/// <summary>
/// Gets the rate lin365.
/// </summary>
/// <param name="yearFraction1">The year fraction1.</param>
/// <param name="yearFraction2">The year fraction2.</param>
/// <param name="ratedays">The ratedays.</param>
/// <param name="rateamts">The rateamts.</param>
/// <param name="daybasis">The daybasis.</param>
/// <returns></returns>
public static double GetRateCCLin365(double yearFraction1, double yearFraction2, int[] ratedays, double[] rateamts)
{
DiscreteCurve rc = CreateCurve(ratedays, rateamts, 365);
var rateCurve = new InterpolatedCurve(rc, InterpolationFactory.Create("LinearInterpolation"), false);
IPoint pt1 = new Point1D(yearFraction1);
IPoint pt2 = new Point1D(yearFraction2);
double rt1 = rateCurve.Value(pt1);
double rt2 = rateCurve.Value(pt2);
if (yearFraction1 != yearFraction2)
{
return((rt2 * yearFraction2 - rt1 * yearFraction1) / (yearFraction2 - yearFraction1));
}
return(0);
}
/// <summary>
/// Gets the value.
/// </summary>
/// <param name="pt">The pt.</param>
/// <param name="interpolationType">The interpolation.</param>
/// <param name="extrapolation">if set to <c>true</c> [extrapolation].</param>
/// <param name="times">A vertical array of times.</param>
/// <param name="values">A vertical array of values.</param>
/// <returns>The value at that point.</returns>
public static Double GetValue(Double pt, string interpolationType, bool extrapolation, Double[] times, Double[] values)
{
var curve = new InterpolatedCurve(new DiscreteCurve(times, values), InterpolationFactory.Create(interpolationType), extrapolation);
IPoint point = new Point1D(pt);
return(curve.Value(point));
}
/// <summary>
/// </summary>
/// <param name="discountCurve"></param>
/// <param name="tenor"></param>
/// <param name="baseDate"></param>
/// <param name="interpolatedCurve"></param>
/// <param name="paymentCalendar"></param>
/// <param name="dayCounter"></param>
/// <returns></returns>
/// <exception cref="System.Exception"></exception>
public static TermCurve ToForwardCurve(TermCurve discountCurve, Period tenor, DateTime baseDate,
InterpolatedCurve interpolatedCurve, IBusinessCalendar paymentCalendar, IDayCounter dayCounter)
{
TermCurve result = TermCurve.Create(new List <TermPoint>());
var length = discountCurve.point.Length;
var offset = new Offset
{
dayType = DayTypeEnum.Calendar,
dayTypeSpecified = true,
period = tenor.period,
periodMultiplier = tenor.periodMultiplier,
periodSpecified = true
};
if (paymentCalendar == null)
{
return(result);
}
for (int i = 0; i < length - 1; i++) //This will only go to the penultimate point. Extrapolation required for more.
{
var pointStart = discountCurve.point[i];
DateTime startDate = XsdClassesFieldResolver.TimeDimensionGetDate(pointStart.term);
var endDate = paymentCalendar.Advance(startDate, offset, BusinessDayConventionEnum.FOLLOWING);
var endPoint = new DateTimePoint1D(baseDate, endDate);
var endDF = interpolatedCurve.Value(endPoint);
double time = dayCounter.YearFraction(startDate, endDate);
var forwardRateDouble =
RateAnalytics.DiscountFactorsToForwardRate((double)pointStart.mid, endDF, time);
TermPoint forwardPoint = TermPointFactory.Create(Convert.ToDecimal(forwardRateDouble), startDate);
forwardPoint.id = tenor.id;
result.Add(forwardPoint);
}
return(result);
}
/// <summary>
/// Gets the df.
/// </summary>
/// <param name="days">The days.</param>
/// <returns></returns>
public decimal GetDf(int days)
{
var rateCurve = new InterpolatedCurve(new DiscreteCurve(GetYearsArray(),
RateArray), InterpolationFactory.Create(InterpolationType), false);
double maturityYrs = days / 365.0;
IPoint point = new Point1D(maturityYrs);
double rate = rateCurve.Value(point);
double df = RateAnalytics.ZeroRateToDiscountFactor(rate, maturityYrs, RateType);
decimal df0 = Convert.ToDecimal(df);
return(df0);
}
public void TestInterpolatedCubicCurve()
{
IInterpolation interp = new CubicSplineInterpolation();
DiscreteCurve curve = new DiscreteCurve(_pointCoords, _pointValues);
IInterpolatedSpace interpCurve = new InterpolatedCurve(curve, interp, true);
foreach (double point in _testPointArray)
{
IPoint p = new Point1D(point);
Console.WriteLine(interpCurve.Value(p));
}
}
public void TestPiecewiseRateInterpolatedCurve()
{
var interp = new PiecewiseConstantZeroRateInterpolation();//PWL requires the first point to be after the first 2 in the curve..
