/// <summary>
/// Gets the discount factor.
/// </summary>
/// <param name="discountFactorCurve">The discount factor curve.</param>
/// <param name="targetDate">The target date.</param>
/// <param name="valuationDate">The valuation date.</param>
/// <returns></returns>
public double GetDiscountFactor(IRateCurve discountFactorCurve, DateTime targetDate,
DateTime valuationDate)
{
IPoint point = new DateTimePoint1D(valuationDate, targetDate);
var discountFactor = discountFactorCurve.Value(point);
return(discountFactor);
}
/// <summary>
/// Gets the discount factor.
/// </summary>
/// <param name="dfCurve">The discount factor curve.</param>
/// <param name="targetDate">The target date.</param>
/// <param name="valuationDate">The valuation date.</param>
/// <returns></returns>
public decimal GetDiscountFactor(IRateCurve dfCurve, DateTime targetDate,
DateTime valuationDate)
{
var point = new DateTimePoint1D(valuationDate, targetDate);
var discountFactor = (decimal)dfCurve.Value(point);
return(discountFactor);
}
/// <summary>
/// Gets the discount factor.
/// </summary>
/// <param name="discountFactorCurve">The discount factor curve.</param>
/// <param name="targetDate">The target date.</param>
/// <param name="valuationDate">The valuation date.</param>
/// <returns></returns>
public Decimal GetDiscountFactor(DateTime targetDate,
DateTime valuationDate, IRateCurve discountFactorCurve)
{
IPoint point = new DateTimePoint1D(valuationDate, targetDate);
var discountFactor = discountFactorCurve.Value(point);
return((Decimal)discountFactor);
}
/// <summary>
/// Gets the discount factor.
/// </summary>
/// <param name="discountFactorCurve">The discount factor curve.</param>
/// <param name="targetDate">The target date.</param>
/// <param name="valuationDate">The valuation date.</param>
/// <returns></returns>
protected decimal GetIndex(IRateCurve discountFactorCurve, DateTime targetDate,
DateTime valuationDate)
{
if (targetDate == valuationDate)
{
return(1.0m);
}
IPoint point = new DateTimePoint1D(valuationDate, targetDate);
var discountFactor = (decimal)discountFactorCurve.Value(point);
return(discountFactor);
}