private void GetDiscountingDates(BondCashflow cashflow, TEDFuture future, out DateTime startDate, out DateTime endDate)
{
int iED = future.No;
if (cashflow.FlowDate < future.Maturity)
{
startDate = cashflow.FlowDate;
endDate = mTEDFutures[iED - 1].Maturity;
}
else if (iED > mFirstTED)
{
startDate = future.Maturity;
endDate = mTEDFutures[iED - 1].Maturity;
}
else
{
startDate = future.Maturity;
endDate = mSettlement;
}
}
private void DiscountCashflow(BondCashflow cashflow)
{
if (cashflow.FlowDate > mSettlement)
{
for (int iED = mFirstTED; iED < mTEDFutures.Length; iED++)
{
DateTime startDate = DateTime.MinValue;
DateTime endDate = DateTime.MaxValue;
GetDiscountingDates(cashflow, mTEDFutures[iED], out startDate, out endDate);
cashflow.Amount *= GetTEDDiscountFactor(iED - 1, startDate, endDate);
if (cashflow.FlowDate < mTEDFutures[iED].Maturity)
{
return;
}
}
SLog.log.Error("Error calculating ED hedges - the strip is too short!");
throw new Exception("Error calculating ED hedges - the strip is too short!");
}
}
private void CalculateWeights(BondCashflow cashflow)
{
if (cashflow.FlowDate > mSettlement)
{
for (int iED = mFirstTED; iED < mTEDFutures.Length; ++iED)
{
DateTime startDate = DateTime.MinValue;
DateTime endDate = DateTime.MaxValue;
GetDiscountingDates(cashflow, mTEDFutures[iED], out startDate, out endDate);
mTEDFutures[iED - 1].Weight += cashflow.Amount * (startDate - endDate).TotalDays / 360.0 * GetTEDDiscountFactor(iED - 1, startDate, endDate) / 25.0;
if (cashflow.FlowDate < mTEDFutures[iED].Maturity)
{
return;
}
}
SLog.log.Error("Error calculating ED hedges - the strip is too short!");
throw new Exception("Error calculating ED hedges - the strip is too short!");
}
}
private void CreateCashflows(DateTime settleDate, DateTime maturity, decimal coupon)
{
var cashflows = BondCashFlowsCalculator.GenerateBondCashFlows(settleDate, maturity, Convert.ToDouble(coupon),
CarbonDataSource.GetPersistedInstance(), ThrowBehavior.Throw);
// get cashflows from FinCAD
//var cashflows = aaBond_strip_cfWrapper.CalculateCashflowStrip(settleDate, maturity, coupon);
var numCashflows = cashflows.Count;
mCashflows = new BondCashflow[numCashflows];
for (int c = 0; c < numCashflows; ++c)
{
mCashflows[c] = new BondCashflow
{
FlowDate = cashflows[c].Key,
Amount = cashflows[c].Value
};
}
}
