private IEnumerable <Yield> InitializeYield(DateTime date, CDI cdi, CopomMeeting[] copomMeetings, DI1[] di1s)
{
var i_d = 0;
var i_c = 0;
yield return(new Yield
{
Term = 0,
Forward = cdi.TaxaCDI,
SpotMtm = cdi.TaxaCDI,
Spot = cdi.TaxaCDI,
YieldType = YieldType.CDI,
ForwardFactor = 1d,
SpotFactor = 1d
});
while (i_c < copomMeetings.Length && i_d < di1s.Length)
{
if (copomMeetings[i_c].Date < di1s[i_d].MaturityDate)
{
yield return(new Yield
{
Term = GetNetworkDays(date, copomMeetings[i_c].Date),
YieldType = YieldType.COPOM
});
i_c++;
}
else
{
yield return(new Yield
{
Term = GetNetworkDays(date, di1s[i_d].MaturityDate),
YieldType = YieldType.DI1,
SpotMtm = di1s[i_d].Spot
});
i_d++;
}
}
for (; i_c < copomMeetings.Length; i_c++)
{
yield return new Yield
{
Term = GetNetworkDays(date, copomMeetings[i_c].Date),
YieldType = YieldType.COPOM
}
}
;
for (; i_d < di1s.Length; i_d++)
{
yield return new Yield
{
Term = GetNetworkDays(date, di1s[i_d].MaturityDate),
YieldType = YieldType.DI1,
SpotMtm = di1s[i_d].Spot
}
}
;
}
private IEnumerable <Yield> InitializeYield(DateTime date, CDI cdi, CopomMeeting[] copomMeetings, DI1[] di1s, HashSet <DateTime> holidays)
{
var i_d = 0;
var i_c = 0;
yield return(new Yield
{
Term = 0,
Maturity = date,
Forward = cdi.TaxaCDI,
SpotMtm = cdi.TaxaCDI,
Spot = cdi.TaxaCDI,
YieldType = YieldType.CDI,
ForwardFactor = 1d,
SpotFactor = 1d
});
while (i_c < copomMeetings.Length && i_d < di1s.Length)
{
if (copomMeetings[i_c].Date < di1s[i_d].MaturityDate)
{
yield return(new Yield
{
Term = GetNetworkDays(date, copomMeetings[i_c].Date, holidays),
Maturity = copomMeetings[i_c].Date,
YieldType = YieldType.COPOM
});
i_c++;
}
else
{
yield return(new Yield
{
Term = GetNetworkDays(date, di1s[i_d].MaturityDate, holidays),
Maturity = di1s[i_d].MaturityDate,
YieldType = YieldType.DI1,
SpotMtm = di1s[i_d].Spot,
TotalTradesMtm = di1s[i_d].TotalTrades,
SpotMtmFactor = Math.Pow(1d + di1s[i_d].Spot / 100d,
GetNetworkDays(date, di1s[i_d].MaturityDate, holidays) / 252d)
});
i_d++;
}
}
for (; i_c < copomMeetings.Length; i_c++)
{
yield return new Yield
{
Term = GetNetworkDays(date, copomMeetings[i_c].Date, holidays),
Maturity = copomMeetings[i_c].Date,
YieldType = YieldType.COPOM
}
}
;
for (; i_d < di1s.Length; i_d++)
{
yield return new Yield
{
Term = GetNetworkDays(date, di1s[i_d].MaturityDate, holidays),
Maturity = di1s[i_d].MaturityDate,
YieldType = YieldType.DI1,
SpotMtm = di1s[i_d].Spot,
TotalTradesMtm = di1s[i_d].TotalTrades,
SpotMtmFactor = Math.Pow(1d + di1s[i_d].Spot / 100d,
GetNetworkDays(date, di1s[i_d].MaturityDate, holidays) / 252d)
}
}
;
}
public IEnumerable <Yield> BuildYield(DateTime date, CopomMeeting[] copomMeetings, DI1[] di1s, CDI cdi, HashSet <DateTime> holidays)
{
var clock = Stopwatch.StartNew();
var yields = InitializeYield(date, cdi, copomMeetings, di1s, holidays).ToArray();
for (var i = 1; i < yields.Length; i++)
{
yields[i].DeltaTerm = yields[i].Term - yields[i - 1].Term;
}
yields = yields.Where(y => y.YieldType != YieldType.DI1 || (y.DeltaTerm > 1 && y.TotalTradesMtm > 1)).ToArray();
var meetings = copomMeetings.Length;
double bump = 0;
var diArray = Enumerable.Range(0, yields.Length)
.Where(i => yields[i].YieldType == YieldType.DI1)
.Select(i => i).ToArray();
var copomArray = Enumerable.Range(0, yields.Length)
.Where(i => yields[i].YieldType == YieldType.COPOM)
.Select(i => i).ToArray();
var diPos = 0;
var copomPos = 0;
yields[0].Forward = yields.First(y => y.YieldType == YieldType.DI1).SpotMtm;
var lastBump = 0d;
for (var i = 1; i < yields.Length; i++)
{
yields[i].Forward = yields[i - 1].Forward + yields[i - 1].Bump;
