767 lines
30 KiB
C#
767 lines
30 KiB
C#
using Qdp.ComputeService.Data.CommonModels.MarketInfos;
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using Qdp.ComputeService.Data.CommonModels.MarketInfos.CurveDefinitions;
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using Qdp.Foundation.Implementations;
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using Qdp.Pricing.Base.Enums;
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using Qdp.Pricing.Base.Implementations;
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using Qdp.Pricing.Base.Interfaces;
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using Qdp.Pricing.Base.Utilities;
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using Qdp.Pricing.Library.Options.Utilities;
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using YLErp.Configuration;
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namespace YLErp.QdpModule
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{
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/// <summary>
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/// QDP类库帮助类
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/// </summary>
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public static class QdpHelper
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{
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/// <summary>
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/// 默认到期日计算
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/// </summary>
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/// <param name="contractCode"></param>
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/// <returns></returns>
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public static DateTime defaultMaturityDateFromContract(string contractCode)
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{
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//上海规则
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//合约交割月份的15日（遇法定假日顺延）
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var shCodes = new string[] { "CU", "AL", "ZN", "PB", "NI", "AU", "AG", "RB", "WR", "HC", "BU", "RU" };
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//合约交割月份前一月份的最后一个交易日,
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var shPreMonthLastDay = new string[] { "FU", "SC" };
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var shPreMonthFifthLastDay = new string[] { "IM" };
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//大连规则
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//合约月份第10个交易日
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var dalianCodes = new string[] { "M", "Y", "A", "B", "P", "C", "CS", "JD", "BB", "FB", "L", "V", "PP", "J", "JM", "I" };
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//special dalian rule, EGG
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//合约交割月份前一月份的倒数第4个交易日
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var dalianEggCodes = new string[] { "JD" };
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//zhenzhou rule
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//合约月份第10个交易日
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var zhenzhouCodes = new string[] { "SR", "CF", "ZC", "FG", "TA", "MA", "WH", "PM", "SM", "RM", "RI", "LR", "JR", "RS", "OI", "SF", "CY", "AP" };
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var calendar = CalendarImpl.Get("chn");
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Date adjsuted;
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if (strStartWith(contractCode, shCodes, out var estimate))
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{
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//SH rule: 15th of delivery date, modified following
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var unAdjusted = new Date(estimate.Year, estimate.Month, 15);
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adjsuted = calendar.Adjust(unAdjusted, BusinessDayConvention.ModifiedFollowing);
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}
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else if (strStartWith(contractCode, shPreMonthLastDay, out estimate))
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{
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//SH special rule, last biz day of previous month;
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var unAdjusted = new Date(estimate.Year, estimate.Month, 1);
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adjsuted = calendar.Adjust(unAdjusted, BusinessDayConvention.Previous);
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}
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else if (strStartWith(contractCode, shPreMonthFifthLastDay, out estimate))
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{
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//SH rule, 5th last biz day of previous month
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var unAdjusted = new Date(estimate.Year, estimate.Month, 1);
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for (var i = 1; i <= 5; i++)
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{
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unAdjusted = calendar.Adjust(unAdjusted.AddDays(-1), BusinessDayConvention.Previous);
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}
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adjsuted = unAdjusted;
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}
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else if (strStartWith(contractCode, dalianCodes, out estimate) || strStartWith(contractCode, zhenzhouCodes, out estimate))
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{
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//Dalian rule, 10th biz day of contract maturity month
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var unAdjusted = new Date(estimate.Year, estimate.Month, 1);
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for (var i = 1; i <= 10; i++)
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{
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unAdjusted = calendar.Adjust(unAdjusted.AddDays(1), BusinessDayConvention.ModifiedFollowing);
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}
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adjsuted = unAdjusted;
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}
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else if (strStartWith(contractCode, dalianEggCodes, out estimate))
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{
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//Dalian Egg rule, 4th last biz day of previous month
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var unAdjusted = new Date(estimate.Year, estimate.Month, 1);
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for (var i = 1; i <= 4; i++)
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{
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unAdjusted = calendar.Adjust(unAdjusted.AddDays(-1), BusinessDayConvention.Previous);
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}
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adjsuted = unAdjusted;
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}
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else
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{
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adjsuted = calendar.NextBizDay(new Term("1Y").Next(new Date(DateTime.Now)));
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}
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return adjsuted.DateTime;
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}
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private static bool strStartWith(string str, string[] InThisSet, out Date estimate)
