/// <summary>
/// Evaluates the implied quote.
/// </summary>
/// <returns></returns>
private Decimal EvaluateConvexityAdjustment(Decimal rate)
{
return(FuturesConvexity.FuturesMarginWithArrearsConvexityAdjustment(rate,
(double)AnalyticParameters.YearFraction,
(double)AnalyticParameters.TimeToExpiry,
(double)AnalyticParameters.Volatility));
}
/// <summary>
/// Evaluates the implied quote.
/// </summary>
/// <returns></returns>
private Decimal EvaluateImpliedQuote()//TODo the aqdjustment needs to be at the rate, not the implied rate.
{
try
{
var result = FuturesConvexity.FuturesImpliedQuoteFromMarginAdjustedWithArrears(EvaluateImpliedRate(),
(double)AnalyticParameters.YearFraction,
(double)AnalyticParameters.TimeToExpiry,
(double)AnalyticParameters.Volatility);
return(result);
}
catch
{
throw new Exception("Real solution does not exist");
}
}
