internal static List <BillSwapPricer2CashflowItem> GenerateFixedCashflowsFromAmortisingResultItems(List <AmortisingResultItem> amortisingResultItems, IDayCounter dayCounter, double fixedRate)
{
var result = new List <BillSwapPricer2CashflowItem>();
for (int i = 0; i < amortisingResultItems.Count - 1; ++i)
{
var billSwapPricer2CashflowItem = new BillSwapPricer2CashflowItem
{
StartDate = amortisingResultItems[i].RollDate,
EndDate = amortisingResultItems[i + 1].RollDate,
Notional = amortisingResultItems[i].OutstandingValue
};
billSwapPricer2CashflowItem.AccrualPeriod = dayCounter.YearFraction(billSwapPricer2CashflowItem.StartDate, billSwapPricer2CashflowItem.EndDate);
billSwapPricer2CashflowItem.ImpliedForwardRate = fixedRate;
billSwapPricer2CashflowItem.DiscountedValue = billSwapPricer2CashflowItem.Notional /
(1 + billSwapPricer2CashflowItem.ImpliedForwardRate * billSwapPricer2CashflowItem.AccrualPeriod);
result.Add(billSwapPricer2CashflowItem);
}
return(result);
}
internal static List <BillSwapPricer2CashflowItem> GenerateFloatingCashflowsFromAmortisingResultItems(List <AmortisingResultItem> amortisingResultItems, IDayCounter dayCounter, RateCurve curve, double floatRateMargin)
{
var result = new List <BillSwapPricer2CashflowItem>();
for (int i = 0; i < amortisingResultItems.Count - 1; ++i)
{
var billSwapPricer2CashflowItem = new BillSwapPricer2CashflowItem
{
StartDate = amortisingResultItems[i].RollDate,
EndDate = amortisingResultItems[i + 1].RollDate,
Notional = amortisingResultItems[i].OutstandingValue
};
billSwapPricer2CashflowItem.AccrualPeriod = dayCounter.YearFraction(billSwapPricer2CashflowItem.StartDate, billSwapPricer2CashflowItem.EndDate);
double startOfPeriodDiscount = curve.GetDiscountFactor(billSwapPricer2CashflowItem.StartDate);
double endOfPeriodDiscount = curve.GetDiscountFactor(billSwapPricer2CashflowItem.EndDate);
double forecastContinuouslyCompoundingRate = floatRateMargin + ((startOfPeriodDiscount / endOfPeriodDiscount - 1.0) / billSwapPricer2CashflowItem.AccrualPeriod);
billSwapPricer2CashflowItem.ImpliedForwardRate = forecastContinuouslyCompoundingRate;
billSwapPricer2CashflowItem.DiscountedValue = billSwapPricer2CashflowItem.Notional /
(1 + billSwapPricer2CashflowItem.ImpliedForwardRate * billSwapPricer2CashflowItem.AccrualPeriod);
result.Add(billSwapPricer2CashflowItem);
}
return(result);
}
