public void TestSelfConsistency()
{
var result = new double[Rates.Length];
for (var i = 0; i < Rates.Length; i++)
{
result[i] = Rates[i] * Times[i];
}
var vectorRatesTimes = new DoubleVector(result);
vectorRatesTimes.Multiply(-1.0d);
vectorRatesTimes.Apply(Math.Exp);
var index = 0;
foreach (var pointvalue in vectorRatesTimes)
{
var yearFraction = (decimal)Times[index];
foreach (var comp in _compounding)
{
var result2 = RateAnalytics.DiscountFactorToZeroRate(1.0m, (decimal)pointvalue, yearFraction, comp);
var result1 = RateAnalytics.ZeroRateToDiscountFactor(result2, yearFraction, comp);
Debug.WriteLine($"DFIn : {pointvalue} DFOut: {(double) result1}");
Assert.AreEqual((double)result1, pointvalue, .000000001);
}
index++;
}
}
public void DiscountFactorToZeroRateTest()
{
var result = new double[Rates.Length];
for (var i = 0; i < Rates.Length; i++)
{
result[i] = Rates[i] * Times[i];
}
var vectorRatesTimes = new DoubleVector(result);
vectorRatesTimes.Multiply(-1.0d);
vectorRatesTimes.Apply(Math.Exp);
var index = 0;
foreach (var pointvalue in vectorRatesTimes)
{
var yearFraction = (decimal)Times[index];
foreach (var comp in _compounding)
{
var result2 = RateAnalytics.DiscountFactorToZeroRate(1.0m, (decimal)pointvalue, yearFraction, comp);
Debug.WriteLine($"Rate : {result2} Time: {yearFraction}");
}
index++;
}
}
public void DiscountFactorToZeroRate5Test()
{
double result = (double)RateAnalytics.DiscountFactorToZeroRate(0.9m, 0.8m, 0.5m, 0.25m);
Assert.AreEqual(0.24264068, result, 0.00000001);
result = (double)RateAnalytics.DiscountFactorToZeroRate(0.9m, 0.8m, 0.5m, 0);
Assert.AreEqual(0.23556607, result, 0.00000001);
}
public void DiscountFactorToZeroRate3Test()
{
double result = RateAnalytics.DiscountFactorToZeroRate(0.9, 0.5, "Quarterly");
Assert.AreEqual(0.21637021, result, 0.00000001);
result = RateAnalytics.DiscountFactorToZeroRate(0.9, 0.5, "SemiAnnual");
Assert.AreEqual(0.22222222, result, 0.00000001);
}
internal static double GetAdjustedDiscountFactor(DateTime baseDate, DateTime baseCurveDate,
IDayCounter dayCounter, double zeroRateSpread, IRateCurve baseCurve)
{
const double compoundingPeriod = 0.25;
// Convert to Zero Rate
double yearFraction = dayCounter.YearFraction(baseDate, baseCurveDate);
double df0 = baseCurve.GetDiscountFactor(baseCurveDate);
double z0 = RateAnalytics.DiscountFactorToZeroRate(df0, yearFraction, compoundingPeriod);
// Add the spread
double z = z0 + zeroRateSpread;
// Change back
double discountFactor = RateAnalytics.ZeroRateToDiscountFactor(z, yearFraction, compoundingPeriod);
return(discountFactor);
}
public void DiscountFactorToZeroRate2Test()
{
double result = RateAnalytics.DiscountFactorToZeroRate(0.9, 0.5, "Quarterly");
Assert.AreEqual(0.21637021, result, 0.00000001);
result = RateAnalytics.DiscountFactorToZeroRate(0.9, 0.5, "Continuous");
Assert.AreEqual(0.21072103, result, 0.00000001);
result = RateAnalytics.DiscountFactorToZeroRate(0.9, 0.5, "Weekly");
Assert.AreEqual(0.21114856, result, 0.00000001);
result = RateAnalytics.DiscountFactorToZeroRate(0.9, 0.5, "Daily");
Assert.AreEqual(0.21078186, result, 0.00000001);
result = RateAnalytics.DiscountFactorToZeroRate(0.9, 0.5, "Annual");
Assert.AreEqual(0.23456790, result, 0.00000001);
