private void AddParRateForTaibor(DateTime startDate, ParRateElf parRateInfo)
{
(DateTime endDate, double days, double daysAct) = GetEndDate(startDate, parRateInfo);
double zero = 0; //# 零息利率
#region 取零息利率
zero = RateAx.零息利率_T_R(parRateInfo.Rate, daysAct);
#endregion 取零息利率
this.ParRateList.Add(new ParRateElfEx(parRateInfo, this.TradeDate, endDate, days, daysAct, zero));
}
public (double, double, double, double, double) GetYield_T(double t)
{
//# 零息利率, 遠期利率, 折現因子, 驗證零息利率, Swap
var interpolate = MathNet.Numerics.Interpolate.Linear(this.ParRateList.Select(p => p.DaysAct), this.ParRateList.Select(p => p.Zero));
//# 從此天+90為遠期利率
double t2 = t + 90 / 365d;
double zero2 = interpolate.Interpolate(t2);
double zero = interpolate.Interpolate(t);
double FR = RateAx.遠期利率e(zero, t, zero2, t2); //# 算上一期到加90天的利率
double DF = RateAx.折現因子_T_Z(zero, t);
double newZero = RateAx.零息利率_T_折現因子(DF, t);
var interpolate2 = MathNet.Numerics.Interpolate.Linear(this.ParRateList.Select(p => p.DaysAct), this.ParRateList.Select(p => p.Rate));
double rate = interpolate2.Interpolate(t);
return(zero, FR, DF, newZero, rate);
}
private void AddParRateForInterbank(DateTime startDate, ParRateElf parRateInfo)
{
//# 一定是ON或TN, 央行沒有報TN, 所以會用ON的利率帶進來
(DateTime endDate, double days, double daysAct) = GetEndDate(startDate, parRateInfo);
double zero = 0; //# 零息利率
#region 取零息利率
if (parRateInfo.Unit == EnumTenorUnit.Day && parRateInfo.Tenor == 2) //# TN
{
ParRateElfEx ON = ParRateList.SingleOrDefault(p => p.Tenor == 1 && p.Unit == EnumTenorUnit.Day);
if (ON == null)
{
throw new Exception("沒有O/N無法計算T/N的零息利率");
}
double s = days - ON.Days;
zero = RateAx.TN零息利率(ON.DF, parRateInfo.Rate, days, s);
}
else
{
zero = RateAx.零息利率_T_R(parRateInfo.Rate, daysAct);
}
#endregion 取零息利率
this.ParRateList.Add(new ParRateElfEx(parRateInfo, this.TradeDate, endDate, days, daysAct, zero));
}
