public void TestCashflowGamma1CCR()
{
for (var i = 1; i <= 10; i++)
{
var delta1 = CashflowAnalytics.CashflowGamma1CCR(10000000.0m, i, (Decimal)Math.Exp(-0.05 * i));
Debug.WriteLine(String.Format("Delta1 : {0} Time: {1}", delta1, i));
}
}
public void TestCashflowNPV()
{
for (var i = 1; i <= 10; i++)
{
var npv = CashflowAnalytics.CashflowNPV(10000000.0m, (Decimal)Math.Exp(-0.05 * i));
Debug.WriteLine(String.Format("npv : {0} Time: {1}", npv, i));
}
}
public void TestInArrearsCouponNPV()
{
for (var i = 1; i <= 10; i++)
{
var df = (Decimal)Math.Exp(-0.05 * i / 2);
var npv = CashflowAnalytics.InArrearsCouponNPV(1000000.0m, 0.5m, 0.05m, df);
Debug.WriteLine(String.Format("npv : {0} Time: {1} Df: {2} YearFraction: {3}", npv, i, df, 0.5m));
}
}
public void TestISDADiscountedFixedCouponDeltaR()
{
for (var i = 0; i < 10; i++)
{
var df = (Decimal)Math.Exp(-0.05 * i / 2);
var npv = CashflowAnalytics.ISDADiscountedFixedCouponDeltaR(1000000.0m, 0.5m, 0.05m, df);
Debug.WriteLine(String.Format("delta0 : {0} Time: {1} Df: {2} YearFraction: {3}", npv, i, df, 0.5m));
}
}
public void TestCashflowDelta12()
{
var delta1 = CashflowAnalytics.CashflowBucketDelta12(10000000.0m, 0.25m, 10.0m, 0.05m, (Decimal)Math.Exp(-0.05 * 10.0));
var index = 0;
foreach (var delta in delta1)
{
Debug.WriteLine(String.Format("Delta1 : {0} Time: {1}", delta, index * 0.25m));
index++;
}
Debug.WriteLine(String.Format("TotalDelta1 : {0}", delta1.Sum()));
}
