/// <summary>
/// Returns a list of non-interpolated values found in a immediate vicinity of requested point.
/// <remarks>
/// If a GetValue method returns a exact match - this method should be returning null.
/// </remarks>
/// </summary>
/// <param name="termCurve"></param>
/// <param name="baseDate"></param>
/// <param name="dayCounter"></param>
/// <param name="date"></param>
/// <returns></returns>
public static Decimal InterpolateRate2(TermCurve termCurve, DateTime baseDate, IDayCounter dayCounter, DateTime date)
{
var dates = termCurve.GetListTermDates();
var values = termCurve.GetListMidValues();
var index = Array.BinarySearch(dates.ToArray(), date);
if (index >= 0)
{
var result = termCurve.point[index].mid;
return(result);
}
var nextIndex = ~index;
var prevIndex = nextIndex - 1;
var baseIndex = prevIndex - 1;
if (prevIndex == 0)
{
return(values[prevIndex]);//TODO check this.
}
var time1 = dayCounter.YearFraction(baseDate, dates[baseIndex]);
var time2 = dayCounter.YearFraction(baseDate, dates[nextIndex]);
var timei = dayCounter.YearFraction(baseDate, date);
var i1 = (time2 - timei) / (time2 - time1);
var i2 = (timei - time1) / (time2 - time1);
var r1 = (double)values[baseIndex];
var r2 = (double)values[nextIndex];
var rate = (i1 * r1 * time1 + i2 * r2 * time2) / timei;
//TODO check for DateTime1D point and return the date.
return((decimal)rate);
}
/// <summary>
/// Returns a list of non-interpolated values found in a immediate vicinity of requested point.
/// <remarks>
/// If a GetValue method returns a exact match - this method should be returning null.
/// </remarks>
/// </summary>
/// <param name="termCurve"></param>
/// <param name="date"></param>
/// <returns></returns>
public static TermPoint GetPreviousPoint(TermCurve termCurve, DateTime date)
{
var dates = termCurve.GetListTermDates();//GetDiscreteSpace().GetCoordinateArray(1);
var values = termCurve.GetListMidValues();
var index = Array.BinarySearch(dates.ToArray(), date);
if (index >= 0)
{
return(termCurve.point[index]);
}
var nextIndex = ~index;
var prevIndex = nextIndex - 1;
//TODO check for DateTime1D point and return the date.
var prevPoint = TermPointFactory.Create(values[prevIndex], dates[prevIndex]);
return(prevPoint);
}
///// <summary>
///// Returns a list of non-interpolated values found in a immediate vicinity of requested point.
///// <remarks>
///// If a GetValue method returns a exact match - this method should be returning null.
///// </remarks>
///// </summary>
///// <param name="termCurve"></param>
///// <param name="baseDate"></param>
///// <param name="dayCounter"></param>
///// <param name="date"></param>
///// <returns></returns>
//public static decimal InterpolateRate2(TermCurve termCurve, DateTime baseDate, IDayCounter dayCounter, DateTime date)
//{
// var dates = termCurve.GetListTermDates();
// var values = termCurve.GetListMidValues();
// var index = Array.BinarySearch(dates.ToArray(), date);
// if (index >= 0)
// {
// var result = termCurve.point[index].mid;
// return result;
// }
// var nextIndex = ~index;
// var prevIndex = nextIndex - 1;
// var baseIndex = prevIndex - 1;
// if (prevIndex == 0)
// {
// return values[prevIndex];//TODO check this.
// }
// var time1 = dayCounter.YearFraction(baseDate, dates[baseIndex]);
// var time2 = dayCounter.YearFraction(baseDate, dates[nextIndex]);
// var timei = dayCounter.YearFraction(baseDate, date);
// var i1 = (time2 - timei) / (time2 - time1);
// var i2 = (timei - time1) / (time2 - time1);
// var r1 = (double)values[baseIndex];
// var r2 = (double)values[nextIndex];
// var rate = (i1 * r1 * time1 + i2 * r2 * time2) / timei;
// return (decimal)rate;
//}
private static List <Tuple <DateTime, decimal> > ProcessTermCurve(TermCurve termCurve)
{
var result = new List <Tuple <DateTime, decimal> >();
var termDates = termCurve.GetListTermDates();
var values = termCurve.GetListMidValues();
int counter = 0;
if (termDates.Count == values.Count)
{
foreach (var date in termDates)
{
var tuple = new Tuple <DateTime, decimal>(date, values[counter]);
result.Add(tuple);
counter++;
}
}
return(result);
}
///<summary>
///</summary>
///<param name="discountCurve"></param>
///<param name="baseDate"></param>
///<param name="forwardRateTenor"></param>
///<param name="priceableXibor"></param>
///<returns></returns>
public TermCurve ToPriceableXiborForwardCurve(TermCurve discountCurve, DateTime baseDate,
Period forwardRateTenor, PriceableXibor priceableXibor) //TODO
{
//CompoundingFrequency frequency = CompoundingFrequencyHelper.Create("Annual");
var dates = discountCurve.GetListTermDates();
var yearFractions = new List <double>();
foreach (var date in dates)
{
var yearFraction = (date - baseDate).TotalDays / 365.0;//TODO extend this with a general daycountraction.
yearFractions.Add(yearFraction);
}
var midValues = discountCurve.GetListMidValues();
var discountFactors = new List <double>(Array.ConvertAll(midValues.ToArray(), Convert.ToDouble));
var forwardTermCurve = TermCurve.Create(new List <TermPoint>());
var index = 0;
foreach (var startOfPeriodDateTime in dates)
{
var yearFractionsbeginPeriod = yearFractions[index];
var endOfPeriodDateTime = forwardRateTenor.Add(startOfPeriodDateTime);
var yearFractionAtEndOfPeriod = (endOfPeriodDateTime - baseDate).TotalDays / 365.0;
//get df corresponding to end of period
//
IInterpolation interpolation = new LinearRateInterpolation();
interpolation.Initialize(yearFractions.ToArray(), discountFactors.ToArray());
var dfAtEndOfPeriod = interpolation.ValueAt(yearFractionAtEndOfPeriod, true);
var dfAtTheBeginingOfPeriod = discountFactors[index];
var forwardRate = (dfAtTheBeginingOfPeriod / dfAtEndOfPeriod - 1) /
(yearFractionAtEndOfPeriod - yearFractionsbeginPeriod);
var zeroPoint = TermPointFactory.Create(Convert.ToDecimal(forwardRate), startOfPeriodDateTime);
forwardTermCurve.Add(zeroPoint);
++index;
}
return(forwardTermCurve);
}
