/// <summary>
/// Calculate the Option Adjusted Spread (OAS)
/// <remarks>
/// Calculates the spread that needs to be added to the the
/// reference curve so that the theoretical model value
/// matches the marketPrice.
/// </remarks>
/// </summary>
/// <param name="cleanPrice"></param>
/// <param name="engineTS"></param>
/// <param name="dayCounter"></param>
/// <param name="compounding"></param>
/// <param name="frequency"></param>
/// <param name="settlement"></param>
/// <param name="accuracy"></param>
/// <param name="maxIterations"></param>
/// <param name="guess"></param>
/// <returns></returns>
public double OAS(double cleanPrice,
Handle <YieldTermStructure> engineTS,
DayCounter dayCounter,
Compounding compounding,
Frequency frequency,
Date settlement = null,
double accuracy = 1.0e-10,
int maxIterations = 100,
double guess = 0.0)
{
if (settlement == null)
{
settlement = settlementDate();
}
double dirtyPrice = cleanPrice + accruedAmount(settlement);
var f = new NpvSpreadHelper(this);
OasHelper obj = new OasHelper(f, dirtyPrice);
Brent solver = new Brent();
solver.setMaxEvaluations(maxIterations);
double step = 0.001;
double oas = solver.solve(obj, accuracy, guess, step);
return(continuousToConv(oas,
this,
engineTS,
dayCounter,
compounding,
frequency));
}
/// <summary>
/// Calculate the clean price based on the given
/// option-adjust-spread (oas) over the given yield term
/// structure (engineTS)
/// </summary>
/// <param name="oas"></param>
/// <param name="engineTS"></param>
/// <param name="dayCounter"></param>
/// <param name="compounding"></param>
/// <param name="frequency"></param>
/// <param name="settlement"></param>
/// <returns></returns>
public double cleanPriceOAS(double oas,
Handle <YieldTermStructure> engineTS,
DayCounter dayCounter,
Compounding compounding,
Frequency frequency,
Date settlement = null)
{
if (settlement == null)
{
settlement = settlementDate();
}
oas = convToContinuous(oas, this, engineTS, dayCounter, compounding, frequency);
var f = new NpvSpreadHelper(this);
double P = f.value(oas) - accruedAmount(settlement);
return(P);
}
public OasHelper(NpvSpreadHelper npvhelper, double targetValue)
{
npvhelper_ = npvhelper;
targetValue_ = targetValue;
}
