/// <summary>
/// Regard Rate as zero coupon rate, given a zero date and return discount factor.<br/>
/// zero => discount factor
/// </summary>
/// <param name="asof"></param>
/// <param name="date"></param>
/// <returns></returns>
public double DiscountValue(KDateTime asof, KDateTime date)
{
CheckDate(asof, date);
if (CompFreq == Frequency.Continuous)
{
return(System.Math.Exp(-Rate.GetValue(date)
* TimeUtil.AccurateYearSpan(asof, date, DayCount)));
}
return(System.Math.Pow(
1 + Rate.GetValue(date) / (int)CompFreq,
-(int)CompFreq * TimeUtil.AccurateYearSpan(asof, date, DayCount)));
}
/// <summary>
/// Regard Rate as discount rate, given a present date and return zero rate.<br/>
/// discount factor => zero
/// </summary>
/// <param name="asof"></param>
/// <param name="date"></param>
/// <returns></returns>
public double ReturnValue(KDateTime asof, KDateTime date)
{
CheckDate(asof, date);
if (CompFreq == Frequency.Continuous)
{
return(-System.Math.Log(Rate.GetValue(date))
/ TimeUtil.AccurateYearSpan(asof, date, DayCount));
}
return((int)CompFreq * (System.Math.Pow(
Rate.GetValue(date),
-1 / (int)CompFreq / TimeUtil.AccurateYearSpan(asof, date, DayCount))
- 1));
}
