/// <summary> /// Calculates the yield for settlement at a given settlement date using curves with z-spread. /// <para> /// The z-spread is a parallel shift applied to continuously compounded rates or /// periodic compounded rates of the issuer discounting curve. /// </para> /// <para> /// The z-spread is applied only on the legal entity curve, not on the repo curve. /// /// </para> /// </summary> /// <param name="bill"> the bill </param> /// <param name="provider"> the discounting provider </param> /// <param name="settlementDate"> the settlement date </param> /// <param name="zSpread"> the z-spread </param> /// <param name="compoundedRateType"> the compounded rate type </param> /// <param name="periodsPerYear"> the number of periods per year </param> /// <returns> the yield </returns> public virtual double yieldFromCurvesWithZSpread(ResolvedBill bill, LegalEntityDiscountingProvider provider, LocalDate settlementDate, double zSpread, CompoundedRateType compoundedRateType, int periodsPerYear) { double price = priceFromCurvesWithZSpread(bill, provider, settlementDate, zSpread, compoundedRateType, periodsPerYear); return(bill.yieldFromPrice(price, settlementDate)); }
/// <summary> /// Calculates the yield for settlement at a given settlement date using curves. /// </summary> /// <param name="bill"> the bill </param> /// <param name="provider"> the discounting provider </param> /// <param name="settlementDate"> the settlement date </param> /// <returns> the yield </returns> public virtual double yieldFromCurves(ResolvedBill bill, LegalEntityDiscountingProvider provider, LocalDate settlementDate) { double price = priceFromCurves(bill, provider, settlementDate); return(bill.yieldFromPrice(price, settlementDate)); }