public int GetAccruedInterestDays(Date calcDate, Cashflow[] cashflows, bool isEod = false)
{
if (calcDate < StartDate || calcDate >= UnderlyingMaturityDate)
{
return(0);
}
return(AiCalculation.GetAccruedInterestDays(calcDate, cashflows, isEod));
}
public int GetAccruedInterestDays(Date calcDate, IMarketCondition market, bool isEod = false)
{
if (calcDate < StartDate || calcDate >= UnderlyingMaturityDate)
{
return(0);
}
var cashflows = GetAiCashflows(market, false);
return(AiCalculation.GetAccruedInterestDays(calcDate, cashflows, isEod));
}
public double GetAccruedInterest(Date calcDate, Cashflow[] cashflows, bool isEod = false)
{
if (calcDate < StartDate || calcDate >= UnderlyingMaturityDate)
{
return(0.0);
}
if (IsZeroCouponBond)
{
if (double.IsNaN(IssuePrice))
{
throw new PricingLibraryException("Issue price is missing in calculating ai of zero coupon bond");
}
var totalInterest = Notional - IssuePrice;
return((PaymentDayCount.DaysInPeriod(StartDate, calcDate) + (isEod ? 1 : 0)) / PaymentDayCount.DaysInPeriod(StartDate, UnderlyingMaturityDate) * totalInterest);
}
return(AiCalculation.GetAccruedInterest(calcDate, cashflows, AccrualDayCount, isEod));
}
