public double GetForwardRate(Date date)
{
Date endDate = date.AddTenor(index.tenor);
double df1 = discountingSource.GetDF(date);
double df2 = discountingSource.GetDF(endDate);
double yearFrac = (endDate - date) / 365.0;
return((df1 / df2 - 1) / yearFrac);
}
/// <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>
/// Creates <paramref name="numberOfDates"/> that are <paramref name="periodTenor"/> apart. The first
/// date is <paramref name="startDate"/> plus <paramref name="periodTenor"/>.
/// <para/>
/// There is no holiday adjustment or stub period.
/// </summary>
/// <param name="periodTenor">The period tenor.</param>
/// <param name="startDate">The start date.</param>
/// <param name="numberOfDates">The number of dates.</param>
/// <returns></returns>
public static void CreateDatesNoHolidays(Tenor periodTenor, Date startDate, int numberOfDates,
out Date[] paymentDates, out double[] accrualFractions)
{
Date runningDate = new Date(startDate);
paymentDates = new Date[numberOfDates];
accrualFractions = new double[numberOfDates];
Date oldDate = new Date(startDate);
for (int i = 0; i < numberOfDates; i++)
{
runningDate = runningDate.AddTenor(periodTenor);
paymentDates[i] = runningDate;
accrualFractions[i] = (runningDate - oldDate) / 365.0;
oldDate = runningDate;
}
}
