public static Tuple <Date, double> TryGetValue(this SortedDictionary <Date, double> historicalRates, Date fixingDate, ICalendar resetCalendar)
{
var returnTuple = Tuple.Create(fixingDate, 0.0);
if (historicalRates != null && historicalRates.Count > 0)
{
var lastKeyPair = historicalRates.ElementAt(historicalRates.Count - 1);
var firstKeyPair = historicalRates.ElementAt(0);
if (lastKeyPair.Key < fixingDate)
{
returnTuple = Tuple.Create(lastKeyPair.Key, lastKeyPair.Value);
}
else if (firstKeyPair.Key <= fixingDate)
{
while (!historicalRates.ContainsKey(fixingDate) ||
(historicalRates.ContainsKey(fixingDate) && double.IsNaN(historicalRates[fixingDate])))
{
fixingDate = resetCalendar.AddBizDays(fixingDate, -1);
}
var fixingRate = historicalRates[fixingDate];
returnTuple = Tuple.Create(fixingDate, fixingRate);
}
}
return(returnTuple);
}
public void TestCalendarAdjust()
{
var d1 = new Date(2014, 01, 30);
var d2 = new Date(2014, 01, 31);
var d3 = new Date(2014, 02, 06);
var d4 = new Date(2014, 02, 12);
Assert.AreEqual(new Date(2014, 02, 07), _cal.Adjust(d2, BusinessDayConvention.Following));
Assert.AreEqual(new Date(2014, 01, 30), _cal.Adjust(d2, BusinessDayConvention.ModifiedFollowing));
Assert.AreEqual(new Date(2014, 01, 30), _cal.Adjust(d3, BusinessDayConvention.Previous));
Assert.AreEqual(new Date(2014, 02, 07), _cal.Adjust(d3, BusinessDayConvention.ModifiedPrevious));
Assert.AreEqual(new Date(2014, 01, 31), _cal.AddDays(d1, 1));
Assert.AreEqual(new Date(2014, 02, 07), _cal.AddBizDays(d1, 1));
Assert.AreEqual(new Date(2014, 02, 07), _cal.AddDays(d1, 1, BusinessDayConvention.Following));
Assert.AreEqual(new Date(2014, 01, 30), _cal.AddDays(d1, 1, BusinessDayConvention.ModifiedFollowing));
Assert.AreEqual(new Date(2014, 02, 07), _cal.AddBizDays(d1, 1, BusinessDayConvention.Previous));
Assert.AreEqual(new Date(2014, 02, 07), _cal.AddBizDays(d1, 1, BusinessDayConvention.ModifiedFollowing));
Assert.AreEqual(new Date(2014, 02, 01), _cal.AddDays(d2, 1));
Assert.AreEqual(new Date(2014, 02, 07), _cal.AddBizDays(d2, 1));
Assert.AreEqual(new Date(2014, 02, 07), _cal.AddDays(d2, 1, BusinessDayConvention.Following));
Assert.AreEqual(new Date(2014, 02, 07), _cal.AddDays(d2, 1, BusinessDayConvention.ModifiedFollowing));
Assert.AreEqual(new Date(2014, 02, 10), _cal.AddBizDays(d2, 1, BusinessDayConvention.Following));
Assert.AreEqual(new Date(2014, 02, 07), _cal.AddBizDays(d2, 1, BusinessDayConvention.Previous));
Assert.AreEqual(false, _cal.BizDaysBetweenDates(d2, d3).Any());
Assert.AreEqual(4, _cal.BizDaysBetweenDates(d1, d4).Count);
}
public static double GetAverageIndex(this IDictionary <Date, double> floatingIndexRates,
Date fixingDate,
ICalendar resetCalendar,
int period,
int?fixingRateDigits = null)
{
var indexRates = floatingIndexRates.ToSortedDictionary();
double sum = 0.0;
var n = period;
var temp = new List <Tuple <Date, double> >();
//var t1D = new Term("1D");
while (indexRates != null && indexRates.Count > 0)
{
if (resetCalendar.IsHoliday(fixingDate))
