public void FuturesImpliedQuoteWithArrearsTest()
{
decimal actual = FuturesAnalytics.FuturesImpliedQuoteWithArrears(0.055m, 3, 0.25, 0.2);
Assert.AreEqual(0.0550782877822222d, (double)actual, 0.000000001);
actual = FuturesAnalytics.FuturesImpliedQuoteWithArrears(0.055m, 3, 0, 0.2);
Assert.AreEqual(0.055m, actual);
}
public void FuturesArrearsConvexityAdjustment()
{
for (var i = 0; i < 10; i++)
{
var rate = (decimal)(50 + i);
var cvt = FuturesAnalytics.FuturesArrearsConvexityAdjustment(rate / 1000, 0.25, 3.0, .2);
var result = FuturesAnalytics.FuturesImpliedQuoteWithArrears(rate / 1000 - cvt, 0.25, 3.0, .2);
Debug.WriteLine(String.Format("rate : {0} convexity: {1} implied: {2}", rate / 1000, cvt * 10000, result));
}
decimal actual = FuturesAnalytics.FuturesArrearsConvexityAdjustment(0.055m, 0.25, 3d, 0.2);
Assert.AreEqual(9.47863772776E-05, (double)actual, 0.000000001);
actual = FuturesAnalytics.FuturesArrearsConvexityAdjustment(0.055m, 0.25, 0, 0.2);
Assert.AreEqual(0, actual);
}
public void FuturesImpliedQuoteFromMarginAdjustedTest()
{
for (var i = 0; i < 10; i++)
{
decimal rate = 50 + i;
decimal adjustedRate = FuturesAnalytics.FuturesImpliedQuoteFromMarginAdjusted(rate / 1000, 3.0, .2);
decimal arrearsAdjustedRate = FuturesAnalytics.FuturesImpliedQuoteWithArrears(adjustedRate, 0.25, 3.0, .2);
decimal cvt = FuturesAnalytics.FuturesImpliedQuoteFromMarginAdjustedWithArrears(arrearsAdjustedRate, 3.0, 0.25, .2);
Assert.AreEqual((double)rate / 1000, (double)cvt, 0.01);
Debug.WriteLine(String.Format("rate : {0} adjustedRate: {1} arrearsAdjustedRate: {2} cvt: {3}", rate / 1000, adjustedRate, arrearsAdjustedRate, cvt));
}
decimal actual = FuturesAnalytics.FuturesImpliedQuoteFromMarginAdjusted(0.055m, 3, 0.2);
Assert.AreEqual(0.055486651d, (double)actual, 0.000000001);
actual = FuturesAnalytics.FuturesImpliedQuoteFromMarginAdjusted(0.055m, 0, 0.2);
Assert.AreEqual(0.055m, actual);
}
/// <summary>
/// Evaluates the implied futures quote from a provided convexity adjusted forward.
/// This currently only works for margined futures without an arrears adjustment.
/// </summary>
/// <param name="impliedRate"></param>
/// <param name="yearFraction"></param>
/// <param name="timeToExpiry"></param>
/// <param name="volatility"></param>
/// <returns></returns>
public decimal FuturesImpliedQuoteWithArrears(decimal impliedRate, double yearFraction, double timeToExpiry, double volatility)
{
return(FuturesAnalytics.FuturesImpliedQuoteWithArrears(impliedRate, yearFraction, timeToExpiry, volatility));
}