//fill grid forward rates
private void FillForwardRate()
{
int days = Convert.ToInt32(Tau * 365);
if (_rawZero != null)
{
FlatRate = -1 / Tau * Math.Log(Convert.ToDouble(_rawZero.GetDf(days)));
for (int idx = 0; idx < Gridsteps; idx++)
{
SetR(idx, FlatRate);
}
}
}
public decimal GetTailedFutures(int numBasket, int daysToExpiry)
{
DateTime[] dates = { new DateTime(2009, 9, 10), new DateTime(2009, 10, 10), new DateTime(2009, 12, 10), new DateTime(2010, 3, 10), new DateTime(2010, 9, 10), new DateTime(2011, 3, 10) };
double[] rates = { 0.03, 0.035, 0.04, 0.04, 0.045, 0.05 };
RateCurve rc = new RateCurve("AUD", "Semi-Annual", new DateTime(2009, 9, 9), dates, rates);
decimal df = rc.GetDf(daysToExpiry);
return(df * Convert.ToDecimal(numBasket));
}
public void TestRateCurve()
{
DateTime[] dates = { new DateTime(2009, 9, 10), new DateTime(2009, 10, 10), new DateTime(2009, 12, 10), new DateTime(2010, 3, 10), new DateTime(2010, 9, 10), new DateTime(2011, 3, 10) };
double[] rates = { 0.03, 0.035, 0.04, 0.04, 0.045, 0.05 };
RateCurve rc0 = new RateCurve("AUD", "Semi-Annual", new DateTime(2009, 9, 9), dates, rates);
double rf0 = Convert.ToDouble(rc0.ForwardRate(0, 365));
double df0 = Convert.ToDouble(rc0.GetDf(101));
Assert.AreEqual(0.98910057, df0, 0.0001);
Assert.AreEqual(Math.Pow(1 + 0.044973 / 2, 2) - 1, rf0, 0.0001);
RateCurve rc1 = new RateCurve("AUD", "Continuous", new DateTime(2009, 9, 9), dates, rates);
double rf1 = Convert.ToDouble(rc1.ForwardRate(0, 365));
double df1 = Convert.ToDouble(rc1.GetDf(101));
Assert.AreEqual(0.98899254, df1, 0.0001);
Assert.AreEqual(Math.Exp(0.044973) - 1, rf1, 0.0001);
}
private double Bisection(double prem, double fwdPrice)
{
double right = 0.75;
double left = 0.35;
double mid;
var cp = Payoff.ToLower() == "c" ? 1 : -1;
int days = Expiry.Subtract(Today).Days;
double t = days / 365.0;
var priceClone = (AmOptionAnalytics)Clone();
if (fwdPrice <= 0 || Strike <= 0 || t <= 0 || prem <= 0)
{
return(0);
}
double df = Convert.ToDouble(RateCurve.GetDf(days));
if (prem < Math.Max(cp * df * (fwdPrice - priceClone.Strike), 0))
{
throw new System.Exception("No solution for volatility");
}
do
{
mid = (right + left) / 2;
priceClone.Sig = left;
double fleft = priceClone.Price() - prem;
priceClone.Sig = right;
double fright = priceClone.Price() - prem;
priceClone.Sig = mid;
double fmid = priceClone.Price() - prem;
if (fleft * fmid < 0)
{
right = mid;
}
else if (fright * fmid < 0)
{
left = mid;
}
} while (Math.Abs(right - left) > 2 * Eps);
return(mid);
}