/// <summary>
/// Will use the discount factors to obtain the forward rates after the curve's anchor date and the fixing curve before that date.
/// </summary>
/// <param name="discountCurve"></param>
/// <param name="index"></param>
/// <param name="fixingCurve"></param>
public ForecastCurveFromDiscount(IDiscountingSource discountCurve, FloatingIndex index,
IFloatingRateSource fixingCurve)
{
this.discountCurve = discountCurve;
this.index = index;
this.fixingCurve = fixingCurve;
}
/// <summary>
/// Create a floating rate loan from a loan profile. The first date in the profile is the disbursment date and
/// the last date is the final repayment date. Interest will due on all but the first profile date.
///
/// </summary>
/// <remarks>
///
/// </remarks>
/// <param name="balanceDates">A date must be given for each interest date and this original disbursement date
/// even if the balances remain constant.</param>
/// <param name="simpleFixedRate">Interest will be calculated simple </param>
/// <returns></returns>
public static LoanFloatingRate CreateSimple(Date[] balanceDates, double[] balances, FloatingIndex index,
double spread, Currency ccy)
{
LoanFloatingRate loan = new LoanFloatingRate();
loan.valueDate = null;
loan.ccy = ccy;
loan.spread = spread;
loan.notionalFlows = new List <Cashflow>();
loan.notionalFlows.Add(new Cashflow(balanceDates[0], -balances[0], ccy));
// Set the details for the FloatLeg
loan.paymentDates = new Date[balanceDates.Length - 1];
loan.resetDates = new Date[balanceDates.Length - 1];
loan.floatingIndices = new FloatingIndex[balanceDates.Length - 1];
loan.spreads = new double[balanceDates.Length - 1];
loan.notionals = new double[balanceDates.Length - 1];
loan.accrualFractions = new double[balanceDates.Length - 1];
for (int i = 1; i < balances.Length; i++)
{
loan.paymentDates[i - 1] = balanceDates[i];
loan.resetDates[i - 1] = balanceDates[i - 1];
loan.floatingIndices[i - 1] = index;
loan.spreads[i - 1] = spread;
loan.notionals[i - 1] = balances[i - 1];
loan.accrualFractions[i - 1] = (balanceDates[i] - balanceDates[i - 1]) / 365.0;
double notionalFlow = balances[i - 1] - balances[i];
loan.notionalFlows.Add(new Cashflow(balanceDates[i], notionalFlow, ccy));
}
loan.type = "LoanFloatingRate";
loan.index = index;
return(loan);
}
public ForwardRatesCurveForStripping(Date anchorDate, FloatingIndex index, IFloatingRateSource underlyingCurve)
{
this.anchorDate = anchorDate;
this.index = index;
this.underlyingCurve = underlyingCurve;
}
/// <summary>
/// Create a curve that linearly interpolates the provided forward rates. Rates are not used to get discount factors.
/// </summary>
/// <remarks>
/// If you want to obtain discount factors from the provided rates rather use: <see cref="DatesAndRates"/></remarks>
/// <param name="anchorDate"></param>
/// <param name="index"></param>
/// <param name="dates"></param>
/// <param name="rates"></param>
/// <param name="maximumDate"></param>
public ForecastCurve(Date anchorDate, FloatingIndex index, Date[] dates, double[] rates,
Date maximumDate = null)
{
this.index = index;
dateAndRates = new DatesAndRates(Currency.ANY, anchorDate, dates, rates, maximumDate);
}
public ForwardRatesCurveForStripping(Date anchorDate, FloatingIndex index, IDiscountingSource underlyingCurve)
{
this.anchorDate = anchorDate;
this.index = index;
this.underlyingCurve = new DiscountBasedFloatingRates(index, underlyingCurve);
}
public ForwardRatesCurveForStripping(Date anchorDate, FloatingIndex index)
{
this.anchorDate = anchorDate;
this.index = index;
underlyingCurve = new ZeroFloatingRates(index);
}
public DiscountBasedFloatingRates(FloatingIndex index, IDiscountingSource discountingSource)
{
this.index = index;
this.discountingSource = discountingSource;
}
public ZeroFloatingRates(FloatingIndex index)
{
this.index = index;
}
public FloatingRateFixingCurve1Rate(double rate, FloatingIndex index)
{
this.rate = rate;
this.index = index;
}
