public void TestCashflowGamma1CCR() { for (var i = 1; i <= 10; i++) { var delta1 = CashflowAnalytics.CashflowGamma1CCR(10000000.0m, i, (Decimal)Math.Exp(-0.05 * i)); Debug.WriteLine(String.Format("Delta1 : {0} Time: {1}", delta1, i)); } }
public void TestCashflowNPV() { for (var i = 1; i <= 10; i++) { var npv = CashflowAnalytics.CashflowNPV(10000000.0m, (Decimal)Math.Exp(-0.05 * i)); Debug.WriteLine(String.Format("npv : {0} Time: {1}", npv, i)); } }
public void TestInArrearsCouponNPV() { for (var i = 1; i <= 10; i++) { var df = (Decimal)Math.Exp(-0.05 * i / 2); var npv = CashflowAnalytics.InArrearsCouponNPV(1000000.0m, 0.5m, 0.05m, df); Debug.WriteLine(String.Format("npv : {0} Time: {1} Df: {2} YearFraction: {3}", npv, i, df, 0.5m)); } }
public void TestISDADiscountedFixedCouponDeltaR() { for (var i = 0; i < 10; i++) { var df = (Decimal)Math.Exp(-0.05 * i / 2); var npv = CashflowAnalytics.ISDADiscountedFixedCouponDeltaR(1000000.0m, 0.5m, 0.05m, df); Debug.WriteLine(String.Format("delta0 : {0} Time: {1} Df: {2} YearFraction: {3}", npv, i, df, 0.5m)); } }
public void TestCashflowDelta12() { var delta1 = CashflowAnalytics.CashflowBucketDelta12(10000000.0m, 0.25m, 10.0m, 0.05m, (Decimal)Math.Exp(-0.05 * 10.0)); var index = 0; foreach (var delta in delta1) { Debug.WriteLine(String.Format("Delta1 : {0} Time: {1}", delta, index * 0.25m)); index++; } Debug.WriteLine(String.Format("TotalDelta1 : {0}", delta1.Sum())); }