public void TestDelta0discountCoupon() { for (var i = 1; i < 10; i++) { var delta0 = SwapAnalytics.Delta0DiscountCoupon(1000000.0, 0.25, 0.07, Math.Exp(-0.07 * i)); Debug.WriteLine(String.Format("Delta1 : {0} Time: {1}", delta0, i)); } }
public void Delta0DiscountCouponTest() { const double notional = 100; const double dayFraction = 0.5; // 6 months const double rate = 0.0615; // 6.15% const double paymentDiscountFactor = 0.92; const double expected = -0.00432963; double actual = SwapAnalytics.Delta0DiscountCoupon(notional, dayFraction, rate, paymentDiscountFactor); Assert.AreEqual(expected, actual, 1e-8); }
/// <summary> /// Evaluates the delta wrt the forward rate R for discount coupon. /// </summary> /// <param name="notional">The notional for that period.</param> /// <param name="paymentDiscountFactor">The payment discount factor.</param> /// <param name="dayFraction">The year fraction.</param> /// <param name="rate">The rate.</param> /// <returns></returns> public double Delta0DiscountCoupon(double notional, double dayFraction, double rate, double paymentDiscountFactor) { return(SwapAnalytics.Delta0DiscountCoupon(notional, dayFraction, rate, paymentDiscountFactor)); }