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{
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var found = InThisSet.Where(x => str.StartsWith(x));
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//default
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estimate = new Date(DateTime.Today);
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//locate delivery day from delivery code
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//RB1803 => 20180301
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if (found.Count() > 0)
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{
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try
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{
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var head = InThisSet.First(x => str.StartsWith(x));
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var yearDates = "";
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string[] zhenzhouCodes = { "SR", "CF", "ZC", "FGM", "TA", "MA", "WH", "PM" };
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if (zhenzhouCodes.Contains(head)) // 郑州商品交易所的默认到期日做特殊处理
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{
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yearDates = "1" + str.Remove(0, head.Length);
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}
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else
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{
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yearDates = str.Remove(0, head.Length);
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}
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//var yearDates = str.Split(head)[1];
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var year = Convert.ToInt32("20" + yearDates[0] + yearDates[1]);
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try
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{
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var month = Convert.ToInt32(yearDates[2].ToString() + yearDates[3].ToString());
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estimate = new Date(year, month, 1);
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}
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catch (Exception)
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{
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estimate = new Date(year, 1, 1);
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}
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}
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catch (Exception)
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{ }
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}
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return found.Count() > 0;
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}
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/// <summary>
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/// 根据term和valueDate计算到期日
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/// </summary>
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/// <param name="valueDate"></param>
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/// <param name="term"></param>
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/// <returns></returns>
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public static DateTime getMaturityDate(DateTime valueDate, string term)
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{
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return new Term(term).Next(new Date(valueDate)).DateTime;
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}
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/// <summary>
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/// 从字符串中解析观察日列表
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/// 如：2019-07-16,2019-08-16
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/// </summary>
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public static Date[] ParseObservationDate(string observationDateStr)
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{
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if (string.IsNullOrWhiteSpace(observationDateStr))
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{
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return null;
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}
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var fields = observationDateStr.Split(new char[] { ';' }, StringSplitOptions.RemoveEmptyEntries);
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var dateStrs = fields[0].Split(new char[] { ',' }, StringSplitOptions.RemoveEmptyEntries);
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if (dateStrs == null || dateStrs.Length == 0)
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{
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return null;
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}
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return dateStrs.Select(x => new Date(DateTime.Parse(x))).ToArray();
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}
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public static DateTime[] GetObservationDatesFromString(string str)
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{
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var dates = ParseObservationDate(str);
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if (dates == null)
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{
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return null;
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}
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return dates.Select(x => x.DateTime).ToArray();
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}
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/// <summary>
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/// 解析凤凰、雪球的自定义信息字符串，其格式为
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/// {自定义敲出观察日序列};{敲出障碍价格序列};{票息序列}
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/// 每个序列内部都以逗号分隔多个元素
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/// </summary>
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/// <param name="str"></param>
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/// <returns>返回的元组，第一个元素为敲出观察日列表，第二个元素为敲出障碍价格列表，第三个元素为票息列表</returns>
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public static Tuple<Date[], double[], double[]> ParseAutocallCustomizedInfo(string str)
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{
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Date[] dates = null;
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double[] customizedKOBarriers = null;
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double[] customizedCoupons = null;
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if (!string.IsNullOrWhiteSpace(str))
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{
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//if (!str.Contains(";"))
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//{
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// str = ConvertObservationFromTableToString(str);
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//}
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var fields = str.Split(new char[] { ';' }, StringSplitOptions.RemoveEmptyEntries);
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if (fields != null && fields.Length > 0)
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{
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dates = ParseObservationDate(fields[0]);
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}
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if (fields != null && fields.Length > 1)
