public double Price(DateTime evaluationDate, MarketCurve marketCurve)
{
// Cashflow table
SortedDictionary <double, double> cashflows = GetCashflows(evaluationDate);
if (cashflows.Count == 1)
{
return(0);
}
// Build zero coupon curve
ZeroCouponCurve zeroCouponCurve = marketCurve.BuildZeroCouponCurve();
// Discount
double price = 0;
foreach (KeyValuePair <double, double> pair in cashflows)
{
double yearFrac = pair.Key;
double cashflow = pair.Value;
price += cashflow * zeroCouponCurve.DiscountFactor(yearFrac);
}
return(price);
}
public Bond(DateTime issueDate, DateTime maturityDate, double couponRate, int couponFrequency, bool isForward, SortedDictionary <double, double> marketCurve)
{
IssueDate = issueDate;
MaturityDate = maturityDate;
CouponRate = couponRate;
CouponFrequency = couponFrequency;
IsForward = isForward;
MarketCurve = new MarketCurve(marketCurve, couponFrequency);;
}