DiscreteCurve curve = new DiscreteCurve(_pointCoords, _pointValues);
IInterpolatedSpace interpCurve = new InterpolatedCurve(curve, interp, true);
foreach (double point in _testPointArray)
{
IPoint p = new Point1D(point);
double val = interpCurve.Value(p);
double rate = val;
Console.WriteLine(val);
Console.WriteLine(rate);
}
}
public void TestAllInterpolatedCurves()
{
foreach (string interp in _linearInterpolations)
{
TearDown();
IInterpolation interpolation = InterpolationFactory.Create(interp);
DiscreteCurve curve = new DiscreteCurve(_times, _rates);
IInterpolatedSpace interpCurve = new InterpolatedCurve(curve, interpolation, true);
Debug.WriteLine($"interpolationType : {interp}");
foreach (double point in _testPointArray)
{
IPoint p = new Point1D(point);
Console.WriteLine(interpCurve.Value(p));
}
}
foreach (string interp in _specialInterpolations)
{
TearDown();
var interpolation = (WingModelInterpolation)InterpolationFactory.Create(interp);
interpolation.Forward = 1.0;
interpolation.Spot = 1.0;
var curve = new DiscreteCurve(Strikes, Vols);
IInterpolatedSpace interpCurve = new InterpolatedCurve(curve, interpolation, true);
Debug.WriteLine($"interpolationType : {interp}");
foreach (double point in _testPointArray)
{
IPoint p = new Point1D(point);
Console.WriteLine(interpCurve.Value(p));
}
}
foreach (string interp in _logLinearInterpolations)
{
TearDown();
double[] exp = SetUp();
IInterpolation interpolation = InterpolationFactory.Create(interp);
DiscreteCurve curve = new DiscreteCurve(_times, exp);
IInterpolatedSpace interpCurve = new InterpolatedCurve(curve, interpolation, true);
Debug.WriteLine($"interpolationType : {interp}");
foreach (double point in _testPointArray)
{
IPoint p = new Point1D(point);
Console.WriteLine(interpCurve.Value(p));
}
}
}
/// <summary>
/// Anns the yield.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="targetDate">The target date.</param>
/// <param name="divCurve">The div curve.</param>
/// <param name="ratetimes">The rate times.</param>
/// <param name="rateamts">The rate amounts.</param>
/// <param name="im">the im?</param>
/// <param name="cf">The cf?</param>
/// <returns></returns>
public static double GetPVDivs(double yearFraction1, double yearFraction2, int[] divdays, double[] divamts, int[] ratedays, double[] rateamts, string im, CompoundingFrequencyEnum cf, int daybasis)
{
DiscreteCurve divCurve = CreateCurve(divdays, divamts, daybasis);
DiscreteCurve rc = CreateCurve(ratedays, rateamts, daybasis);
List <IPoint> points = divCurve.GetPointList();
double sum = 0;
var rateCurve = new InterpolatedCurve(rc, InterpolationFactory.Create(im), false);
foreach (IPoint pt in points)
{
decimal t = Convert.ToDecimal(pt.GetX());
decimal rate = Convert.ToDecimal(rateCurve.Value(pt));
double df = Convert.ToDouble(GetDiscountFactor(t, rate, cf));
if ((pt.GetX() <= yearFraction2) & (pt.GetX() > yearFraction1))
{
sum += pt.FunctionValue * df;
}
}
return(sum);
}
/// <summary>
/// Anns the yield.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="targetDate">The target date.</param>
/// <param name="divCurve">The div curve.</param>
/// <param name="ratetimes">The rate times.</param>
/// <param name="rateamts">The rate amounts.</param>
/// <param name="im">the im?</param>
/// <param name="cf">The cf?</param>
/// <returns></returns>
public static double GetPVDivs(DateTime baseDate, DateTime targetDate, DiscreteCurve divCurve, double[] ratetimes, double[] rateamts, string im, CompoundingFrequencyEnum cf)
{
List <IPoint> points = divCurve.GetPointList();
double sum = 0;
var rateCurve = new InterpolatedCurve(new DiscreteCurve(ratetimes, rateamts), InterpolationFactory.Create(im), false);
int t0 = (targetDate - baseDate).Days;
double maturity = t0 / 365.0;
foreach (IPoint pt in points)
{
decimal t = Convert.ToDecimal(pt.GetX());
decimal rate = Convert.ToDecimal(rateCurve.Value(pt));
double df = Convert.ToDouble(GetDiscountFactor(t, rate, cf));
if ((pt.GetX() <= maturity) & (pt.GetX() > 0))
{
sum += pt.FunctionValue * df;
}
}
return(sum);
}