private void GetZero(ParRateElfEx maxTaibor, List <ParRateElfEx> cosmosList)
{
ParRateElfEx lastRateElfEx = maxTaibor;
for (int swap = 0; swap < cosmosList.Count; swap++)
{
//# 先給定一個外插的斜率
double slope1 = (cosmosList[swap].Rate - lastRateElfEx.Zero) / (cosmosList[swap].DaysAct - lastRateElfEx.DaysAct);
double slope2;
//# 牛頓法設定
double fixedRate = 0.0001;
double epsilon = 0.000_000_000_001;
int maxIter = 10;
double zero = 1;
//# 檢驗用不同的slope帶入後, 最得決定斜率為何
for (int i = 0; i <= maxIter; i++)
{
//# 檢驗用不同的slope帶入後, 算出的IRS的NPV
double value1 = YieldCurveLinearBootstrap1(cosmosList[swap].DaysAct, lastRateElfEx, slope1, cosmosList[swap].DaysAct, cosmosList[swap].Rate);
//# 用線性插補法算出 Zero Rate
zero = lastRateElfEx.Zero + slope1 * (cosmosList[swap].DaysAct - lastRateElfEx.DaysAct);
//# 調整斜率
slope2 = slope1 - fixedRate;
//# 檢驗用不同的slope帶入後, 算出的IRS的NPV
double value2 = YieldCurveLinearBootstrap1(cosmosList[swap].DaysAct, lastRateElfEx, slope2, cosmosList[swap].DaysAct, cosmosList[swap].Rate);
//# 以下不知
double dx = (value2 - value1) / fixedRate;
//logger.Info($"year={cosmosList[swap].DaysAct}, Rate={cosmosList[swap].Rate}, Swaps={swap + 1}, slope1={slope1}, value1={value1}, zeroRate={zero}, slope2={slope2}, value2={value2}, dx={dx}");
if (Math.Abs(dx) < epsilon)
{
break;
}
slope1 = slope1 - (0 - value1) / dx;
}
//# 得到Zero Rate
cosmosList[swap].Zero = zero;
lastRateElfEx = cosmosList[swap];
}
}
private void AddParRateForInterbank(DateTime startDate, ParRateElf parRateInfo)
{
//# 一定是ON或TN, 央行沒有報TN, 所以會用ON的利率帶進來
(DateTime endDate, double days, double daysAct) = GetEndDate(startDate, parRateInfo);
double zero = 0; //# 零息利率
#region 取零息利率
if (parRateInfo.Unit == EnumTenorUnit.Day && parRateInfo.Tenor == 2) //# TN
{
ParRateElfEx ON = ParRateList.SingleOrDefault(p => p.Tenor == 1 && p.Unit == EnumTenorUnit.Day);
if (ON == null)
{
throw new Exception("沒有O/N無法計算T/N的零息利率");
}
double s = days - ON.Days;
zero = RateAx.TN零息利率(ON.DF, parRateInfo.Rate, days, s);
}
else
{
zero = RateAx.零息利率_T_R(parRateInfo.Rate, daysAct);
}
#endregion 取零息利率
this.ParRateList.Add(new ParRateElfEx(parRateInfo, this.TradeDate, endDate, days, daysAct, zero));
}
public double YieldCurveLinearBootstrap1(double _yearTime, ParRateElfEx lastRateElfEx, double slope, double daysAct, double irsRate)
{
//# 展開此COSMOS的利率, 總共有多少次計息, 每3個月計息一次, 1年就有4次
IRSRateElf[] irsList = new IRSRateElf[Convert.ToInt32(Math.Round(_yearTime)) * 4];
//# 預設NPV為-100, 不知道為什麼
double npv = -100;
for (int row = 0; row < irsList.Length; row++)
{
//# 每3個月計息一次, 取得計息日, 換算出天數相關資料
irsList[row].EndDate = m_tradeDateAx.AdjustTradeDate(SpotDate.AddMonths((row + 1) * 3));
irsList[row].Days = (irsList[row].EndDate - TradeDate).TotalDays;
irsList[row].DaysAct = irsList[row].Days / ACTUAL;
if (row == 0)
{
irsList[row].TenorDays = (irsList[row].EndDate - SpotDate).TotalDays;
}
else
{
irsList[row].TenorDays = (irsList[row].EndDate - irsList[row - 1].EndDate).TotalDays;
}
irsList[row].TenorDaysAct = irsList[row].TenorDays / ACTUAL;
//# 如果還在Taibor的利率範圍內, 直接用線性插補法取得Zero Rate
if (irsList[row].Days < lastRateElfEx.Days)
{
//# 取得已經完成Zero Rate的資料
var readlyRateList = from item in this.ParRateList
where item.Zero != 1
orderby item.Days
select item;
var interpolate = MathNet.Numerics.Interpolate.Linear(readlyRateList.Select(p => p.DaysAct), readlyRateList.Select(p => p.Zero));
irsList[row].Zero = interpolate.Interpolate(irsList[row].DaysAct);
}
else //# 如果超過了Taibor的利率範圍, 還是用線性插補法取得, 只是改用了COSMOS和Taibor的斜率
{
irsList[row].Zero = lastRateElfEx.Zero + slope * (irsList[row].DaysAct - lastRateElfEx.DaysAct);
}
//# 如果是此IRS最後一個Tenor了
if (row == irsList.Length - 1)
{
//# 不知道為什麼最後一個利息要加100元
irsList[row].Interest = irsRate * irsList[row].TenorDaysAct + 100;
}
else
{
irsList[row].Interest = irsRate * irsList[row].TenorDaysAct;
}
//# 算折現因子
var DFx = 1 / Math.Exp(irsList[row].Zero * 0.01 * irsList[row].DaysAct);
//# 取得TN利率
var tnRate = this.ParRateList.Where(p => p.Market == EnumRateMarket.Interbank && p.Tenor == 2).First();
var DFy = Math.Exp(tnRate.Zero * 0.01 * tnRate.DaysAct);
irsList[row].DF = DFx * DFy;
//# 算NPV
irsList[row].NPV = irsList[row].Interest * irsList[row].DF;
//# 總計NPV
npv += irsList[row].NPV;
}
return(npv);
}
