public double CalculateParRate(IFundingModel model)
{
var discountCurve = model.Curves[CashDiscountCurve];
var SpotRate = model.GetFxRate(SpotDate, MetalCCY, CashCCY);
var t = SpotDate.CalculateYearFraction(DeliveryDate, Basis);
var fwd = model.GetFxRate(DeliveryDate, MetalCCY, CashCCY);
var ctgo = (fwd / SpotRate - 1.0) / t;
return(ctgo);
}
public double Pv(IFundingModel model, bool updateState)
{
var discountCurve = model.Curves[CashDiscountCurve];
var SpotRate = model.GetFxRate(SpotDate, MetalCCY, CashCCY);
var t = SpotDate.CalculateYearFraction(DeliveryDate, Basis);
var strike = SpotRate * (1.0 + ContangoRate * t);
var fwd = model.GetFxRate(DeliveryDate, MetalCCY, CashCCY);
var FV = (fwd - strike) * MetalQuantity;
var PV = discountCurve.Pv(FV, DeliveryDate);
return(PV);
}
public double SuggestPillarValue(IFundingModel model)
{
var discountCurve = model.Curves[CashDiscountCurve];
var SpotRate = model.GetFxRate(SpotDate, MetalCCY, CashCCY);
var t = SpotDate.CalculateYearFraction(DeliveryDate, Basis);
var fwd = SpotRate * (1.0 + ContangoRate * t);
var fxr = fwd / SpotRate;
var df1 = discountCurve.GetDf(SpotDate, PillarDate);
var df2 = df1 / fxr;
var rate = -System.Math.Log(df2) / t;
return(rate);
}
private double GetFwd(DateTime fwdDate, double contango)
{
var t = SpotDate.CalculateYearFraction(fwdDate, Basis);
return(Spot * (1.0 + contango * t));
}