public double ZeroRate(BusinessDay day)
{
double t = (day.DateTime <= _startDate.DateTime ? 0 : 1) * day.YearsBetween(_startDate, DayCountConvention.Act365);
return(ZeroRate(t));
}
public double PresentValue(BusinessDay day, double spread)
{
double t = day.YearsBetween(_startDate, DayCountConvention.Act365);
return(PresentValue(t, spread));
}
private void _addCashFlow(CashFlowRate cashFlow)
{
// Console.WriteLine("Add Cashflow:" + cashFlow.Rate + " " + cashFlow.MaturityType + " " + cashFlow.Maturity + " " + cashFlow.FrequencyType + " " + cashFlow.Frequency + " " + cashFlow.DayCount);
double rate = cashFlow.Rate;
InterestRateTenorType frequencyType = cashFlow.FrequencyType;
int frequency = cashFlow.Frequency;
InterestRateTenorType maturityType = cashFlow.MaturityType;
int maturity = cashFlow.Maturity;
DayCountConvention dayCount = cashFlow.DayCount;
BusinessDay expiryDate = null;
switch (maturityType)
{
case InterestRateTenorType.Daily:
expiryDate = _startDate.AddActualDays(maturity, TimeSeries.DateSearchType.Next);
//expiryDate = _startDate.AddActualDays(maturity, BusinessDaySearchType.Next);
break;
case InterestRateTenorType.Weekly:
expiryDate = _startDate.AddActualDays(maturity * 7, TimeSeries.DateSearchType.Next);
//expiryDate = _startDate.AddActualDays(maturity * 7, BusinessDaySearchType.Next);
break;
case InterestRateTenorType.Monthly:
expiryDate = _startDate.AddMonths(maturity, TimeSeries.DateSearchType.Next);
//expiryDate = _startDate.AddMonths(maturity, BusinessDaySearchType.Next);
break;
case InterestRateTenorType.Yearly:
expiryDate = _startDate.AddYears(maturity, TimeSeries.DateSearchType.Next);
//expiryDate = _startDate.AddYears(maturity, BusinessDaySearchType.Next);
break;
default:
break;
}
BusinessDay runningDate = _startDate;
if (frequencyType == maturityType && frequency == maturity)
{
double t = expiryDate.YearsBetween(_startDate, dayCount);
double pv = 1 / (1 + rate * t);
t = expiryDate.YearsBetween(_startDate, DayCountConvention.Act365);
_zeroRates.TryAdd(t, -Math.Log(pv) / t);
}
else
{
int counter = 1;
double pvs = 0;
double PV = 0;
double t = 0;
bool flag = true;
BusinessDay previousDate = _startDate;
while (flag)
{
previousDate = runningDate;
if (frequencyType == InterestRateTenorType.Daily)
{
runningDate = runningDate.AddBusinessDays(frequency * counter);
}
else if (frequencyType == InterestRateTenorType.Weekly)
{
runningDate = _startDate.AddActualDays(7 * frequency * counter, TimeSeries.DateSearchType.Next);
}
//runningDate = _startDate.AddActualDays(7 * frequency * counter, BusinessDaySearchType.Next);
else if (frequencyType == InterestRateTenorType.Monthly)
{
runningDate = _startDate.AddMonths(frequency * counter, TimeSeries.DateSearchType.Next);
}
//runningDate = _startDate.AddMonths(frequency * counter, BusinessDaySearchType.Next);
else if (frequencyType == InterestRateTenorType.Yearly)
{
runningDate = _startDate.AddYears(frequency * counter, TimeSeries.DateSearchType.Next);
}
//runningDate = _startDate.AddYears(frequency * counter, BusinessDaySearchType.Next);
flag = (runningDate.DateTime < expiryDate.DateTime);
if (flag)
{
counter++;
t = runningDate.YearsBetween(previousDate, dayCount);
pvs += rate * t * PresentValue(runningDate.YearsBetween(_startDate, DayCountConvention.Act365));
t = expiryDate.YearsBetween(runningDate, dayCount);
PV = (1 - pvs) / (1 + rate * t);
}
}
t = expiryDate.YearsBetween(_startDate, DayCountConvention.Act365);
double zeroRate = -Math.Log(PV) / t;
_zeroRates.TryAdd(t, zeroRate);
}
}