public double LongEndTargetFunction(double zeroRateSpread)
{
DateTime baseDate = _baseCurve.GetBaseDate();
DateTime maturityDate = _asset.GetRiskMaturityDate();
_zeroRateSpreads[maturityDate] = zeroRateSpread;
decimal dfMaturityBasisAdjustCurve
= (decimal)RateBootstrapperNewtonRaphson.GetAdjustedDiscountFactor(baseDate, maturityDate, _dayCounter,
zeroRateSpread, _baseCurve);
UpdateDiscountFactors(baseDate);
if (_items.ContainsKey(maturityDate))
{
_items[maturityDate].Second = dfMaturityBasisAdjustCurve;
}
else
{
Pair <string, decimal> pair = new Pair <string, decimal>("", dfMaturityBasisAdjustCurve);
_items.Add(maturityDate, pair);
}
List <DateTime> dates = _items.Keys.ToList();
List <decimal> rates = _items.Values.Select(a => a.Second).ToList();
RateCurve discountCurve = new RateCurve(_properties, _algorithm, dates, rates);
double sum = 0;
for (int i = 0; i < _assetDates.Count - 1; i++)
{
DateTime date0 = _assetDates[i];
DateTime date1 = _assetDates[i + 1];
double d0 = _baseCurve.GetDiscountFactor(date0);
double d1 = _baseCurve.GetDiscountFactor(date1);
double y = _dayCounter.YearFraction(date0, date1);
double projectedRate = 1 / y * (d0 / d1 - 1);
double basisAdjustedDf = discountCurve.GetDiscountFactor(date1);
double subSum = basisAdjustedDf * y * (projectedRate + (double)_asset.MarketQuote.value);
sum += subSum;
}
double discountFactor = discountCurve.GetDiscountFactor(_assetDates.First());
double result = -discountFactor + (double)dfMaturityBasisAdjustCurve + sum;
return(result);
}
public NewtonRaphsonSolverFunctions(IPriceableAssetController asset, IPriceableAssetController previousAsset, PricingStructureAlgorithmsHolder algorithmHolder,
IRateCurve baseCurve, DateTime baseDate, SortedDictionary <DateTime, Pair <string, decimal> > items,
double compoundingPeriod, IDictionary <DateTime, double> zeroRateSpreads, IDayCounter dayCounter,
List <DateTime> assetDates)
{
_asset = asset;
_baseCurve = baseCurve;
_zeroRateSpreads = zeroRateSpreads;
string currency = PropertyHelper.ExtractCurrency(baseCurve.GetPricingStructureId().Properties);
_algorithm = algorithmHolder;
_properties = new NamedValueSet(new Dictionary <string, object>
{
{ CurveProp.PricingStructureType, "RateCurve" },
{ CurveProp.Market, "DiscountCurveConstruction" },
{ CurveProp.IndexTenor, "0M" },
{ CurveProp.Currency1, currency },
{ "Index", "XXX-XXX" },
{ "Algorithm", "FastLinearZero" },
{ "BaseDate", baseDate },
});
_items = items;
_compoundingPeriod = compoundingPeriod;
_dayCounter = dayCounter;
_assetDates = assetDates;
if (previousAsset != null)
{
DateTime previousAssetMaturity = previousAsset.GetRiskMaturityDate();
DateTime assetMaturity = asset.GetRiskMaturityDate();
IEnumerable <KeyValuePair <DateTime, string> > points
= from b in baseCurve.GetTermCurve().point
where (DateTime)b.term.Items[0] > previousAssetMaturity &&
(DateTime)b.term.Items[0] < assetMaturity
select new KeyValuePair <DateTime, string>((DateTime)b.term.Items[0], b.id);
foreach (KeyValuePair <DateTime, string> point in points)
{
_extraPoints.Add(point.Key, point.Value);
Pair <string, decimal> pair = new Pair <string, decimal>(point.Value, 0);
items.Add(point.Key, pair);
}
}
}