/// <summary>
/// Libor discounting (considering 'Tenor Spread')
/// </summary>
/// <param name="marketTuple">'Libor', 'Swap' and 'TenorSpread' are included in marketTuple</param>
/// <returns>discount factors</returns>
public Dictionary<double, double> CalcDiscountFactor(MarketTuple marketTuple)
{
var df = new Dictionary<double, double>();
var diff = DifferencesBetween3Mand6M(marketTuple.TenorSpreadList)[0.25];
foreach (var l in marketTuple.LiborList)
{
if (l.Term == 0.25)
df[0.25] = 1 / (1 + ((l.LiborRate + diff) * 0.25));
if (l.Term == 0.5)
df[0.5] = 1 / (1 + l.LiborRate * 0.5);
}
foreach (var s in marketTuple.SwapList)
{
if (s.Term >= 1)
{
double sum = 0;
foreach (var v in df.Values)
sum = (sum + v - df[0.25]) / 2;
df[s.Term] = (1 - sum * s.SwapRate) / (1 + s.SwapRate / 2);
}
}
return df;
}
public MarketTuple CreateMarketTuple(string liborPath, string swapPath)
{
var m = new MarketTuple();
m.LiborList = GenericMarketLoader<Libor>.LoadMarket(liborPath);
m.SwapList = GenericMarketLoader<Swap>.LoadMarket(swapPath);
return m;
}
/// <summary>
///
/// </summary>
/// <param name="dfc"></param>
/// <param name="marketTuple"></param>
/// <returns></returns>
public Dictionary<double, double> CalcZeroYieldCurve(IDFCalculator dfc, MarketTuple marketTuple)
{
var discountFactor = dfc.CalcDiscountFactor(marketTuple);
var zeroYield = new Dictionary<double, double>();
foreach (var df in discountFactor)
zeroYield.Add(df.Key, Math.Log(df.Value));
return zeroYield;
}
/// <summary>
/// Libor discounting (not considering 'Tenor Spread')
/// </summary>
/// <param name="marketTuple">'Libor' and 'Swap' are included in marketTuple</param>
/// <returns>discount factors</returns>
public Dictionary<double, double> CalcDiscountFactor(MarketTuple marketTuple)
{
var df = new Dictionary<double, double>();
foreach (var lr in marketTuple.LiborList)
{
if (lr.Term == 0.5)
df.Add(lr.Term, 1 / (1 + lr.LiborRate * 0.5));
if (lr.Term == 1.0)
df.Add(lr.Term, 1 / (1 + lr.LiborRate));
}
foreach (var sr in marketTuple.SwapList)
{
if (sr.Term > 1)
{
double sum = 0;
foreach (var v in df.Values)
sum = sum + v;
df[sr.Term] = (1 - sum * sr.SwapRate / 2) / (1 + sr.SwapRate / 2);
}
}
return df;
}
