Get(ListTermCashflowSet cashFlowSet, int days, decimal nominal)
{
ZSpreadSpecificAnnuity annuity = new ZSpreadSpecificAnnuity(cashFlowSet, days);
var result = Interpolation.Interpolate(annuity.GetPV, 0.01m, 0.09m, nominal);
return(result);
}
public ZSpread(ListTermCashflowSet cashFlowSet, decimal nominal)
{
this.cashFlowSet = cashFlowSet;
this.nominal = nominal;
days = cashFlowSet.termType == Term.YearlyEffective ? 365 :
cashFlowSet.termType == Term.MonthlyEffective ? 30 : 0;
}
ZSpreadPresentValue(ListTermCashflowSet cashFlowSet, int days, decimal nominal)
{
Annuity annuity = new Annuity(cashFlowSet, days);
var result = Interpolation.Interpolate(annuity.GetZSpreadPV, 0.01m, 0.09m, nominal);
return(result);
}
public ActionResult <decimal> ZSpread(PlainListTermCashFlowSet cashFlowSet)
{
var cashFlowList =
new ListTermCashflowSet(cashFlowSet.cashflowSet, cashFlowSet.termType);
var res = new ZSpread(cashFlowList, cashFlowSet.nominal);
var result = res.CalculateZspread();
return(result);
}
AnnuityPresentValue(PlainListTermCashFlowSet cashFlowSet, int days, decimal nominal)
{
var cashFlowList =
new ListTermCashflowSet(cashFlowSet.cashflowSet, cashFlowSet.termType);
Annuity annuity = new Annuity(cashFlowList, days);
var result = annuity.GetPV();
return(result);
}
public void AssertInterpolationTest1()
{
var flows = new ListTermCashflowSet(cashFlowSet, Term.MonthlyEffective);
var zSpread = new ZSpread(flows, 2000000m);
var result = zSpread.Spread();
var annuity = new Annuity(flows, 30);
var check = annuity.GetZSpreadPV(0.0132866482605499030537820089M);
Assert.IsTrue(IsEqualWithinThreshold(result, 0.0132866482605499030537820089M));
Assert.IsTrue(IsEqualWithinThreshold(check, 2000000m));
}
public ZSpreadSpecificAnnuity(ListTermCashflowSet cashFlowSet, int days)
{
this.cashFlowSet = cashFlowSet;
this.days = days;
}
public NominalCashflowSet(Nominal Nominal, ListTermCashflowSet cashFlowSet)
{
this.Nominal = Nominal;
this.cashFlowSet = cashFlowSet;
}
