public static double GetATMfwd(ZeroCurve myZero, DivList myDivList, double spot, double t)
{
double spotstar = spot;
//compute the discounted dividends and take off spot
if ((myDivList != null) && (myZero != null))
{
for (int idx = 0; idx < myDivList.Divpoints; idx++)
{
if (myDivList.GetT(idx) <= t)
{
double d1 = myDivList.GetD(idx);
double r1 = myZero.LinInterp(myDivList.GetT(idx));
double t1 = Math.Exp(-r1 * myDivList.GetT(idx));
spotstar -= d1 * t1;
}
}
}
//gross up to expiry to get atfwd
if (myZero != null)
{
double r = myZero.LinInterp(t);
return(spotstar * Math.Exp(r * t));
}
return(0);
}
public void NonFlatRates()
{
ZeroCurve myZero = new ZeroCurve();
myZero.Ratepoints = 2;
myZero.MakeArrays();
myZero.SetR(0, 0.05, 1.0);
myZero.SetR(1, 0.075, 2.0);
//test interpolation priot to point 0
double tTime = 0.5;
double val = myZero.LinInterp(tTime);
Assert.IsTrue(val > 0.0499999999);
Assert.IsTrue(val < 0.050000001);
//test interpolation prior to point 1
tTime = 1.5;
val = myZero.LinInterp(tTime);
Assert.IsTrue(val > 0.062499999999);
Assert.IsTrue(val < 0.06250000001);
//test interpolation post point 1
tTime = 2.5;
val = myZero.LinInterp(tTime);
Assert.IsTrue(val > 0.07499999999);
Assert.IsTrue(val < 0.0750000001);
//test forward rates
//test interpolation priot to point 0
double tl = 0.25;
tTime = 0.5;
val = myZero.ForwardRate(tl, tTime);
Assert.IsTrue(val > 0.0499999999);
Assert.IsTrue(val < 0.050000001);
//test interpolation prior to point 1
tTime = 1.5;
val = myZero.ForwardRate(tl, tTime);
Assert.IsTrue(val > 0.06499999); /// 0.065
Assert.IsTrue(val < 0.065000001);
//test interpolation post point 1
tTime = 2.5;
val = myZero.ForwardRate(tl, tTime); ///0.077778
Assert.IsTrue(val > 0.0777777);
Assert.IsTrue(val < 0.07777778);
}
//fill grid forward rates
private void FillForwardRate(ZeroCurve myZero)
{
double dt = Tau / Gridsteps;
if (myZero != null)
{
if (flatFlag)
{
flatRate = myZero.LinInterp(Tau);
}
for (int idx = 0; idx < Gridsteps; idx++)
{
SetR(idx, flatFlag ? flatRate : myZero.ForwardRate(idx * dt, (idx + 1) * dt));
}
}
}
private void MakeSpotStar(ZeroCurve myZero, DivList myDivList)
{
SpotStart = Spot;
if ((myDivList != null) && (myZero != null))
{
for (int idx = 0; idx < myDivList.Divpoints; idx++)
{
if (myDivList.GetT(idx) <= Tau)
{
double d1 = myDivList.GetD(idx);
double r1 = myZero.LinInterp(myDivList.GetT(idx));
double t1 = Math.Exp(-r1 * myDivList.GetT(idx));
SpotStart -= d1 * t1;
}
}
}
}
