public InterestRateModel(InterestRateModel arg0)
: this(AkaApiPINVOKE.new_InterestRateModel__SWIG_3(InterestRateModel.getCPtr(arg0)), true)
{
if (AkaApiPINVOKE.SWIGPendingException.Pending) throw AkaApiPINVOKE.SWIGPendingException.Retrieve();
}
// ***********************************************************
// EXAMPLE METHODS
// ***********************************************************
/// <summary>
/// Example of how to value a bond. </summary>
public static int exampleValuation()
{
Date pvdate = new Date(2000, 1, 1);
Date mdate = new Date(2030, 1, 1);
Console.WriteLine("pvdate: " + pvdate.Libdate() + " mdate: " + mdate.Libdate());
/* timing variables */
long start = 0;
InterestRateModel model = new InterestRateModel();
if (!model.SetVolatility(vol))
{
Console.Write("Warning: invalid volatility '{0:F}', using 0\n", vol);
}
if (!model.SetRate(.5, rate))
{
Console.Write("Warning: invalid input rate '{0:F}', using 2%\n", rate);
rate = 2;
model.SetRate(.5, rate);
}
if (ctype == CurveType.LINEAR)
{
model.SetRate(1, rate + .01);
model.SetRate(30, rate + .3);
}
else if (ctype == CurveType.ASYM)
{
double[] terms = new double[] {1, 3, 5, 7, 10, 15, 30};
for (int i = 0; i < terms.Length; i++)
{
model.SetRate(terms[i], rate + 2 * (1 - 1.0 / terms[i]));
}
}
if (quiet == false)
{
Console.Write("Making a par rate curve with {0:g2} volatility", vol);
Console.Write(", {0:F1} yr = {1:F2}%", 1.0, model.GetRate(1));
Console.Write(", {0:F1} yr = {1:F2}%", 30.0, model.GetRate(30));
}
if (timing)
{
start = CurrentUnixTimeMillis();
}
model.Solve();
if (timing)
{
start = CurrentUnixTimeMillis() - start;
Console.Write("Seconds to fit the base curve = {0:F2}\n", INSECS(start));
}
if (!msgs(model))
{
return model.Error();
}
// make the bond
if (quiet == false)
{
Console.Write("\nMaking a 30 year {0:g10}% bond maturing on {1:D}", coupon, mdate.Libdate());
}
Date idate = new Date(mdate.YearOf() - 30, mdate.MonthOf(), mdate.DayOf());
Bond bond = new Bond("example", idate, mdate, coupon);
if (!msgs(bond))
{
return bond.Error();
}
if (!bullet)
{
Date cdate = new Date(idate.YearOf() + 5, idate.MonthOf(), idate.DayOf());
if (quiet == false)
{
Console.Write(" callable {0:D} at par", cdate.Libdate());
}
if (!bond.SetCall(cdate, 100))
{
Console.Write("failed to add call at {0:D}\n", cdate.Libdate());
}
}
if (quiet == false)
{
Console.Write("\n\n");
}
if (quiet == false)
{
string underline = "--------------------";
string fmt = "%10.10s %8.8s %8.8s %8.8s %8.8s %8.8s";
Console.Write(fmt, "pvdate ", fromoas ? "price" : "oas", "accrued", "optval", "duration", "convex.");
Console.Write("\n");
Console.Write(fmt, underline, underline, underline, underline, underline, underline);
Console.Write("\n");
}
Value value = new Value(bond, model, pvdate);
if (!msgs(value))
{
return value.Error();
}
// loop through pvdates
start = CurrentUnixTimeMillis();
int cnt = 0;
for (cnt = 0; pvdate.IsLT(mdate) && cnt < days; pvdate.PlusEqual(1), cnt++)
{
if (cnt > 0)
{
value.Reset(bond, pvdate);
if (!msgs(value))
{
break;
}
}
double oas = fromoas ? quote : value.Oas(quote);
double price = fromoas ? value.Price(quote) : quote;
