public override string value(DateTime dateTime, Excel_instrumentViewModel e_instVM, Excel_underlyingInfoViewModel excel_uivm) { // 국고 커브를 로드함 DateTime maturity = e_instVM.Excel_interfaceViewModel_.Excel_issueInfoViewModel_.MaturityDate_; Excel_yieldCurveViewModel e_ycvm = e_instVM.Excel_parameterViewModel_.ParameterSettingManager_.DiscountCurveParaSetting_.discountCurve(dateTime, "KRW"); QLNet.YieldTermStructure q_y = e_ycvm.yieldCurve(); TimeSpan timeSpan = maturity - dateTime; double t = timeSpan.TotalDays / 365; InterestRate rate = q_y.zeroRate(t, QLNet.Compounding.Compounded); double drift = rate.value(); return(drift.ToString()); }
public double guess(YieldTermStructure c, Date d) { return c.zeroRate(d, c.dayCounter(), Compounding.Continuous, Frequency.Annual, true).rate(); }
} // initial guess public double guess(YieldTermStructure c, Date d) { return(c.zeroRate(d, c.dayCounter(), Compounding.Continuous, Frequency.Annual, true).rate()); } // further guesses