/// <summary>
/// Computes the shifted quarterly cash forward rate for a specific future time.
/// </summary>
/// <param name="forwardDate"></param>
/// <param name="discount">Discount factors used.</param>
/// <param name="shift">Shifts used.</param>
/// <returns></returns>
public static double ShiftedCashForwardRate(int forwardDate, QuarterlyDiscounts discount, QuarterlyShifts shift)
{
double rate = 4 * (discount.Get(forwardDate) / discount.Get(forwardDate + 1) - 1);
rate += shift.Get(forwardDate);
return(rate);
}
/// <summary>
/// The "shift" of the swap rate, or shifted swap rate - actual swap rate.
/// </summary>
/// <param name="expiry"></param>
/// <param name="tenor"></param>
/// <param name="discount"></param>
/// <param name="shift"></param>
/// <returns></returns>
public static double SwapShift(int expiry, int tenor, QuarterlyDiscounts discount, QuarterlyShifts shift)
{
double numerator = 0;
double denominator = 0;
for (int i = 0; i < tenor; i++)
{
double forward = ForwardContract(expiry, expiry + i + 1, discount);
numerator += forward * shift.Get(expiry + i);
denominator += forward;
}
return(numerator / denominator);
}
/// <summary>
/// Computes the swap rate of a quarterly swap.
/// </summary>
/// <param name="expiry">Expiry time in quarters.</param>
/// <param name="tenor">Length of the swap in quarters.</param>
/// <param name="discount">Discount factors used.</param>
/// <returns></returns>
public static double SwapRate(int expiry, int tenor, QuarterlyDiscounts discount)
{
double numerator = 0;
double denominator = 0;
for (int i = 0; i < tenor; i++)
{
double forward = ForwardContract(expiry, expiry + i + 1, discount);
numerator += forward * CashForwardRate(expiry + i, discount);
denominator += forward;
}
return(numerator / denominator);
}
/// <summary>
/// Computes the quarterly cash forward rate for a specific future time.
/// </summary>
/// <param name="forwardDate"></param>
/// <param name="discount">Discount factors used.</param>
/// <returns></returns>
public static double CashForwardRate(int forwardDate, QuarterlyDiscounts discount)
{
double rate = 4 * (discount.Get(forwardDate) / discount.Get(forwardDate + 1) - 1);
return(rate);
}
/// <summary>
///
/// </summary>
/// <param name="paymentDate">Contract payment time, in quarters.</param>
/// <param name="settleDate">Delivery time, in quarters.</param>
/// <param name="discount">Discount factors used.</param>
/// <returns></returns>
public static double ForwardContract(int paymentDate, int settleDate, QuarterlyDiscounts discount)
{
return(discount.Get(settleDate) / discount.Get(paymentDate));
}