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{
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customizedKOBarriers = ParseDoubleNumbers(fields[1]);
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}
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if (fields != null && fields.Length > 2)
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{
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customizedCoupons = ParseDoubleNumbers(fields[2]);
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}
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}
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return Tuple.Create(dates, customizedKOBarriers, customizedCoupons);
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}
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/// <summary>
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/// 用于qdp 凤凰期权 看涨时，障碍价格为空，该障碍价格等于期初价格的100倍；看跌时，障碍价格为空，该障碍价格等于期初价格的百分之一
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/// </summary>
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public static Tuple<Date[], double[], double[]> ParseAutocallCustomizedInfoV2(string str, OptionType callput, double spotPrice, bool isMoneynessOption)
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{
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Date[] dates = null;
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double[] customizedKOBarriers = null;
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double[] customizedCoupons = null;
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if (!string.IsNullOrWhiteSpace(str))
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{
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var fields = str.Split(new char[] { ';' }, StringSplitOptions.RemoveEmptyEntries);
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if (fields != null && fields.Length > 0)
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{
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dates = ParseObservationDate(fields[0]);
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}
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if (fields != null && fields.Length > 1)
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{
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customizedKOBarriers = ParseDoubleNumbersV2(fields[1], callput, spotPrice, isMoneynessOption);
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}
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if (fields != null && fields.Length > 2)
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{
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customizedCoupons = ParseDoubleNumbers(fields[2]);
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}
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}
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return Tuple.Create(dates, customizedKOBarriers, customizedCoupons);
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}
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/// <summary>
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/// 不用于用于qdp 凤凰期权
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/// {自定义敲出观察日序列};{敲出障碍价格序列}; 只有解析两列
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/// </summary>
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/// <param name="str"></param>
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/// <returns>返回的元组，第一个元素为敲出观察日列表，第二个元素为敲出障碍价格列表</returns>
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public static Tuple<Date[], double[]> ParseAutocallCustomizedInfoV3(string str)
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{
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Date[] dates = null;
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double[] customizedKOBarriers = null;
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if (!string.IsNullOrWhiteSpace(str))
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{
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//if (!str.Contains(";"))
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//{
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// str = ConvertObservationFromTableToString(str);
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//}
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var fields = str.Split(new char[] { ';' }, StringSplitOptions.RemoveEmptyEntries);
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if (fields != null && fields.Length > 0)
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{
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dates = ParseObservationDate(fields[0]);
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}
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if (fields != null && fields.Length > 1)
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{
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customizedKOBarriers = ParseDoubleNumbers(fields[1]);
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}
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}
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return Tuple.Create(dates, customizedKOBarriers);
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}
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private static double[] ParseDoubleNumbers(string str)
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{
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var values = str.Split(new char[] { ',' }, StringSplitOptions.RemoveEmptyEntries);
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if (values == null || values.Length == 0)
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{
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return null;
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}
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//try
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//{
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// return values.Select(x => double.Parse(x)).ToArray();
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//}
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//catch
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//{
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// return null;
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//}
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var dvalues = new double[values.Length];
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for (var i = 0; i < values.Length; i++)
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{
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if (double.TryParse(values[i], out var d))
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{
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dvalues[i] = d;
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}
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else
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{
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return null;
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}
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}
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return dvalues;
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}
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/// <summary>
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/// 凤凰期权 看涨时，障碍价格为空，该障碍价格等于期初价格的100倍；看跌时，障碍价格为空，该障碍价格等于期初价格的百分之一
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/// </summary>
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private static double[] ParseDoubleNumbersV2(string str, OptionType callput, double spotPrice, bool isMoneynessOption)
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{
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var values = str.Split(new char[] { ',' });
