/// <summary>
/// Anns the yield.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="targetDate">The target date.</param>
/// <param name="divCurve">The div curve.</param>
/// <param name="ratetimes">The rate times.</param>
/// <param name="rateamts">The rate amounts.</param>
/// <param name="im">the im?</param>
/// <param name="cf">The cf?</param>
/// <returns></returns>
public static double GetPVDivs(double yearFraction1, double yearFraction2, int[] divdays, double[] divamts, int[] ratedays, double[] rateamts, string im, CompoundingFrequencyEnum cf, int daybasis)
{
DiscreteCurve divCurve = CreateCurve(divdays, divamts, daybasis);
DiscreteCurve rc = CreateCurve(ratedays, rateamts, daybasis);
List <IPoint> points = divCurve.GetPointList();
double sum = 0;
var rateCurve = new InterpolatedCurve(rc, InterpolationFactory.Create(im), false);
foreach (IPoint pt in points)
{
decimal t = Convert.ToDecimal(pt.GetX());
decimal rate = Convert.ToDecimal(rateCurve.Value(pt));
double df = Convert.ToDouble(GetDiscountFactor(t, rate, cf));
if ((pt.GetX() <= yearFraction2) & (pt.GetX() > yearFraction1))
{
sum += pt.FunctionValue * df;
}
}
return(sum);
}
public double minValueAfter(int i, InterpolatedCurve c, bool validData, int f)
{
//return Const.QL_Epsilon;
if (validData)
{
double r = c.data().Min();
#if QL_NEGATIVE_RATES
return(r < 0.0 ? r * 2.0 : r / 2.0);
#else
return(r / 2.0);
#endif
}
#if QL_NEGATIVE_RATES
// no constraints.
// We choose as min a value very unlikely to be exceeded.
return(-maxRate);
#else
return(Const.QL_EPSILON);
#endif
}
/// <summary>
/// Anns the yield.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="targetDate">The target date.</param>
/// <param name="divCurve">The div curve.</param>
/// <param name="ratetimes">The rate times.</param>
/// <param name="rateamts">The rate amounts.</param>
/// <param name="im">the im?</param>
/// <param name="cf">The cf?</param>
/// <returns></returns>
public static double GetPVDivs(DateTime baseDate, DateTime targetDate, DiscreteCurve divCurve, double[] ratetimes, double[] rateamts, string im, CompoundingFrequencyEnum cf)
{
List <IPoint> points = divCurve.GetPointList();
double sum = 0;
var rateCurve = new InterpolatedCurve(new DiscreteCurve(ratetimes, rateamts), InterpolationFactory.Create(im), false);
int t0 = (targetDate - baseDate).Days;
double maturity = t0 / 365.0;
foreach (IPoint pt in points)
{
decimal t = Convert.ToDecimal(pt.GetX());
decimal rate = Convert.ToDecimal(rateCurve.Value(pt));
double df = Convert.ToDouble(GetDiscountFactor(t, rate, cf));
if ((pt.GetX() <= maturity) & (pt.GetX() > 0))
{
sum += pt.FunctionValue * df;
}
}
return(sum);
}
public double maxValueAfter(int i, InterpolatedCurve c, bool validData, int first)
{
return(traits_.maxValueAfter(i, c, validData, first));
}
public double guess(int i, InterpolatedCurve c, bool validData, int first)
{
return(traits_.guess(i, c, validData, first));
}
public double maxValueAfter(int i, InterpolatedCurve c, bool validData, int f)
{
// survival probability cannot increase
return(c.data()[i - 1]);
}
///<summary>
/// Gets the interpolated value from the curve.
///</summary>
///<param name="point">A 1D point</param>
/// <param name="interpolationType">The interpolation.</param>
/// <param name="extrapolation">if set to <c>true</c> [extrapolation].</param>
/// <param name="times">A vetical array of times.</param>
/// <param name="values">A vertical array of values.</param>
/// <returns>The value at that point.</returns>
public static Double GetDateValue(IPoint point, string interpolationType, bool extrapolation, double[] times, double[] values)
{
var curve = new InterpolatedCurve(new DiscreteCurve(times, values), InterpolationFactory.Create(interpolationType), extrapolation);
return(curve.Value(point));
}
public double maxValueAfter(int i, InterpolatedCurve c, bool validData, int f)
{
throw new NotSupportedException();
}
public double guess(int i, InterpolatedCurve c, bool validData, int f)
{
throw new NotSupportedException();
}
