public static ITreeAddInventoryGridCalculation <T> WithAct365ContinuouslyCompoundedInterestRateCurve <T>(
[NotNull] this ITreeAddDiscountFactorFunc <T> addDiscountFactorFunc, TimeSeries <Day, double> act365ContCompInterestRates)
where T : ITimePeriod <T>
{
if (addDiscountFactorFunc == null)
{
throw new ArgumentNullException(nameof(addDiscountFactorFunc));
}
double DiscountFactor(Day presentDay, Day cashFlowDay)
{
if (cashFlowDay <= presentDay)
{
return(1.0);
}
if (!act365ContCompInterestRates.ContainsKey(cashFlowDay))
{
throw new ArgumentException("Interest rate curves does not contain point for date " + cashFlowDay);
}
double interestRate = act365ContCompInterestRates[cashFlowDay];
return(Math.Exp(-cashFlowDay.OffsetFrom(presentDay) / 365.0 * interestRate));
}
return(addDiscountFactorFunc.WithDiscountFactorFunc(DiscountFactor));
}
public static ITreeAddInventoryGridCalculation <T> WithAct365ContinuouslyCompoundedInterestRate <T>(
[NotNull] this ITreeAddDiscountFactorFunc <T> addDiscountFactorFunc, Func <Day, double> act365ContCompInterestRates)
where T : ITimePeriod <T>
{
if (addDiscountFactorFunc == null)
{
throw new ArgumentNullException(nameof(addDiscountFactorFunc));
}
Func <Day, Day, double> discounter = StorageHelper.CreateAct65ContCompDiscounter(act365ContCompInterestRates);
return(addDiscountFactorFunc.WithDiscountFactorFunc(discounter));
}
