/// <summary>
/// </summary>
/// <param name="date"></param>
/// <returns></returns>
public double GetForwardRate(Date date)
{
//TODO: Index should store the business day and daycount conventions of the index.
if (date > discountCurve.GetAnchorDate())
{
var df1 = discountCurve.GetDF(date);
var laterDate = date.AddTenor(index.tenor);
var df2 = discountCurve.GetDF(laterDate);
var dt = (laterDate - date) / 365.0;
var fwdRate = (df1 / df2 - 1) / dt;
return(fwdRate);
}
return(fixingCurve.GetForwardRate(date));
}
/// <summary>
/// Curve based valuation of <see cref="FloatLeg"/>. Assumes that correct forecast and discount curves have been provided.
/// </summary>
/// <param name="leg"></param>
/// <param name="forecastCurve"></param>
/// <param name="discountCurve"></param>
/// <returns></returns>
public static double CurvePV(this FloatLeg leg, IFloatingRateSource forecastCurve,
IDiscountingSource discountCurve)
{
var legIndex = forecastCurve.GetFloatingIndex();
var resetDates1 = leg.GetRequiredIndexDates(legIndex);
var indexValues1 = new double[resetDates1.Count];
for (var i = 0; i < resetDates1.Count; i++)
{
indexValues1[i] = forecastCurve.GetForwardRate(resetDates1[i]);
}
leg.SetIndexValues(legIndex, indexValues1);
var cfs1 = leg.GetCFs();
var value1 = cfs1.PV(discountCurve);
return(value1);
}
public static ResultStore InflationLinkedSwapMeasures(this InflationLinkedSwap inflationLinkedSwap, Date[] cpiDates, double[] cpiRates, IFloatingRateSource forecastCurve)
{
//Create Inflation Swap
var swap = CreateInflationLinkedSwap(inflationLinkedSwap.payFixed, inflationLinkedSwap.startDate, inflationLinkedSwap.nominal, inflationLinkedSwap.tenor,
inflationLinkedSwap.fixedRate, inflationLinkedSwap.index, inflationLinkedSwap.spread, inflationLinkedSwap.zaCalendar, inflationLinkedSwap.ccy);
//Set value date
swap.SetValueDate(inflationLinkedSwap.startDate);
//Set index values
var indexValues = new double[swap.indexDates.Length];
for (var i = 0; i < swap.indexDates.Length; i++)
{
indexValues[i] = forecastCurve.GetForwardRate(swap.indexDates[i]);
}
swap.SetIndexValues(swap.index, indexValues);
//Determine swap end date
var unAdjEndDate = inflationLinkedSwap.startDate.AddMonths(12 * inflationLinkedSwap.tenor.Years);
var endDate = BusinessDayStore.ModifiedFollowing.Adjust(unAdjEndDate, inflationLinkedSwap.zaCalendar);
//Calculate value of fixed and floating cashflows
var floatingCashFlows = swap.GetCFs();
var floatingLegCashFlows = floatingCashFlows.Last().Amount;
var cpiStartDate = LaggedCPI.GetCPI(inflationLinkedSwap.startDate, cpiDates, cpiRates);
var cpiEndDate = LaggedCPI.GetCPI(endDate, cpiDates, cpiRates);
var fixedCashFlows = inflationLinkedSwap.payFixed * inflationLinkedSwap.nominal * Math.Pow((1 + inflationLinkedSwap.fixedRate / 2),
2 * (endDate - inflationLinkedSwap.startDate) / 365) * cpiEndDate / cpiStartDate;
var netCashFlows = floatingLegCashFlows + fixedCashFlows;
// Store results
var results = new ResultStore();
results.Add(Keys.FloatingLegCashFlows, floatingLegCashFlows);
results.Add(Keys.FixedLegCashFlows, fixedCashFlows);
results.Add(Keys.NetCashFlows, netCashFlows);
return(results);
}
public double GetForwardRate(Date date)
{
double rate = spline.Interpolate(date);
return(underlyingCurve.GetForwardRate(date) + rate);
}
public double Objective()
{
return(1e6 * (_curve.GetForwardRate(_startDate) - _simpleRate));
}
