public void TestDelta0Coupon()
{
for (var i = 1; i < 10; i++)
{
var delta0 = SwapAnalytics.Delta0Coupon(1000000.0, 0.25, 0.07, Math.Exp(-0.07 * i));
Debug.WriteLine(String.Format("Delta1 : {0} Time: {1}", delta0, i));
}
}
public void Delta0CouponTest()
{
const double notional = 100;
const double dayFraction = 0.5; // 6 months
const double rate = 0.0615; // 6.15%
const double paymentDiscountFactor = 0.92;
const double expected = -0.0046;
double actual = SwapAnalytics.Delta0Coupon(notional, dayFraction, rate, paymentDiscountFactor);
Assert.AreEqual(expected, actual);
}
/// <summary>
/// Evaluates the delta wrt the forward rate R.
/// </summary>
/// <param name="notional">The notional for that period.</param>
/// <param name="paymentDiscountFactor">The payment discount factor.</param>
/// <param name="dayFraction">The year fraction.</param>
/// <param name="rate">The rate.</param>
/// <returns></returns>
public double Delta0Coupon(double notional, double dayFraction, double rate, double paymentDiscountFactor)
{
return(SwapAnalytics.Delta0Coupon(notional, dayFraction, rate, paymentDiscountFactor));
}
