i++)
{
DateTime curvePoint = FwdCurveCollection.GetCurve(tenor).Dates[i];
tempFwdRisk.AddRiskCalculation(tenor, curvePoint, risk[j]);
j++;
}
output.AddForwardRisk(tenor, tempFwdRisk);
}
return(output);
}