public double CalculateParRate(IFundingModel model)
{
var discountCurve = model.Curves[CashDiscountCurve];
var SpotRate = model.GetFxRate(SpotDate, MetalCCY, CashCCY);
var t = SpotDate.CalculateYearFraction(DeliveryDate, Basis);
var fwd = model.GetFxRate(DeliveryDate, MetalCCY, CashCCY);
var ctgo = (fwd / SpotRate - 1.0) / t;
return(ctgo);
}
public double Pv(IFundingModel model, bool updateState)
{
var discountCurve = model.Curves[CashDiscountCurve];
var SpotRate = model.GetFxRate(SpotDate, MetalCCY, CashCCY);
var t = SpotDate.CalculateYearFraction(DeliveryDate, Basis);
var strike = SpotRate * (1.0 + ContangoRate * t);
var fwd = model.GetFxRate(DeliveryDate, MetalCCY, CashCCY);
var FV = (fwd - strike) * MetalQuantity;
var PV = discountCurve.Pv(FV, DeliveryDate);
return(PV);
}
public double SuggestPillarValue(IFundingModel model)
{
var discountCurve = model.Curves[CashDiscountCurve];
var SpotRate = model.GetFxRate(SpotDate, MetalCCY, CashCCY);
var t = SpotDate.CalculateYearFraction(DeliveryDate, Basis);
var fwd = SpotRate * (1.0 + ContangoRate * t);
var fxr = fwd / SpotRate;
var df1 = discountCurve.GetDf(SpotDate, PillarDate);
var df2 = df1 / fxr;
var rate = -System.Math.Log(df2) / t;
return(rate);
}
private double GetFwd(DateTime fwdDate, double contango)
{
var t = SpotDate.CalculateYearFraction(fwdDate, Basis);
return(Spot * (1.0 + contango * t));
}
void ReleaseDesignerOutlets()
{
if (Activity != null)
{
Activity.Dispose();
Activity = null;
}
if (CurrencyPair != null)
{
CurrencyPair.Dispose();
CurrencyPair = null;
}
if (Executing != null)
{
Executing.Dispose();
Executing = null;
}
if (LeftSideAction != null)
{
LeftSideAction.Dispose();
LeftSideAction = null;
}
if (LeftSideBigNumber != null)
{
LeftSideBigNumber.Dispose();
LeftSideBigNumber = null;
}
if (LeftSideButton != null)
{
LeftSideButton.Dispose();
LeftSideButton = null;
}
if (LeftSideNumber != null)
{
LeftSideNumber.Dispose();
LeftSideNumber = null;
}
if (LeftSidePips != null)
{
LeftSidePips.Dispose();
LeftSidePips = null;
}
if (Notional != null)
{
Notional.Dispose();
Notional = null;
}
if (NotionalCCY != null)
{
NotionalCCY.Dispose();
NotionalCCY = null;
}
if (PriceMovementDown != null)
{
PriceMovementDown.Dispose();
PriceMovementDown = null;
}
if (PriceMovementUp != null)
{
PriceMovementUp.Dispose();
PriceMovementUp = null;
}
if (RightSideAction != null)
{
RightSideAction.Dispose();
RightSideAction = null;
}
if (RightSideBigNumber != null)
{
RightSideBigNumber.Dispose();
RightSideBigNumber = null;
}
if (RightSideButton != null)
{
RightSideButton.Dispose();
RightSideButton = null;
}
if (RightSideNumber != null)
{
RightSideNumber.Dispose();
RightSideNumber = null;
}
if (RightSidePips != null)
{
RightSidePips.Dispose();
RightSidePips = null;
}
if (SpotDate != null)
{
SpotDate.Dispose();
SpotDate = null;
}
if (Spread != null)
{
Spread.Dispose();
Spread = null;
}
}
