public ADouble FuturesNpvAD(Futures future)
{
Fra fra = future.FraSameSpec;
ADouble fraRate = ParFraRateAD(fra);
ADouble notional = fra.Notional;
ADouble convexity = future.Convexity;
ADouble futuresRate = fraRate + convexity;
return(notional * (1.0 - futuresRate));
}
public double FuturesNpv(Futures future)
{
Fra fra = future.FraSameSpec;
double fraRate = ParFraRate(fra);
double notional = fra.Notional;
double convexity = future.Convexity;
double futuresRate = fraRate + convexity;
return(notional * (1 - futuresRate));
}
private void InterpretFuturesString(string instrumentString)
{
string identifier, type, currency, endTenor, settlementLag, floatPayFreq, floatFixingTenor, fwdTenor;
DayRule dayRule;
DayCount dayCount;
CurveTenor curveTenor;
string[] infoArray = instrumentString.Split(',').ToArray();
identifier = infoArray[0];
type = infoArray[1];
currency = infoArray[2];
endTenor = infoArray[3];
settlementLag = infoArray[4];
dayRule = StrToEnum.DayRuleConvert(infoArray[5]);
floatPayFreq = infoArray[8];
floatFixingTenor = infoArray[9];
fwdTenor = infoArray[15];
dayCount = StrToEnum.DayCountConvert(infoArray[11]);
DateTime startDate, endDate;
try
{
startDate = Convert.ToDateTime(fwdTenor);
endDate = DateHandling.AddTenorAdjust(startDate, floatPayFreq, dayRule);
curveTenor = StrToEnum.CurveTenorFromSimpleTenor(floatPayFreq);
Fra fra = new MasterThesis.Fra(AsOf, startDate, endDate, curveTenor, dayCount, dayRule, _defaultFixedRate, _defaultNotional, _defaultTradeSign);
Futures[identifier] = new MasterThesis.Futures(fra, null);
CurvePointMap[identifier] = fra.GetCurvePoint();
InstrumentTypeMap[identifier] = QuoteType.FuturesRate;
InstrumentFormatTypeMap[identifier] = InstrumentFormatType.Futures;
IdentifierStringMap[identifier] = instrumentString;
}
catch
{
// Ignore instrument
}
}
// Futures
public ADouble ParFutureRateAD(Futures future)
{
return(ParFraRateAD(future.FraSameSpec) + future.Convexity);
}