/// <summary>
/// </summary>
/// <param name="discountCurve"></param>
/// <param name="tenor"></param>
/// <param name="baseDate"></param>
/// <param name="interpolatedCurve"></param>
/// <param name="paymentCalendar"></param>
/// <param name="dayCounter"></param>
/// <returns></returns>
/// <exception cref="System.Exception"></exception>
public static TermCurve ToForwardCurve(TermCurve discountCurve, Period tenor, DateTime baseDate,
InterpolatedCurve interpolatedCurve, IBusinessCalendar paymentCalendar, IDayCounter dayCounter)
{
TermCurve result = TermCurve.Create(new List <TermPoint>());
var length = discountCurve.point.Length;
var offset = new Offset
{
dayType = DayTypeEnum.Calendar,
dayTypeSpecified = true,
period = tenor.period,
periodMultiplier = tenor.periodMultiplier,
periodSpecified = true
};
if (paymentCalendar == null)
{
return(result);
}
for (int i = 0; i < length - 1; i++) //This will only go to the penultimate point. Extrapolation required for more.
{
var pointStart = discountCurve.point[i];
DateTime startDate = XsdClassesFieldResolver.TimeDimensionGetDate(pointStart.term);
var endDate = paymentCalendar.Advance(startDate, offset, BusinessDayConventionEnum.FOLLOWING);
var endPoint = new DateTimePoint1D(baseDate, endDate);
var endDF = interpolatedCurve.Value(endPoint);
double time = dayCounter.YearFraction(startDate, endDate);
var forwardRateDouble =
RateAnalytics.DiscountFactorsToForwardRate((double)pointStart.mid, endDF, time);
TermPoint forwardPoint = TermPointFactory.Create(Convert.ToDecimal(forwardRateDouble), startDate);
forwardPoint.id = tenor.id;
result.Add(forwardPoint);
}
return(result);
}
///<summary>
///</summary>
///<param name="discount"></param>
///<param name="shift"></param>
public void Populate(QuarterlyDiscounts discount, QuarterlyShifts shift)
{
var forward = new double[_maxTenor + 1];
var accumForward = new double[_maxTenor + 1];
var accumForwardTimesRate = new double[_maxTenor + 1];
var accumForwardTimesShiftedRate = new double[_maxTenor + 1];
accumForward[0] = 0;
accumForwardTimesRate[0] = 0;
accumForwardTimesShiftedRate[0] = 0;
var w = new double[_maxTenor];
var h = new double[_maxTenor];
for (int i = 0; i < _maxExpiry; i++)
{
for (int j = 0; j < _maxTenor - i; j++)
{
//See "Engineering BGM" page 34 for explicit formula. Function definitions can be found in chapter 4.
forward[j + 1] = RateAnalytics.ForwardContract(i + 1, i + j + 2, discount);
accumForward[j + 1] = accumForward[j] + forward[j + 1];
accumForwardTimesRate[j + 1]
= accumForwardTimesRate[j] + forward[j + 1] * RateAnalytics.CashForwardRate(i + j + 1, discount);
accumForwardTimesShiftedRate[j + 1]
= accumForwardTimesShiftedRate[j] + forward[j + 1] * RateAnalytics.ShiftedCashForwardRate(i + j + 1, discount, shift);
h[j] = 0.25 * RateAnalytics.ShiftedCashForwardRate(i + j + 1, discount, shift) / (1 + 0.25 * RateAnalytics.CashForwardRate(i + j + 1, discount));
for (int k = 0; k < j + 1; k++)
{
w[k] = forward[k + 1] * RateAnalytics.ShiftedCashForwardRate(i + k + 1, discount, shift) / accumForwardTimesShiftedRate[j + 1];
_weights[i][j][k] = w[k] - h[k] * ((accumForwardTimesRate[j + 1] - accumForwardTimesRate[k]) / accumForwardTimesShiftedRate[j + 1]
- (1 - accumForward[k] / accumForward[j + 1]) * accumForwardTimesRate[j + 1] / accumForwardTimesShiftedRate[j + 1]);
}
}
}
}
// need a based date?
//
///<summary>
///</summary>
///<param name="discountCurve"></param>
///<param name="baseDate"></param>
///<param name="frequency"></param>
///<param name="dayCounter"></param>
///<returns></returns>
///<exception cref="System.Exception"></exception>
public static TermCurve ToZeroCurve(TermCurve discountCurve, DateTime baseDate,
CompoundingFrequencyEnum frequency, IDayCounter dayCounter)
{
TermCurve result = TermCurve.Create(new List <TermPoint>());
foreach (TermPoint point in discountCurve.point)
{
DateTime pointDate = XsdClassesFieldResolver.TimeDimensionGetDate(point.term);
double zeroRateDouble;
if (baseDate != pointDate)
{
double time = dayCounter.YearFraction(baseDate, pointDate);
zeroRateDouble = RateAnalytics.DiscountFactorToZeroRate((double)point.mid, time, frequency);
}
else
{
// set after the loop
zeroRateDouble = 0;
}
TermPoint zeroPoint = TermPointFactory.Create(Convert.ToDecimal(zeroRateDouble), pointDate);
zeroPoint.id = point.id;
result.Add(zeroPoint);
}
if (result.point[0].mid == 0)
{
result.point[0].mid = result.point[1].mid;
}
return(result);
}
