public static double GetFixedSidePV(DateTime valuationDate, List <AmortisingResultItem> fixedCFs, List <AmortisingResultItem> floatCFs, IDayCounter dayCounter, RateCurve curve, double floatRateMargin, double fixedRate, DateTime bulletPaymentDate, double bulletPaymentValue)
{
// solve for the fixed rate
//
var objectiveFunction = new BillSwapPricer2SwapParRateObjectiveFunction(valuationDate, fixedCFs, floatCFs, curve, dayCounter, floatRateMargin, bulletPaymentDate, bulletPaymentValue);
double presentValueOfFixedSide = -objectiveFunction.Value(fixedRate);
return(presentValueOfFixedSide);
}
public static double GetFixedSideSensitivity(DateTime valuationDate, List <AmortisingResultItem> fixedCFs, List <AmortisingResultItem> floatCFs,
IDayCounter dayCounter,
RateCurve originalCurve, RateCurve perturbedCurve,
double floatRateMargin, double fixedRate, DateTime bulletPaymentDate, double bulletPaymentValue)
{
// solve for the fixed rate
//
var objectiveFunction = new BillSwapPricer2SwapParRateObjectiveFunction(valuationDate, fixedCFs, floatCFs, originalCurve, dayCounter, floatRateMargin, bulletPaymentDate, bulletPaymentValue);
double originalPV = objectiveFunction.Value(fixedRate);
var objectiveFunctionWithPerturbedCurve = new BillSwapPricer2SwapParRateObjectiveFunction(valuationDate, fixedCFs, floatCFs, perturbedCurve, dayCounter, floatRateMargin, bulletPaymentDate, bulletPaymentValue);
double perturbedPV = objectiveFunctionWithPerturbedCurve.Value(fixedRate);
return(perturbedPV - originalPV);
}
public static double GetFixedRate(DateTime valuationDate, List <AmortisingResultItem> fixedCFs, List <AmortisingResultItem> floatCFs, IDayCounter dayCounter, RateCurve curve, double floatRateMargin, DateTime bulletPaymentDate, double bulletPaymentValue)
{
// solve for the fixed rate
//
IObjectiveFunction objectiveFunction = new BillSwapPricer2SwapParRateObjectiveFunction(valuationDate, fixedCFs, floatCFs, curve, dayCounter, floatRateMargin, bulletPaymentDate, bulletPaymentValue);
const double accuracy = 10e-14;
const double guess = 0.1;
//Are these min and max reasonable?
var min = -.01;
var max = .10;
var solver = new Newton();
return(solver.Solve(objectiveFunction, accuracy, guess, min, max));
}
