public double GetSpotRate(double t)
{
if (Trait == YieldCurveTrait.SpotCurve)
{
return(_curveXInYears.GetValue(t) + Spread.GetValue(t));
}
var df = GetDf(t);
return(Compound.CalcRateFromDf(df, t));
}
public double GetForwardRate(double t0, double dt, Compound compound = Compound.Simple, IDayCount dayCount = null)
{
if (dt <= 0.0)
{
return(_curveXInYears.GetValue(t0) + Spread.GetValue(t0));
}
if (t0.IsAlmostZero() && dt.IsAlmostZero())
{
return(GetForwardRate(0, 0.0001, compound, dayCount));
}
var df = GetDf(t0 + dt) / GetDf(t0);
return(compound.CalcRateFromDf(df, dt));
}
public double ZeroRate(Date startDate, Date endDate, Compound compound = Compound.Continuous)
{
var df = GetDf(startDate, endDate);
return(compound.CalcRateFromDf(df, DayCount.CalcDayCountFraction(startDate, endDate)));
}