public override string value(DateTime dateTime, Excel_instrumentViewModel e_instVM, Excel_underlyingInfoViewModel excel_uivm)
{
// 국고 커브를 로드함
DateTime maturity = e_instVM.Excel_interfaceViewModel_.Excel_issueInfoViewModel_.MaturityDate_;
Excel_yieldCurveViewModel e_ycvm =
e_instVM.Excel_parameterViewModel_.ParameterSettingManager_.DiscountCurveParaSetting_.discountCurve(dateTime, "KRW");
QLNet.YieldTermStructure q_y = e_ycvm.yieldCurve();
TimeSpan timeSpan = maturity - dateTime;
double t = timeSpan.TotalDays / 365;
InterestRate rate = q_y.zeroRate(t, QLNet.Compounding.Compounded);
double drift = rate.value();
return(drift.ToString());
}
public double guess(YieldTermStructure c, Date d)
{
return c.zeroRate(d, c.dayCounter(), Compounding.Continuous, Frequency.Annual, true).rate();
}
} // initial guess
public double guess(YieldTermStructure c, Date d)
{
return(c.zeroRate(d, c.dayCounter(), Compounding.Continuous, Frequency.Annual, true).rate());
} // further guesses
