/// <summary>
/// Produce a vector of curves where the element at index i is a realization of a simulation at
/// simulationDates i. If you require the rates directly use <see cref="GetSimulatedRates(Date[])"/>
/// </summary>
/// <param name="simulationDates">Dates on which the simulation is run. Must all be greater than the
/// anchor date.</param>
/// <returns></returns>
public ICurve[] GetSimulatedCurves(Date[] simulationDates, Currency curveCcy = null)
{
if (curveCcy == null)
{
curveCcy = Currency.ANY;
}
var results = new ICurve[simulationDates.Length];
var dist = new Normal();
var previousDate = anchorDate;
var previousRates = initialRates.Clone() as double[];
var currentRates = new double[initialRates.Length];
// Iterate through the simulation dates
for (var simCounter = 0; simCounter < simulationDates.Length; simCounter++)
{
var currentDate = simulationDates[simCounter];
var dt = (currentDate - previousDate) / 365.0;
var sdt = Math.Sqrt(dt);
var curveDates = new Date[initialRates.Length];
// Random realizations to be used in simulation.
var eps1 = dist.Sample();
var eps2 = dist.Sample();
var eps3 = dist.Sample();
// Iterate thrrough the dates on the curve
for (var i = 0; i < initialRates.Length; i++)
{
curveDates[i] = simulationDates[simCounter].AddTenor(tenors[i]);
if (useRelative)
{
//TODO: add mean correction.
var exponent = components[0, i] * vols[0] * sdt * eps1 +
components[1, i] * vols[1] * sdt * eps2 +
components[2, i] * vols[2] * sdt * eps3;
currentRates[i] = previousRates[i] * Math.Exp(exponent);
}
else
{
var change = components[0, i] * vols[0] * sdt * eps1 + components[1, i] * vols[1] * sdt * eps2 +
components[2, i] * vols[2] * sdt * eps3;
currentRates[i] = previousRates[i] + change;
if (floorAtZero)
{
currentRates[i] = Math.Max(0.0, currentRates[i]);
}
}
}
currentRates = currentRates.Multiply(multiplier);
results[simCounter] = new DatesAndRates(curveCcy, simulationDates[simCounter], curveDates, currentRates,
simulationDates[simCounter].AddMonths(360));
previousRates = currentRates.Clone() as double[];
previousDate = new Date(currentDate);
}
return(results);
}
/// <summary>
/// Create a curve that linearly interpolates the provided forward rates. Rates are not used to get discount factors.
/// </summary>
/// <remarks>
/// If you want to obtain discount factors from the provided rates rather use: <see cref="DatesAndRates"/></remarks>
/// <param name="anchorDate"></param>
/// <param name="index"></param>
/// <param name="dates"></param>
/// <param name="rates"></param>
/// <param name="maximumDate"></param>
public ForecastCurve(Date anchorDate, FloatingIndex index, Date[] dates, double[] rates,
Date maximumDate = null)
{
this.index = index;
dateAndRates = new DatesAndRates(Currency.ANY, anchorDate, dates, rates, maximumDate);
}