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if (values == null || values.Length == 0)
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{
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return null;
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}
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double[] newVs = new double[values.Length];
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int i = 0;
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foreach (var v in values)
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{
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double newV = 0;
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if (string.IsNullOrEmpty(v))
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{
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switch (callput)
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{
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case OptionType.Call:
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newV = isMoneynessOption ? 100 : (spotPrice * 100);
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break;
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case OptionType.Put:
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newV = isMoneynessOption ? 0.01 : (spotPrice / 100);
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break;
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default: break;
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}
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}
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else
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{
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newV = double.Parse(v);
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}
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newVs[i] = newV;
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i++;
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}
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return newVs;
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}
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/// <summary>
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/// 解析亚式期权的Fixing价格序列
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/// </summary>
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/// <param name="fixings"></param>
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/// <returns></returns>
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public static Dictionary<Date, double> ParseFixingsFromString(string fixings)
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{
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return string.IsNullOrWhiteSpace(fixings)
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? new Dictionary<Date, double>() :
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fixings.Split(QdpConsts.Semilicon)
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.Select(x =>
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{
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var splits = x.Split(QdpConsts.Comma);
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return Tuple.Create(splits[0].ToDate(), double.Parse(splits[1]));
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}).ToDictionary(x => x.Item1, x => x.Item2);
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}
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/// <summary>
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/// 将期限字符串，转换成一组日期
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/// </summary>
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/// <param name="valueDate"></param>
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/// <param name="expireTenors"></param>
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/// <param name="volSurfaceKeyDateShift"></param>
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/// <param name="excludeEndDate"></param>
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/// <returns></returns>
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public static List<Date> ConvertTenorsToDates(Date valueDate, string[] expireTenors, VolSurfaceKeyDateShiftEnum volSurfaceKeyDateShift, bool excludeEndDate)
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{
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var dates = new List<Date>();
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var calendar = CalendarImpl.Get("chn");
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//解析到期日
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for (var i = 0; i < expireTenors.Length; ++i)
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{
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var expectedTermString = expireTenors[i];
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if (Term.IsTerm(expectedTermString))
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{
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var keyPointDate = new Term(expectedTermString).Next(valueDate);
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if (excludeEndDate)
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{
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keyPointDate = keyPointDate.AddDays(-1);
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}
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if (calendar.IsHoliday(keyPointDate))
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{
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switch (volSurfaceKeyDateShift)
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{
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case VolSurfaceKeyDateShiftEnum.NextBizDay:
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keyPointDate = calendar.NextBizDay(keyPointDate);
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break;
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case VolSurfaceKeyDateShiftEnum.PrevBizDay:
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keyPointDate = calendar.PrevBizDay(keyPointDate);
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break;
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default:
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break;
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}
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}
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dates.Add(keyPointDate);
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}
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}
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return dates;
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}
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/// <summary>
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///
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/// </summary>
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public static bool IsCall(string callPut)
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{
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if (string.IsNullOrEmpty(callPut))
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{
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return false;
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}
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return (OptionType)Enum.Parse(typeof(OptionType), callPut) == OptionType.Call;
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}
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public static double AnnualizeFactor(DateTime startDate, DateTime endDate, IDayCount dayCount)
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{
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return dayCount.CalcDayCountFraction(new Date(startDate), new Date(endDate));
