//! implied Z-spread.
public static double zSpread(Leg leg, double npv, YieldTermStructure discount, DayCounter dayCounter, Compounding compounding,
Frequency frequency, bool includeSettlementDateFlows, Date settlementDate = null,
Date npvDate = null, double accuracy = 1.0e-10, int maxIterations = 100, double guess = 0.0)
{
if (settlementDate == null)
{
settlementDate = Settings.evaluationDate();
}
if (npvDate == null)
{
npvDate = settlementDate;
}
Brent solver = new Brent();
solver.setMaxEvaluations(maxIterations);
ZSpreadFinder objFunction = new ZSpreadFinder(leg, discount, npv, dayCounter, compounding, frequency,
includeSettlementDateFlows, settlementDate, npvDate);
double step = 0.01;
return(solver.solve(objFunction, accuracy, guess, step));
}
//! implied Z-spread.
public static double zSpread(Leg leg, double npv, YieldTermStructure discount, DayCounter dayCounter, Compounding compounding,
Frequency frequency, bool includeSettlementDateFlows, Date settlementDate = null,
Date npvDate = null, double accuracy = 1.0e-10, int maxIterations = 100, double guess = 0.0)
{
if (settlementDate == null)
settlementDate = Settings.evaluationDate();
if (npvDate == null)
npvDate = settlementDate;
Brent solver = new Brent();
solver.setMaxEvaluations(maxIterations);
ZSpreadFinder objFunction = new ZSpreadFinder(leg,discount,npv,dayCounter, compounding, frequency,
includeSettlementDateFlows, settlementDate, npvDate);
double step = 0.01;
return solver.solve(objFunction, accuracy, guess, step);
}
