// At-the-money rate of the cash flows.
// The result is the fixed rate for which a fixed rate cash flow vector, equivalent to the input vector, has the required NPV according to the given term structure. If the required NPV is
// not given, the input cash flow vector's NPV is used instead.
public static double atmRate(Leg leg, YieldTermStructure discountCurve, bool includeSettlementDateFlows,
Date settlementDate = null, Date npvDate = null, double?targetNpv = null)
{
if (settlementDate == null)
{
settlementDate = Settings.evaluationDate();
}
if (npvDate == null)
{
npvDate = settlementDate;
}
double npv = 0.0;
BPSCalculator calc = new BPSCalculator(discountCurve);
for (int i = 0; i < leg.Count; ++i)
{
CashFlow cf = leg[i];
if (!cf.hasOccurred(settlementDate, includeSettlementDateFlows) &&
!cf.tradingExCoupon(settlementDate))
{
npv += cf.amount() * discountCurve.discount(cf.date());
cf.accept(calc);
}
}
if (targetNpv == null)
{
targetNpv = npv - calc.nonSensNPV();
}
else
{
targetNpv *= discountCurve.discount(npvDate);
targetNpv -= calc.nonSensNPV();
}
if (targetNpv.IsEqual(0.0))
{
return(0.0);
}
double bps = calc.bps();
Utils.QL_REQUIRE(bps.IsNotEqual(0.0), () => "null bps: impossible atm rate");
return(targetNpv.Value / bps);
}
