/// <summary>
///
/// </summary>
/// <returns>The swap par rate</returns>
public decimal CalculateImpliedParRate(DateTime baseDate)
{
//Check the curves. If they are null use the market quote.
if (ForecastCurve == null)
{
return(0.0m);
}
var analyticsModel = new SimpleSwapAssetAnalytic();
var analyticModelParameters = new IRSwapAssetParameters
{
NotionalAmount = InitialNotional,
DiscountFactors = GetDiscountFactors(ForecastCurve, AdjustedPeriodDates, baseDate),
YearFractions = Convert(GetYearFractions()),
Weightings = CreateList(AdjustedPeriodDates.Count - 1, 1.0m)
};
//2. Get the discount factors
//3. Get the respective year fractions
//4. Get the Weightings
//3. Solve for the forward volatility that has the same premium.
var metrics = new[] { RateMetrics.ImpliedQuote };
var analyticResults =
analyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters,
metrics);
return(analyticResults.ImpliedQuote);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="interpolatedSpace">The interpolatedSpace.</param>
/// <returns></returns>
public override decimal CalculateImpliedQuote(IInterpolatedSpace interpolatedSpace)
{
AnalyticsModel = new SimpleSwapAssetAnalytic();
//DependencyCreator.Resolve<IModelAnalytic<ISwapAssetParameters, RateMetrics>>("InflationSwapAsset");
ISwapAssetParameters analyticModelParameters = new IRSwapAssetParameters();
AnalyticResults = new RateAssetResults();
//1. instantiate curve
//var curve = (IRateCurve)modelData.MarketEnvironment.GetPricingStructure(_discountCurveName);
//2. Set the rate
analyticModelParameters.Rate = MarketQuoteHelper.NormalisePriceUnits(FixedRate, "DecimalRate").value;
//2. Get the discount factors
analyticModelParameters.DiscountFactors =
GetDiscountFactors(interpolatedSpace, AdjustedPeriodDates.ToArray(), BaseDate);
//3. Get the respective year fractions
analyticModelParameters.YearFractions = GetYearFractions();
//4. Get the Weightings
analyticModelParameters.Weightings =
CreateWeightings(CDefaultWeightingValue, analyticModelParameters.DiscountFactors.Length);
//5. Set the anaytic input parameters and Calculate the respective metrics
AnalyticResults =
AnalyticsModel.Calculate <IRateAssetResults, RateAssetResults>(analyticModelParameters,
new[] { RateMetrics.ImpliedQuote });
return(AnalyticResults.ImpliedQuote);
}