if (!msgs(value) || oas == Value.BadValue || price == Value.BadValue)
{
break;
}
if (quiet == false)
{
Duration duration = value.EffectiveDuration(oas);
Console.Write("{0:D2}/{1:D2}/{2:D4} {3,8:F3} {4,8:F3} {5,8:F3} {6,8:F3} {7,8:F3}", pvdate.MonthOf(), pvdate.DayOf(), pvdate.YearOf(), fromoas ? price : oas, value.Accrued(), value.OptionValue(oas), duration.duration, duration.convexity);
Console.Write("\n");
}
}
if (timing)
{
Console.Write("\nSeconds to value the bond for {0:D} pvdates = {1:F2}\n", cnt, INSECS(CurrentUnixTimeMillis() - start));
}
return 0;
}
public InterestRateModel(InterestRateModel.INPUTTYPE arg0)
: this(AkaApiPINVOKE.new_InterestRateModel__SWIG_0((int)arg0), true)
{
}
public InterestRateModel(InterestRateModel arg0, double forward_period)
: this(AkaApiPINVOKE.new_InterestRateModel__SWIG_2(InterestRateModel.getCPtr(arg0), forward_period), true)
{
if (AkaApiPINVOKE.SWIGPendingException.Pending) throw AkaApiPINVOKE.SWIGPendingException.Retrieve();
}
public bool AddTransition(double years, InterestRateModel arg1)
{
bool ret = AkaApiPINVOKE.InterestRateScenario_AddTransition(swigCPtr, years, InterestRateModel.getCPtr(arg1));
if (AkaApiPINVOKE.SWIGPendingException.Pending) throw AkaApiPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
internal static HandleRef getCPtr(InterestRateModel obj)
{
return (obj == null) ? new HandleRef(null, IntPtr.Zero) : obj.swigCPtr;
}
public InterestRateScenario(double years, InterestRateModel horizonmodel)
: this(AkaApiPINVOKE.new_InterestRateScenario__SWIG_2(years, InterestRateModel.getCPtr(horizonmodel)), true)
{
if (AkaApiPINVOKE.SWIGPendingException.Pending) throw AkaApiPINVOKE.SWIGPendingException.Retrieve();
}
public Value(Bond arg0, InterestRateModel arg1, SinkingFundStatus arg2, Date pvdate, Date tradedate)
: this(AkaApiPINVOKE.new_Value__SWIG_6(Bond.getCPtr(arg0), InterestRateModel.getCPtr(arg1), SinkingFundStatus.getCPtr(arg2), Date.getCPtr(pvdate), Date.getCPtr(tradedate)), true)
{
if (AkaApiPINVOKE.SWIGPendingException.Pending) throw AkaApiPINVOKE.SWIGPendingException.Retrieve();
}
public int Reset(Bond arg0, InterestRateModel arg1, SinkingFundStatus arg2, Date pvdate, Date tradedate)
{
int ret = AkaApiPINVOKE.Value_Reset__SWIG_5(swigCPtr, Bond.getCPtr(arg0), InterestRateModel.getCPtr(arg1), SinkingFundStatus.getCPtr(arg2), Date.getCPtr(pvdate), Date.getCPtr(tradedate));
if (AkaApiPINVOKE.SWIGPendingException.Pending) throw AkaApiPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
public int Reset(Bond arg0, InterestRateModel arg1, Date pvdate)
{
int ret = AkaApiPINVOKE.Value_Reset__SWIG_2(swigCPtr, Bond.getCPtr(arg0), InterestRateModel.getCPtr(arg1), Date.getCPtr(pvdate));
if (AkaApiPINVOKE.SWIGPendingException.Pending) throw AkaApiPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
public Value(Bond arg0, InterestRateModel arg1, Date pvdate)
: this(AkaApiPINVOKE.new_Value__SWIG_3(Bond.getCPtr(arg0), InterestRateModel.getCPtr(arg1), Date.getCPtr(pvdate)), true)
{
if (AkaApiPINVOKE.SWIGPendingException.Pending) throw AkaApiPINVOKE.SWIGPendingException.Retrieve();
}