{
fixingDate = resetCalendar.AddBizDays(fixingDate, -1);
continue;
}
double value;
var fixingTruple = indexRates.TryGetValue(fixingDate, resetCalendar);
fixingDate = fixingTruple.Item1;
value = fixingTruple.Item2;
sum += value;
temp.Add(Tuple.Create(fixingDate, value));
fixingDate = resetCalendar.AddBizDays(fixingDate, -1);
if (--n == 0)
{
break;
}
}
return((sum / period).Round((fixingRateDigits ?? 13) + 2));
}
public static double tradeVolLinearInterp(Date valuationDate, double tradeOpenVol, double tradeCloseVol, Date startDate, Date maturityDate,
int numOfSmoothingDays, DayCountMode dayCountMode, ICalendar calendar)
{
Date smoothingEndDate;
double T, t;
switch (dayCountMode)
{
case DayCountMode.CalendarDay:
smoothingEndDate = startDate.AddDays(numOfSmoothingDays);
if (smoothingEndDate > maturityDate)
{
smoothingEndDate = maturityDate;
}
T = smoothingEndDate - startDate;
t = valuationDate - startDate;
break;
default:
smoothingEndDate = calendar.AddBizDays(startDate, numOfSmoothingDays);
if (smoothingEndDate > maturityDate)
{
smoothingEndDate = maturityDate;
}
Date valuationTradingDate = calendar.IsBizDay(valuationDate) ? valuationDate : calendar.PrevBizDay(valuationDate);
T = calendar.BizDaysBetweenDatesExcluStartDay(startDate, smoothingEndDate).Count;
t = calendar.BizDaysBetweenDatesExcluStartDay(startDate, valuationTradingDate).Count;
break;
}
if (valuationDate >= smoothingEndDate)
{
return(tradeCloseVol);
}
if (valuationDate < smoothingEndDate & valuationDate >= startDate)
{
double slope = (tradeCloseVol - tradeOpenVol) / T;
return(tradeOpenVol + slope * t);
}
else
{
throw new PricingBaseException("AnalyticalOptionTradeVolInterp error: valuationDate < startDate");
}
}
public double GetResetRate(
IYieldCurve fixingCurve,
Date fixingDate,
ICalendar resetCalendar,
ITerm fixingTenor,
int period,
IDictionary <Date, double> historicalRates,
Compound indexCompound,
IDayCount indexDayCount
)
{
var refDate = fixingCurve != null ? fixingCurve.ReferenceDate : fixingDate;
var t1D = new Term("1D");
while (resetCalendar.IsHoliday(fixingDate))
{
fixingDate = t1D.Prev(fixingDate);
}
IDictionary <Date, double> indexRates = new SortedDictionary <Date, double>();
if (fixingDate <= refDate)
{
indexRates = historicalRates;
}
else
{
for (var i = 0; i < period; i++)
{
var resetFixingDate = resetCalendar.AddBizDays(fixingDate, -i);
double reseFixingRate = fixingCurve.GetForwardRate(resetFixingDate < refDate ? refDate : resetFixingDate, fixingTenor, indexCompound, indexDayCount);
indexRates.Add(resetFixingDate, reseFixingRate);
}
}
return(indexRates.GetAverageIndex(fixingDate, resetCalendar, period, _resetRateDigits));
}
/// <summary>
/// 根据日历和基准日期得到目标日期
/// </summary>
/// <param name="calendar">日历</param>
/// <param name="date">基准日期</param>
/// <returns>目标日期</returns>
public Date Get(ICalendar calendar, Date date)
{
return(IsBizDay ?
calendar.AddBizDays(date, Offset, BusinessDayConvention)
: calendar.AddDays(date, Offset, BusinessDayConvention));
}