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}
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public static double AnnualizeFactor(double ttmDays, IDayCount dayCount)
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{
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return ttmDays / dayCount.DaysInYear();
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}
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/// <summary>
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/// 计算精确的TTM
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/// </summary>
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/// <param name="from">开始日期</param>
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/// <param name="to">结束日期</param>
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/// <param name="systemDate">当前系统交易日</param>
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/// <param name="serverDateTime">当前服务器时间</param>
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/// <param name="dayCount">使用的DayCount</param>
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/// <param name="hasNightMarket">是否有夜盘</param>
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/// <param name="precisionOfMinute">是否精确到分钟</param>
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/// <returns></returns>
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public static double CalculateTTMDays(DateTime from, DateTime to, DateTime systemDate, DateTime serverDateTime, IDayCount dayCount, bool hasNightMarket, bool precisionOfMinute)
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{
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var tempFrom = new Date(from);
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var tempTo = new Date(to);
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var days = dayCount.DaysInPeriod(tempFrom, tempTo);
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//当交易日期不等于系统日期时，或者系统日期小于服务器日期时，默认加一天
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double addDays = 1;
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if (PS.Config.Is润和)
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{
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//东证润和
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addDays = GetAddDaysWithPhysicalPrecisionOfMinute(serverDateTime);
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}
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else
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{
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//当交易日期等于系统日期时，算出当天剩余的小数天数，然后加上去
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if (from.Date == systemDate && systemDate.Date >= serverDateTime.Date)
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{
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addDays = GetAddDays(serverDateTime, hasNightMarket, precisionOfMinute);
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//如果系统日期大于服务器日期（自然日期），而时间大于收盘时间（15点）且小于夜盘开盘时间（21点）
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//说明系统在夜盘开始前切换了交易日，此时应将TTM增加完整的一个交易日
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if (systemDate.Date > serverDateTime.Date
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&& serverDateTime.Hour >= 15 && serverDateTime.Hour < 21)
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{
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addDays += 1;
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}
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}
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}
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var ttmDays = days + addDays;
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return ttmDays < 0 ? 0 : ttmDays;
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}
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/// <summary>
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/// 计算精确的TTM
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/// </summary>
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/// <param name="from">开始日期</param>
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/// <param name="to">结束日期</param>
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/// <param name="systemDate">当前系统交易日</param>
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/// <param name="serverDateTime">当前服务器时间</param>
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/// <param name="dayCount">使用的DayCount</param>
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/// <param name="hasNightMarket">是否有夜盘</param>
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/// <param name="precisionOfMinute">是否精确到分钟</param>
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/// <returns></returns>
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public static double CalculateTTMDaysForXiangYu(DateTime from, DateTime to, DateTime systemDate, DateTime serverDateTime, IDayCount dayCount, bool hasNightMarket, bool precisionOfMinute)
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{
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//最后一天平仓时,ttm按分钟算
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//平仓日和系统交易日相等时,服务器时间的判断才有意义
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if (from == to && from <= systemDate)
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{
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if (serverDateTime.TimeOfDay < new TimeSpan(10, 15, 0))//判断当前时间是否是十点十五分前
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{
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//计算从前一天21点到现在经过的时间;
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double Secondsum = (serverDateTime.Hour + 3) * 60 + serverDateTime.Minute;
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var value = (795 - Secondsum) / 795d;
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return value;
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}
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else if (systemDate.Date > serverDateTime.Date && serverDateTime.Hour >= 15)//当系统交易日大于当前服务器时间且系统时间大于15点时,说明系统切过日期,且最后一个交易日的夜盘开始了.
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{
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//夜盘时段计算从21点到现在经过的分钟;
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double Secondsum = serverDateTime.Hour < 21 ? 0 : ((serverDateTime.Hour - 21) * 60 + serverDateTime.Minute);
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//795 = 13 * 60 + 15
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var value = (795 - Secondsum) / 795d;
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return value;
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}
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else//否则就是已经过期了;
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{
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return 0;
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}
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}
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return CalculateTTMDays(from, to, systemDate, serverDateTime, dayCount, hasNightMarket, precisionOfMinute);
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}
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/// <summary>
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/// 获取交易当天需要添加的小数天数
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/// </summary>
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/// <param name="variety">品种</param>
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/// <param name="precisionOfMinute">是否要精确到分钟级别</param>
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/// <returns></returns>
