public void Curve_Building(List <double> QuotedSpot, List <double> QuotedSpread, double Spread_traded, double Upfront)
{
OMLib.Conventions.DayCount.Actual365 dayCounter = new OMLib.Conventions.DayCount.Actual365();
//Build interest rate curve, discount curve
InterestRateCurve IRC = new InterestRateCurve();
YieldTermStructure yt = new YieldTermStructure(this.tradedate);
yt = IRC.calculation(tradedate, QuotedSpot); //return a discounting curve
this.Jump_Nodes = IRC.Nodes;
this.yieldcurve = yt;
// Build Payment Schedule
List <ZeroRates> zero_rates = new List <ZeroRates>(yt.jumps_.Count);
for (int i = 0; i < yt.t.Count; i++)
{
ZeroRates temp = new ZeroRates();
temp.YearFraction = yt.t[i];
temp.Rate = yt.getKnotZeroRates()[i];
zero_rates.Add(temp);
}
this.zero_rates = zero_rates;
// Implied hazard rates from quoted spreads.
hazardratecurve(yt, dayCounter, QuotedSpot, QuotedSpread, this.PremiumRate, Spread_traded, Upfront, this.Maturity, this.firstpaymentdate,
this.evalDate, this.formerpaymentdate, this.Frequency, this.Recovery);
double k = piecewiseHazardRate.SurvivalProb(new DateTime(2021, 06, 20));
// Build Yield Curve / Credit Curve to be output
curve_output(yt, this.piecewiseHazardRate);
}
public YieldTermStructure makeUSDCurve(DateTime tradeDate, double[] rates)
{
DateTime spotDate = tradeDate.AddDays(2);
InterestRateCurve IRC = new InterestRateCurve();
YieldTermStructure yt = new YieldTermStructure(tradeDate);
yt = IRC.calculation2(tradeDate, rates.ToList());
return(yt);
}
public void Build_yield_curve(DateTime TRADE_DATE)
{
var reader = new StreamReader(File.OpenRead(@"C:\Users\LeonDing\Source\Workspaces\OTC\CDSPro\Interest Rates.csv"));
var title = reader.ReadLine();
List <double> interest_rates = new List <double>();
while (!reader.EndOfStream)
{
var line = reader.ReadLine();
var values = line.Split(',');
interest_rates.Add(Convert.ToDouble(values[3]));
}
InterestRateCurve IRC = new InterestRateCurve();
YieldTermStructure yt = new YieldTermStructure(TRADE_DATE);
this.YIELD_CURVE = IRC.calculation2(TRADE_DATE, interest_rates);
}