public static double DFFromRate(
[QuantSAExcelArgument(Description = "The rate to use in finding the discount factor.")]
double rate,
[QuantSAExcelArgument(Description = "The compounding convention of the input rate.")]
CompoundingConvention compounding,
[QuantSAExcelArgument(Description = "The year fraction over which the rate applies.")]
double yearFraction)
{
return(compounding.DF(rate, yearFraction));
}
public void SingleInstance()
{
CompoundingConvention annual1 = CompoundingStore.Annual;
CompoundingConvention annual2 = CompoundingStore.Annual;
Assert.IsTrue(annual1 == annual2);
CompoundingConvention cont1 = CompoundingStore.Continuous;
CompoundingConvention cont2 = CompoundingStore.Continuous;
Assert.IsTrue(cont1 == cont2);
}
public static double RateConvert([QuantSAExcelArgument(Description = "The rate to convert.")]
double rate,
[QuantSAExcelArgument(Description = "The compounding convention of the input rate.")]
CompoundingConvention compoundingFrom,
[QuantSAExcelArgument(Description = "The compounding convention that the output rate should be in.")]
CompoundingConvention compoundingTo,
[QuantSAExcelArgument(
Description =
"(Optional) The yearfraction over which the rate applies. Only required if one of the conventions is 'Simple' or 'Discount'",
Default = "double.NaN")]
double yearFraction)
{
if (compoundingFrom == CompoundingStore.Simple && double.IsNaN(yearFraction))
{
throw new ArgumentException(
"Cannot convert from a 'Simple' convention without the year fraction being specified.");
}
if (compoundingFrom == CompoundingStore.Discount && double.IsNaN(yearFraction))
{
throw new ArgumentException(
"Cannot convert from a 'Discount' convention without the year fraction being specified.");
}
if (compoundingTo == CompoundingStore.Simple && double.IsNaN(yearFraction))
{
throw new ArgumentException(
"Cannot convert from a 'Simple' convention without the year fraction being specified.");
}
if (compoundingTo == CompoundingStore.Discount && double.IsNaN(yearFraction))
{
throw new ArgumentException(
"Cannot convert to a 'Discount' convention without the year fraction being specified.");
}
if (double.IsNaN(yearFraction))
{
yearFraction = 1.0;
}
var df = compoundingFrom.DF(rate, yearFraction);
var resultRate = compoundingTo.rateFromDF(df, yearFraction);
return(resultRate);
}