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public static double GetAddDays(DateTime now, bool hasNightMarket, bool precisionOfMinute = false)
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{
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return precisionOfMinute
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? GetAddDaysWithPrecisionOfMinute(now, hasNightMarket)
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: GetAddDaysWithPrecisionOfHalfDay(now, hasNightMarket);
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}
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/// <summary>
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/// 获取交易当天需要添加的小数天数，精确到半天，夜盘精确到三分之一天
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/// </summary>
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/// <param name="variety">品种</param>
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/// <returns></returns>
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private static double GetAddDaysWithPrecisionOfHalfDay(DateTime now, bool hasNightMarket)
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{
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if (hasNightMarket)
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{
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if (now.Hour >= 21)
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{
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return 1;
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}
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else if (now.Hour >= 0 && now.Hour < 12)
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{
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return 0.6666;
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}
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else if (now.Hour >= 12 && now.Hour < 15)
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{
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return 0.3333;
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}
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else
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{
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return 0;
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}
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}
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else
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{
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if (now.Hour >= 21 || (now.Hour >= 0 && now.Hour < 12))
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{
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return 1;
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}
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else if (now.Hour >= 12 && now.Hour < 15)
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{
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return 0.5;
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}
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else
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{
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return 0;
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}
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}
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}
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/// <summary>
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/// 在日内计算精确到分钟级别的TTM调整
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/// 假设所有夜盘交易时间都为2小时
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/// 上午交易时间为2.5小时，下午为1.5小时
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///
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/// 单元测试: GetAddDaysWithPrecisionOfMinuteTest
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/// </summary>
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/// <param name="hasNightMarket"></param>
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/// <returns></returns>
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private static double GetAddDaysWithPrecisionOfMinute(DateTime now, bool hasNightMarket)
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{
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return AnalyticalOptionPricerUtil.timeToMaturityFractionOnMaturityDate(now.TimeOfDay, hasNightMarket, false);
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//double past;
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//var totalTradingMiniutes = hasNightMarket ? (2 + 2.5 + 1.5) * 60 : (2.5 + 1.5) * 60;
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//if (hasNightMarket)
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//{
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// if (now.Hour >= 21 && now.Hour < 23)
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// {
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// past = (now.Hour - 21) * 60 + now.Minute;
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// }
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// else if (now.Hour >= 23)
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// {
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// past = 2 * 60;
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// }
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// else if (now.Hour < 9)
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// {
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// past = 2 * 60;
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// }
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// else if ((now.Hour >= 9 && now.Hour <= 10) || (now.Hour == 11 && now.Minute <= 30))
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// {
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// past = 2 * 60 + (now.Hour - 9) * 60 + now.Minute;
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// }
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// else if ((now.Hour > 11 || (now.Hour == 11 && now.Minute > 30)) && (now.Hour < 13 || (now.Hour == 13 && now.Minute < 30)))
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// {
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// past = (2 + 2.5) * 60;
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// }
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// else if (((now.Hour == 13 && now.Minute >= 30) || now.Hour > 13) && (now.Hour < 15))
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// {
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// past = (2 + 2.5) * 60 + (now.Hour - 13.5) * 60 + now.Minute;
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// }
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// else if (now.Hour >= 15 && now.Hour < 21)
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// {
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// past = (2 + 2.5 + 1.5) * 60;
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// }
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// else
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// {
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// //should never be here
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// throw new Exception("精确到分钟级别的TTM计算错误");
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// }
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//}
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//else
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//{
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// if ((now.Hour >= 9 && now.Hour <= 10) || (now.Hour == 11 && now.Minute <= 30))
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// {
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// past = (now.Hour - 9) * 60 + now.Minute;
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// }
