public AffineDivCurveUtils(DividendQuote[] dividends,
DiscountCurve discountCurve,
ITimeMeasure time)
{
Contract.Requires(EnumerableUtils.IsSorted(dividends.Select(div => div.Date)));
if (dividends.Length > 0)
{
double[] divDates = dividends.Map(div => time[div.Date]);
double[] spotYieldGrowths = dividends.Scan(1.0, (prev, div) => prev * (1.0 - div.Yield));
var spotYieldGrowth = new StepFunction(divDates, spotYieldGrowths, 1.0);
assetGrowth = t => spotYieldGrowth.Eval(t) / discountCurve.Zc(t);
double[] discountedCashs = dividends.Map(div => div.Cash / assetGrowth(time[div.Date]));
double[] cashBpvs = discountedCashs.Scan(0.0, (prev, c) => prev + c);
cashDivBpv = new StepFunction(divDates, cashBpvs, 0.0);
cashBpvIntegral = cashDivBpv.Integral(0.0);
double[] squareTimeWeightedCashs = discountedCashs.ZipWith(divDates, (c, t) => c * t * t);
squareTimeWeightedCash = new StepFunction(divDates, squareTimeWeightedCashs, 0.0);
}
else
{
assetGrowth = t => 1.0 / discountCurve.Zc(t);
cashDivBpv = new StepFunction(new[] { 0.0 }, new[] { 0.0 }, double.NaN);
cashBpvIntegral = RrFunctions.Zero;
squareTimeWeightedCash = new StepFunction(new[] { 0.0 }, new[] { 0.0 }, double.NaN);
}
}
public void TestIntegral(double[] pillars, double[] vals, double leftVal, double[] refIntegralVals)
{
var stepFunc = new StepFunction(pillars, vals, leftVal);
var integral = stepFunc.Integral(pillars[0]);
Assert.IsTrue(integral is SplineInterpoler);
for (int i = 0; i < pillars.Length - 1; i++)
{
var integralVal = integral.Eval(pillars[i]);
Assert.IsTrue(DoubleUtils.MachineEquality(integralVal, refIntegralVals[i]));
}
}
