public static double PV(this CashFlowSchedule schedule, Currency reportingCCy, IFundingModel model, string forecastCurve, DayCountBasis basisFloat, DateTime?filterDate)
{
var totalPv = 0.0;
for (var i = 0; i < schedule.Flows.Count; i++)
{
var flow = schedule.Flows[i];
if (filterDate.HasValue && flow.SettleDate < filterDate.Value)
{
continue;
}
double fv, pv;
var df = model.GetDf(reportingCCy, model.BuildDate, flow.SettleDate);
var fwdFxRate = model.GetFxRate(flow.SettleDate, flow.Currency, reportingCCy);
switch (flow.FlowType)
{
case FlowType.FixedRate:
{
var rateLin = flow.FixedRateOrMargin;
var yf = flow.YearFraction;
fv = rateLin * yf * flow.Notional;
fv *= fwdFxRate;
pv = fv * df;
totalPv += pv;
break;
}
case FlowType.FloatRate:
{
var s = flow.AccrualPeriodStart;
var e = flow.AccrualPeriodEnd;
var rateLin = model.GetCurve(forecastCurve).GetForwardRate(s, e, RateType.Linear, basisFloat);
rateLin += flow.FixedRateOrMargin;
var yf = flow.YearFraction;
fv = rateLin * yf * flow.Notional;
fv *= fwdFxRate;
pv = fv * df;
totalPv += pv;
break;
}
case FlowType.FixedAmount:
{
fv = flow.Notional;
fv *= fwdFxRate;
pv = fv * df;
totalPv += pv;
break;
}
}
}
return(totalPv);
}
public static double PV(this CashFlowSchedule schedule, IrCurve discountCurve, IrCurve forecastCurve, bool updateState, bool updateDf, bool updateEstimate, DayCountBasis basisFloat, DateTime?filterDate)
{
double totalPv = 0;
for (var i = 0; i < schedule.Flows.Count; i++)
{
var flow = schedule.Flows[i];
if (filterDate.HasValue && flow.SettleDate < filterDate.Value)
{
continue;
}
double fv, pv, df;
switch (flow.FlowType)
{
case FlowType.FixedRate:
{
if (updateState)
{
var rateLin = flow.FixedRateOrMargin;
var yf = flow.YearFraction;
fv = rateLin * yf * flow.Notional;
}
else
{
fv = flow.Fv;
}
if (updateDf)
{
df = discountCurve.Pv(1, flow.SettleDate);
}
else
{
df = flow.Fv == flow.Pv ? 1.0 : flow.Pv / flow.Fv;
}
pv = fv * df;
totalPv += pv;
if (updateState)
{
flow.Fv = fv;
flow.Pv = pv;
}
break;
}
case FlowType.FloatRate:
{
if (updateEstimate)
{
var s = flow.AccrualPeriodStart;
var e = flow.AccrualPeriodEnd;
var rateLin = forecastCurve.GetForwardRate(s, e, RateType.Linear, basisFloat);
rateLin += flow.FixedRateOrMargin;
var yf = flow.YearFraction;
fv = rateLin * yf * flow.Notional;
}
else
{
fv = flow.Fv;
}
if (updateDf)
{
df = discountCurve.Pv(1, flow.SettleDate);
}
else
{
df = flow.Fv == flow.Pv ? 1.0 : flow.Pv / flow.Fv;
}
pv = fv * df;
totalPv += pv;
if (updateState)
{
flow.Fv = fv;
flow.Pv = pv;
}
break;
}
case FlowType.FixedAmount:
{
fv = flow.Notional;
if (updateDf)
{
df = discountCurve.Pv(1, flow.SettleDate);
}
else
{
df = flow.Fv == flow.Pv ? 1.0 : flow.Pv / flow.Fv;
}
pv = fv * df;
totalPv += pv;
if (updateState)
{
flow.Fv = fv;
flow.Pv = pv;
}
break;
}
}
}
return(totalPv);
}