public double CalculateParRate(IFundingModel Model)
{
var rateStart = Expiry.AddPeriod(RollType.F, Index.HolidayCalendars, Index.FixingOffset);
var rateEnd = rateStart.AddPeriod(Index.RollConvention, Index.HolidayCalendars, Index.ResetTenor);
var forecastCurve = Model.Curves[ForecastCurve];
var fwdRate = forecastCurve.GetForwardRate(rateStart, rateEnd, RateType.Linear, Index.DayCountBasis);
var fairPrice = 100.0 - (fwdRate + ConvexityAdjustment) * 100.0;
return(fairPrice);
}
public double Pv(FundingModel Model, bool updateState)
{
var rateStart = Expiry.AddPeriod(RollType.F, Index.HolidayCalendars, Index.FixingOffset);
var rateEnd = rateStart.AddPeriod(Index.RollConvention, Index.HolidayCalendars, Index.ResetTenor);
var forecastCurve = Model.Curves[ForecastCurve];
var fwdRate = forecastCurve.GetForwardRate(rateStart, rateEnd, RateType.Linear, Index.DayCountBasis);
var fairPrice = 100.0 - (fwdRate + ConvexityAdjustment) * 100.0;
var PV = (Price - fairPrice) * Position * ContractSize * DCF;
return(PV);
}
public Dictionary <string, Dictionary <DateTime, double> > Sensitivities(FundingModel model)
{
//only forecast for STIR future
var forecastDict = new Dictionary <DateTime, double>();
var forecastCurve = model.Curves[ForecastCurve];
var rateStart = Expiry.AddPeriod(RollType.F, Index.HolidayCalendars, Index.FixingOffset);
var rateEnd = rateStart.AddPeriod(Index.RollConvention, Index.HolidayCalendars, Index.ResetTenor);
var ts = forecastCurve.Basis.CalculateYearFraction(forecastCurve.BuildDate, rateStart);
var te = forecastCurve.Basis.CalculateYearFraction(forecastCurve.BuildDate, rateEnd);
var fwdRate = forecastCurve.GetForwardRate(rateStart, rateEnd, RateType.Linear, Index.DayCountBasis);
var dPVdR = -100.0;
var dPVdS = dPVdR * (-ts * (fwdRate + 1.0 / DCF));
var dPVdE = dPVdR * (te * (fwdRate + 1.0 / DCF));
forecastDict.Add(rateStart, dPVdS);
forecastDict.Add(rateEnd, dPVdE);
return(new Dictionary <string, Dictionary <DateTime, double> >()
{
{ ForecastCurve, forecastDict },
});
}