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// else if ((now.Hour > 11 || (now.Hour == 11 && now.Minute > 30)) && (now.Hour < 13 || (now.Hour == 13 && now.Minute < 30)))
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// {
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// past = 2.5 * 60;
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// }
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// else if (((now.Hour == 13 && now.Minute >= 30) || now.Hour > 13) && (now.Hour < 15))
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// {
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// past = 2.5 * 60 + (now.Hour - 13.5) * 60 + now.Minute;
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// }
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// else if (now.Hour >= 15 && now.Hour < 21)
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// {
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// past = (2.5 + 1.5) * 60;
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// }
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// else if (now.Hour >= 21 || now.Hour < 9)
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// {
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// past = 0;
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// }
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// else
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// {
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// //should never be here
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// throw new Exception("精确到分钟级别的TTM计算错误");
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// }
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//}
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//if (hasNightMarket)
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//{
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// if (now.Hour >= 21 && now.Hour < 23)
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// {
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// past = (now.Hour - 21) * 60 + now.Minute;
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// }
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// else if (now.Hour >= 23)
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// {
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// past = 2 * 60;
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// }
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// else if (now.Hour < 9)
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// {
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// past = 2 * 60;
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// }
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// else if (now.Hour >= 9 && (now.Hour <= 11 && now.Minute <= 30))
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// {
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// past = 2 * 60 + (now.Hour - 9) * 60 + now.Minute;
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// }
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// else if ((now.Hour >= 11 || (now.Hour == 11 && now.Minute > 30)) && (now.Hour <= 13 || (now.Hour == 13 && now.Minute < 30)))
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// {
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// past = (2 + 2.5) * 60;
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// }
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// else if ((now.Hour >= 13 && now.Minute >= 30) && now.Hour < 15)
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// {
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// past = (2 + 2.5) * 60 + (now.Hour - 13.5) * 60 + now.Minute;
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// }
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// else if (now.Hour >= 15 && now.Hour < 21)
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// {
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// past = (2 + 2.5 + 1.5) * 60;
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// }
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// else
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// {
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// //should never be here
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// throw new Exception("精确到分钟级别的TTM计算错误");
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// }
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//}
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//else
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//{
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// if (now.Hour >= 9 && (now.Hour <= 11 && now.Minute <= 30))
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// {
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// past = (now.Hour - 9) * 60 + now.Minute;
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// }
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// else if ((now.Hour >= 11 || (now.Hour == 11 && now.Minute > 30)) && (now.Hour <= 13 || (now.Hour == 13 && now.Minute < 30)))
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// {
|
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// past = 2.5 * 60;
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// }
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// else if ((now.Hour >= 13 && now.Minute >= 30) && (now.Hour < 15))
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// {
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// past = 2.5 * 60 + (now.Hour - 13.5) * 60 + now.Minute;
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// }
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// else if (now.Hour >= 15 && now.Hour < 21)
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// {
|
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// past = (2.5 + 1.5) * 60;
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// }
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// else if (now.Hour >= 21 || now.Hour < 9)
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// {
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// past = 0;
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// }
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// else
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// {
|
|
// //should never be here
|
|
// throw new Exception("精确到分钟级别的TTM计算错误");
|
|
// }
|
|
//}
|
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|
|
//return (totalTradingMiniutes - past) / totalTradingMiniutes;
|
|
}
|
|
|
|
/// <summary>
|
|
/// 当天剩余的分钟数 / 一天总的分钟数
|
|
/// </summary>
|
|
/// <param name="now"></param>
|
|
/// <returns></returns>
|
|
private static double GetAddDaysWithPhysicalPrecisionOfMinute(DateTime now)
|
|
{
|
|
double totalTradingMiniutes = 24 * 60;
|
|
double past = now.Hour * 60 + now.Minute;
|
|
//到期日按照3点来算，所以需要把剩余的9个小时扣除
|
|
double minusNineHour = 9 * 60;
|
|
|
|
return (totalTradingMiniutes - past - minusNineHour) / totalTradingMiniutes;
|
|
}
|
|
|
|
/// <summary>
|
|
/// 创建一个无风险利率曲线
|
|
/// </summary>
|
|
public static InstrumentCurveDefinition CreateRiskFreeCurve(string curveName, double riskFreeRate, string curveDayCount = "Act365")
|
|
{
|
|
//创建一个Flat curve
|
|
var rateMktDataList = new List<RateMktData>
|
|
{
|
|
new RateMktData("1D", riskFreeRate, "Spot", "None", curveName),
|
|
new RateMktData("3Y", riskFreeRate, "Spot", "None", curveName)
|
|
};
|
|
if (string.IsNullOrWhiteSpace(curveDayCount))
|
|
{
|
|
curveDayCount = "Act365";
|
|
}
|
|
var curveConvention = new CurveConvention(Guid.NewGuid().ToString(), "CNY", "ModifiedFollowing", "chn", curveDayCount, "Continuous", "Linear");
|
|
return new InstrumentCurveDefinition(curveName, curveConvention, rateMktDataList.ToArray(), "SpotCurve");
|
|
}
|
|
}
|
|
}
|