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++;
}
}
/// <summary>
/// Gets the forward lin365.
/// </summary>
/// <param name="yearFraction">The year fraction.</param>
/// <param name="divdays">The div days.</param>
/// <param name="divamts">The div amounts.</param>
/// <param name="ratedays">The rate days.</param>
/// <param name="rateamts">The rate amounts.</param>
/// <returns></returns>
public static double GetForwardCCLin365(double spot, double yearFraction, int[] divdays, double[] divamts, int[] ratedays, double[] rateamts)
{
double pvdivs = GetPVDivsCCLin365(0, yearFraction, divdays, divamts, ratedays, rateamts);
double r0 = GetRateCCLin365(0, yearFraction, ratedays, rateamts);
double df = RateAnalytics.ZeroRateToDiscountFactor(r0, yearFraction, CompoundingFrequencyEnum.Continuous);
return((spot - pvdivs) / df);
}
/// <summary>
/// Gets the dividend discount factor.
/// </summary>
public static decimal GetDiscountFactor(decimal years, decimal rate, CompoundingFrequencyEnum cf)
{
double years0 = Convert.ToDouble(years);
double rate0 = Convert.ToDouble(rate);
double df = RateAnalytics.ZeroRateToDiscountFactor(rate0, years0, cf);
decimal df0 = Convert.ToDecimal(df);
return(df0);
}
public void ZeroRateToDiscountFactor2Test()
{
double result = RateAnalytics.ZeroRateToDiscountFactor(0.02, 0.5, "SemiAnnual");
Assert.AreEqual(0.99009900, result, 0.00000001);
result = RateAnalytics.ZeroRateToDiscountFactor(0.02, 0.5, "Continuous");
Assert.AreEqual(0.99004983, result, 0.00000001);
}
/// <summary>
/// Gets the df.
/// </summary>
/// <param name="days">The days.</param>
/// <returns></returns>
public decimal GetDf(int days)
{
var rateCurve = new InterpolatedCurve(new DiscreteCurve(GetYearsArray(),
RateArray), InterpolationFactory.Create(InterpolationType), false);
double maturityYrs = days / 365.0;
IPoint point = new Point1D(maturityYrs);
double rate = rateCurve.Value(point);
double df = RateAnalytics.ZeroRateToDiscountFactor(rate, maturityYrs, RateType);
decimal df0 = Convert.ToDecimal(df);
return(df0);
}
public void ZeroRateToDiscountFactor1Test()
{
decimal result = RateAnalytics.ZeroRateToDiscountFactor(0.02m, 0.5m, 0.5m);
Assert.AreEqual(0.99009900, (double)result, 0.00000001);
result = RateAnalytics.ZeroRateToDiscountFactor(0.02m, 0.5m, 0);
Assert.AreEqual(0.99004983, (double)result, 0.00000001);
result = RateAnalytics.ZeroRateToDiscountFactor(0.02m, 0m, 0.5m);
Assert.AreEqual(1, result);
}
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 ZeroRateToDiscountFactor0Test()
{
var index = 0;
foreach (var pointvalue in Rates)
{
var yearFraction = (decimal)Times[index];
foreach (var comp in _compounding)
{
var result2 = RateAnalytics.ZeroRateToDiscountFactor((decimal)pointvalue, yearFraction, comp);
Debug.WriteLine($"rate : {result2} Time: {yearFraction}");
}
index++;
}
}
/// <summary>
/// Evaluates the discount factor at maturity.
/// </summary>
/// <returns></returns>
protected virtual Decimal EvaluateDiscountFactorAtMaturity()
{
return(AnalyticParameters.StartDiscountFactor * RateAnalytics.ZeroRateToDiscountFactor(AnalyticParameters.Rate, AnalyticParameters.YearFraction, AnalyticParameters.PeriodAsTimesPerYear));
}
/// <summary>
/// Converts from the zero rate to a terminal wealth.
/// </summary>
/// <param name="rate"></param>
/// <param name="yearFraction"></param>
/// <param name="compoundingPeriod"></param>
/// <returns></returns>
public decimal ZeroRateToDiscountFactor(decimal rate, decimal yearFraction,//TODO yearFraction <> 0.
decimal compoundingPeriod)
{
return(RateAnalytics.ZeroRateToDiscountFactor(rate, yearFraction,
compoundingPeriod));
}
