private static double CalculateMarkToMarket(SwapModel swapModel, double notional, double fixedRate, int currentYear)
{
var yearSwap = swapModel.ForwardRates.Count - currentYear;
throw new NotImplementedException();
}
private static double[] CalculateDiscountFactors(SwapModel swapModel)
{
var discountFactors = new double[swapModel.ZeroCouponRates.Count];
foreach (var zeroCouponRate in swapModel.ZeroCouponRates)
{
discountFactors[zeroCouponRate.Key - 1] = 1 / Math.Pow(1 + zeroCouponRate.Value, zeroCouponRate.Key);
}
return(discountFactors);
}
private static double CalculateSwapRate(SwapModel swapModel, int year)
{
var swapRate = 0.0;
var discountFactors = CalculateDiscountFactors(swapModel);
var discountFactorsSum = SumDiscountFactors(discountFactors, year);
for (int i = 0; i < year; i++)
{
var weight = (discountFactors[i] / discountFactorsSum);
swapRate += weight * swapModel.ForwardRates[i + 1];
}
return(swapRate * 100);
}
static void Main(string[] args)
{
var swapCurve = DataLoader.LoadSwapCurve(SwapCurveTableNames.Table3_5);
var zeroCouponRates = GetZeroCouponRates(swapCurve);
PrintRates(zeroCouponRates, Rates.ZeroCouponRates);
var forwards = GetForwardRates(zeroCouponRates);
PrintRates(forwards, Rates.ForwardRates);
var swapModel = new SwapModel(zeroCouponRates, forwards);
var swapRate = CalculateSwapRate(swapModel, 3);
Console.WriteLine(swapRate);
//var NPV = CalculateMarkToMarket(swapModel, 100000000, 7.0, 3);
}
