public void TestSelfConsistency()
{
var result = new double[Rates.Length];
for (var i = 0; i < Rates.Length; i++)
{
result[i] = Rates[i] * Times[i];
}
var vectorRatesTimes = new DoubleVector(result);
vectorRatesTimes.Multiply(-1.0d);
vectorRatesTimes.Apply(Math.Exp);
var index = 0;
foreach (var pointvalue in vectorRatesTimes)
{
var yearFraction = (decimal)Times[index];
foreach (var comp in _compounding)
{
var result2 = RateAnalytics.DiscountFactorToZeroRate(1.0m, (decimal)pointvalue, yearFraction, comp);
var result1 = RateAnalytics.ZeroRateToDiscountFactor(result2, yearFraction, comp);
Debug.WriteLine($"DFIn : {pointvalue} DFOut: {(double) result1}");
Assert.AreEqual((double)result1, pointvalue, .000000001);
}
index++;
}
}
public void DiscountFactorToZeroRateTest()
{
var result = new double[Rates.Length];
for (var i = 0; i < Rates.Length; i++)
{
result[i] = Rates[i] * Times[i];
}
var vectorRatesTimes = new DoubleVector(result);
vectorRatesTimes.Multiply(-1.0d);
vectorRatesTimes.Apply(Math.Exp);
var index = 0;
foreach (var pointvalue in vectorRatesTimes)
{
var yearFraction = (decimal)Times[index];
foreach (var comp in _compounding)
{
var result2 = RateAnalytics.DiscountFactorToZeroRate(1.0m, (decimal)pointvalue, yearFraction, comp);
Debug.WriteLine($"Rate : {result2} Time: {yearFraction}");
}
index++;
}
}
// private double[] exp;
/// <summary>
/// Initialize this test case.
/// </summary>
protected static double[] SetUp()
{
double[] result = new double[_rates.Length];
for (int i = 0; i < _rates.Length; i++)
{
result[i] = _rates[i] * _times[i];
}
var vectorRatesTimes = new DoubleVector(result);
vectorRatesTimes.Multiply(-1.0d);
return(vectorRatesTimes.Apply(Math.Exp).Vector);
}
/// <summary></summary>
protected static void UpdateDiscreteDistribution( ref ChartControl chart, ProbabilityDistribution dist, List<string> titles, DistributionFunction function )
{
string xTitle = "x";
string yTitle;
int xmin = (int)Math.Floor( dist.InverseCDF( 0.0001 ) );
int xmax = (int)Math.Ceiling( dist.InverseCDF( 0.9999 ) );
DoubleVector x = new DoubleVector( xmax - xmin + 1, xmin, 1 );
DoubleVector y;
if( function == DistributionFunction.PDF )
{
yTitle = "Probability Mass Function";
y = x.Apply( new Func<double, double>( dist.PDF ) );
}
else
{
yTitle = "Cumulative Distribution Function";
y = x.Apply( new Func<double, double>( dist.CDF ) );
}
ChartSeries series = BindXY( x, y, ChartSeriesType.Column, ChartSymbolShape.None );
Update( ref chart, series, titles, xTitle, yTitle );
}