}
public double ShortEndTargetFunction(double guess)
{
DateTime baseDate = _baseCurve.GetBaseDate();
DateTime date0 = _assetDates.First();
DateTime date1 = _assetDates.Last();
double d0 = _baseCurve.GetDiscountFactor(date0);
double d1 = _baseCurve.GetDiscountFactor(date1);
double y = _dayCounter.YearFraction(date0, date1);
double y0 = _dayCounter.YearFraction(baseDate, date0);
double y1 = _dayCounter.YearFraction(baseDate, date1);
double z0 = RateAnalytics.DiscountFactorToZeroRate(d0, y0, _compoundingPeriod);
double z1 = RateAnalytics.DiscountFactorToZeroRate(d1, y1, _compoundingPeriod);
double projectedRate = 1 / y * (d0 / d1 - 1);
double basisSpread = (double)_asset.MarketQuote.value;
double term1 = Math.Pow(1 + 0.25 * (z0 + guess), -4 * y0);
double term2 = Math.Pow(1 + 0.25 * (z1 + guess), -4 * y1);
double term3 = y * term2 * (projectedRate + basisSpread);
double result = -term1 + term2 + term3;
return(result);
}
/// <summary>
/// Evaluates the implied quote.
/// </summary>
/// <returns></returns>
protected virtual Decimal EvaluateImpliedQuote()//TODO this won't work.
{
return(RateAnalytics.DiscountFactorToZeroRate(AnalyticParameters.StartDiscountFactor, AnalyticParameters.EndDiscountFactor, AnalyticParameters.YearFraction, AnalyticParameters.PeriodAsTimesPerYear));
}
///<summary>
/// Converts a discount factor to a compounding zero rate.
///</summary>
///<param name="yearFraction">The year Fraction.</param>
///<param name="discountFactor">The discount factor.</param>
///<param name="frequency">The compounding frequency. Can take: Continuous, Daily, Quarterly,
/// Semi-Annual,SemiAnnual,Semi and Annual</param>
///<returns>The compounded zero rate requested.</returns>
public double DiscountFactorToZeroRate3(double yearFraction, double discountFactor, String frequency)
{
return(RateAnalytics.DiscountFactorToZeroRate(discountFactor, yearFraction, frequency));
}
/// <summary>
/// Converts from the zero rate to a terminal wealth.
/// </summary>
/// <param name="startDiscountFactor"></param>
/// <param name="endDiscountFactor"></param>
/// <param name="yearFraction"></param>
/// <param name="compoundingPeriod"></param>
/// <returns></returns>
public decimal DiscountFactorToZeroRate2(decimal startDiscountFactor, decimal endDiscountFactor,
decimal yearFraction, decimal compoundingPeriod)
{
return(RateAnalytics.DiscountFactorToZeroRate(startDiscountFactor, endDiscountFactor,
yearFraction, compoundingPeriod));
}
///<summary>
/// Converts a discount factor to a compounding zero rate.
///</summary>
///<param name="targetDate">The target date.</param>
///<param name="discountFactor">The discount factor.</param>
///<param name="frequency">The compounding frequency. Can take: Continuous, Daily, Quarterly,
/// Semi-Annual,SemiAnnual,Semi and Annual.</param>
///<param name="baseDate">The base date.</param>
///<returns>The compounded zero rate requested.</returns>
public double DiscountFactorToZeroRate1(DateTime baseDate, DateTime targetDate, double discountFactor, String frequency)
{
double yearFraction = Actual365.Instance.YearFraction(baseDate, targetDate);
return(RateAnalytics.DiscountFactorToZeroRate(discountFactor, yearFraction, frequency));
}