public double Compute(Bond bond, DateTime pricerDate)
{
#region Objects
double Po = 1;
RateCurve pricerRateCurve;
var RateCurveDatePricer = RatesCurves.Where(x => x.RatesDate == pricerDate);
#endregion
if (!PricingDateIsInCsvDateRange(pricerDate))
{
return(default(double));
}
if (pricerDate >= bond.IssueDate && pricerDate <= bond.GetLastDate() && RateCurveDatePricer.Count() == 0)
{
return(prevBondPrice);
}
if (pricerDate < bond.IssueDate || pricerDate > bond.GetLastDate())
{
return(default(double));
}
else
{
pricerRateCurve = RateCurveDatePricer.First();
}
if (pricerRateCurve != null)
{
#region Objects
var nextFluxDate = GetNextFluxDate(bond, pricerDate);
var reelDurations = GetReelDurations(rateRepository.GetDurations());
var alpha = ComputeAlpha(pricerDate, nextFluxDate);
var nbrCoupons = bond.GetCouponsNumber();
Po = 0;
double k = alpha;
double dynAlpha = 0;
var nbr = GetNbrFluxRestant(bond, nextFluxDate);
double alphaMin;
double alphaMax;
double alphaMinRate;
double alphaMaxRate;
#endregion
for (int i = 1; i <= nbr; i++)
{
#region Objects
alphaMin = GetAlphaMin(reelDurations, k);
alphaMax = GetAlphaMax(reelDurations, k);
alphaMinRate = Convert.ToDouble(pricerRateCurve.Rates[alphaMin * 100]);
alphaMaxRate = Convert.ToDouble(pricerRateCurve.Rates[alphaMax * 100]);
dynAlpha = interpolation.ComputeRate(alphaMin, alphaMax, alphaMinRate, alphaMaxRate, k);
#endregion
if (i != nbr)
{
if (dynAlpha == 0)
{
return(prevBondPrice);
}
//Calcule du Prix
Po += bond.Coupon / Math.Pow((1 + dynAlpha), k);
k += bond.DurationBeetweenTwoFlux();
}
else
{
Po += (bond.Coupon + bond.Nominal) / Math.Pow((1 + dynAlpha), k);
}
}
}
prevBondPrice = Po;
return(Po);
}
