//! returns the spreaded zero yield rate
protected override double zeroYieldImpl(double t)
{
// to be fixed: user-defined daycounter should be used
InterestRate zeroRate =
originalCurve_.link.zeroRate(t, comp_, freq_, true);
InterestRate spreadedRate = new InterestRate(zeroRate.value() + spread_.link.value(),
zeroRate.dayCounter(),
zeroRate.compounding(),
zeroRate.frequency());
return(spreadedRate.equivalentRate(Compounding.Continuous, Frequency.NoFrequency, t).value());
}
public override string value(DateTime dateTime, Excel_instrumentViewModel e_instVM, Excel_underlyingInfoViewModel excel_uivm)
{
// 국고 커브를 로드함
DateTime maturity = e_instVM.Excel_interfaceViewModel_.Excel_issueInfoViewModel_.MaturityDate_;
Excel_yieldCurveViewModel e_ycvm =
e_instVM.Excel_parameterViewModel_.ParameterSettingManager_.DiscountCurveParaSetting_.discountCurve(dateTime, "KRW");
QLNet.YieldTermStructure q_y = e_ycvm.yieldCurve();
TimeSpan timeSpan = maturity - dateTime;
double t = timeSpan.TotalDays / 365;
InterestRate rate = q_y.zeroRate(t, QLNet.Compounding.Compounded);
double drift = rate.value();
return(drift.ToString());
}