yields[i].ForwardFactor = GetFactor(yields[i].Forward, yields[i].Term - yields[i - 1].Term);
yields[i].SpotFactor = yields[i - 1].SpotFactor * yields[i].ForwardFactor;
yields[i].Spot = GetInterest(yields[i].SpotFactor, yields[i].Term);
if (yields[i].YieldType == YieldType.COPOM)
{
meetings--;
copomPos++;
}
else
{
diPos++;
}
var shouldBump = yields[i].YieldType == YieldType.COPOM || meetings == 0;
if (shouldBump)
{
var nextDI = diPos < diArray.Length ? diArray[diPos] : -1;
var nextNextDI = diPos + 1 < diArray.Length ? diArray[diPos + 1] : -1;
var nextCOPOM = copomPos < copomArray.Length ? copomArray[copomPos] : -1;
// não tem mais reunião do copom, portanto haverá bump no vencimento de DI1
if (meetings == 0)
{
if (i + 1 >= yields.Length)
{
continue;
}
var forwardFactor = GetFactor(yields[i + 1].SpotMtm, yields[i + 1].Term) / yields[i].SpotFactor;
var forward = GetInterest(forwardFactor, yields[i + 1].Term - yields[i].Term);
lastBump = yields[i].Bump = forward - yields[i].Forward;
}
// os dois próximos vértices são de DI1
else if (nextDI - i == 1 && nextDI == nextNextDI - 1)
{
// calculamos o bump considerando apenas o vencimento de DI1 mais longo
var forwardFactor = GetFactor(yields[i + 2].SpotMtm, yields[i + 2].Term) / yields[i].SpotFactor;
var forward = GetInterest(forwardFactor, yields[i + 2].Term - yields[i].Term);
lastBump = yields[i].Bump = forward - yields[i].Forward;
}
// o próximo vértice é um DI1 seguido de um COPOM
else if (nextCOPOM == nextDI + 1)
{
var forwardFactor = GetFactor(yields[i + 1].SpotMtm, yields[i + 1].Term) / yields[i].SpotFactor;
var forward = GetInterest(forwardFactor, yields[i + 1].Term - yields[i].Term);
lastBump = yields[i].Bump = forward - yields[i].Forward;
}
// os próximos n vértices são reuniôes do COPOM
else
{
var ps = new List <Yield>();
var j = i + 1;
while (j < yields.Length && yields[j].YieldType == YieldType.COPOM)
{
ps.Add(yields[j++]);
}
ps.Add(yields[j]);
FindForwards(
yields[i],
ps.ToArray(),
yields[j].SpotMtm,
lastBump);
yields[i].Bump = yields[i + 1].Forward - yields[i].Forward;
for (i = i + 1; i < j; i++)
{
lastBump = yields[i].Bump = yields[i + 1].Forward - yields[i].Forward;
yields[i].ForwardFactor = GetFactor(yields[i].Forward, yields[i].Term - yields[i - 1].Term);
yields[i].SpotFactor = yields[i - 1].SpotFactor * yields[i].ForwardFactor;
yields[i].Spot = GetInterest(yields[i].SpotFactor, yields[i].Term);
meetings--;
copomPos++;
}
i--;
}
}
else
{
yields[i].Bump = 0;
}
}
Console.WriteLine($"Interpolate yield={clock.ElapsedMilliseconds}");
return(yields);
}
public IEnumerable <Yield> BuildYield2(DateTime date, CopomMeeting[] copomMeetings, DI1[] di1s, CDI cdi,
HashSet <DateTime> holidays)
{
var clock = Stopwatch.StartNew();
var yields = InitializeYield(date, cdi, copomMeetings, di1s, holidays).ToArray();
for (var i = 1; i < yields.Length; i++)
{
yields[i].DeltaTerm = yields[i].Term - yields[i - 1].Term;
}
yields = yields.Where(y => y.YieldType != YieldType.DI1 || (y.DeltaTerm > 1 && y.TotalTradesMtm > 1)).ToArray();
var meetings = copomMeetings.Length;
var diArray = Enumerable.Range(0, yields.Length)
.Where(i => yields[i].YieldType == YieldType.DI1)
.Select(i => i).ToArray();
var diPos = 0;
var lastCOPOM = -1;
for (var i = 1; i < yields.Length; i++)
{
if (yields[i].YieldType == YieldType.COPOM)
{
yields[i].IsSameForward = lastCOPOM != i - 1;
lastCOPOM = i;
meetings--;
}
else
{
diPos++;
var nextDI = diPos < diArray.Length ? diArray[diPos] : -1;
if (nextDI == i + 1 && meetings > 0)
{
yields[i].IsSameForward = true;
}
else
{
yields[i].IsSameForward = false;
}
}
}
Optimize(yields);
Console.WriteLine($"Interpolate yield={clock.ElapsedMilliseconds}");
return(yields);
}