/// <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>
/// 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));
}
