public static Dictionary<string, object> Build(fcSwapCurveParameters p, object discountCurve)
{
var singleton = FinCADWrapper.Instance();
lock (singleton.GetLock())
{
var lib = FinCADWrapper.Instance().FCLibrary;
var result = lib.fcLiborCurve(p.ValuationDate,
FinCADHelpers.Flatten(p.FuturesQuotes),
FinCADHelpers.Flatten(p.FuturesConvexity),
FinCADHelpers.FlattenCashAsFRAs(p.CashQuotes),
FinCADHelpers.Flatten(p.SwapQuotes),
p.FixedLegConv,
p.FloatingLegConv,
p.FloatingIndex,
FinCADHelpers.Flatten(p.RateFixings),
discountCurve,
p.BootstrapSettings,
new string[3, 1] { {"DiscountCurve"}, {"RateCurveLabels"}, {"RateCurve"} },
null,
p.SmoothingSettings
);
return FinCADHelpers.SplitCurves(result);
}
}
protected override Dictionary<string, object> InternalBuildCurve()
{
var fcParams = new Symmetry.Analytics.FinCAD.fcSwapCurveParameters
{
ValuationDate = mValueDate,
BootstrapSettings = mParameters.BootstrapSettings,
CashConv = mParameters.CashConv,
CashQuotes = FinCADHelpers.GetMVP(mMoneyMarkets.OrderBy(m => Tenor.FromString(m.Key).Days()), mQuotes, 1),
FixedLegConv = mParameters.FixedLegConv,
FloatingLegConv = mParameters.FloatingLegConv,
FloatingIndex = mParameters.FloatingIndex,
FRAQuotes = null,
FuturesConvexity = FinCADHelpers.GetFuturesConvexity(mConvexities, mQuotes, 100M),
FuturesQuotes = FinCADHelpers.GetMVP(mFutures, mQuotes),
RateFixings = FinCADHelpers.GetMVP(mHistoricalFixings, 1),
SmoothingSettings = mParameters.SmoothingSettings,
SwapQuotes = FinCADHelpers.GetMVP(mSwaps, mQuotes, 1)
};
var result = fcLiborCurveWrapper.Build(fcParams, mDiscountCurve.Table.ObjectTable);
result.Add("Parameters", fcParams);
return result;
}