public void TestLinearRateInterpolation()
{
TearDown();
double[] exp = SetUp();
Random r = new Random(Environment.TickCount);
var interpolation = new LinearRateInterpolation();
double[] temp = new double[exp.Length];
exp.CopyTo(temp, 0);
interpolation.Initialize(_times, temp);
for (int i = 0; i < 10; ++i)
{
double time = i + r.Next(-10000, 10000) / 10000;
double interpRate = interpolation.ValueAt(time, true);
Debug.WriteLine($"interpolatedRate : {interpRate} Time: {time}");
}
int index = 0;
foreach (double time in _times)
{
double interpRate = interpolation.ValueAt(time, true);
double interpValue = exp[index];
Assert.AreEqual(interpRate, interpValue);
index++;
}
}
///<summary>
///</summary>
///<param name="discountCurve"></param>
///<param name="baseDate"></param>
///<param name="forwardRateTenor"></param>
///<param name="priceableXibor"></param>
///<returns></returns>
public TermCurve ToPriceableXiborForwardCurve(TermCurve discountCurve, DateTime baseDate,
Period forwardRateTenor, PriceableXibor priceableXibor) //TODO
{
//CompoundingFrequency frequency = CompoundingFrequencyHelper.Create("Annual");
var dates = discountCurve.GetListTermDates();
var yearFractions = new List <double>();
foreach (var date in dates)
{
var yearFraction = (date - baseDate).TotalDays / 365.0;//TODO extend this with a general daycountraction.
yearFractions.Add(yearFraction);
}
var midValues = discountCurve.GetListMidValues();
var discountFactors = new List <double>(Array.ConvertAll(midValues.ToArray(), Convert.ToDouble));
var forwardTermCurve = TermCurve.Create(new List <TermPoint>());
var index = 0;
foreach (var startOfPeriodDateTime in dates)
{
var yearFractionsbeginPeriod = yearFractions[index];
var endOfPeriodDateTime = forwardRateTenor.Add(startOfPeriodDateTime);
var yearFractionAtEndOfPeriod = (endOfPeriodDateTime - baseDate).TotalDays / 365.0;
//get df corresponding to end of period
//
IInterpolation interpolation = new LinearRateInterpolation();
interpolation.Initialize(yearFractions.ToArray(), discountFactors.ToArray());
var dfAtEndOfPeriod = interpolation.ValueAt(yearFractionAtEndOfPeriod, true);
var dfAtTheBeginingOfPeriod = discountFactors[index];
var forwardRate = (dfAtTheBeginingOfPeriod / dfAtEndOfPeriod - 1) /
(yearFractionAtEndOfPeriod - yearFractionsbeginPeriod);
var zeroPoint = TermPointFactory.Create(Convert.ToDecimal(forwardRate), startOfPeriodDateTime);
forwardTermCurve.Add(zeroPoint);
++index;
}
return(forwardTermCurve);
}
