public NArray this[int timeIndex]
{
get
{
var t = _timePoints[timeIndex].YearsFromBaseDate;
return(NMath.Exp(-ZeroRatesT0.GetValue(_timePoints[timeIndex].DateTime) * t)
* _state[timeIndex]);
}
}
/// <summary>
/// Calculates discount factor for payment at time t2 at the supplied simulation time index
/// </summary>
/// <param name="timeIndex"></param>
/// <param name="t2"></param>
/// <returns></returns>
public NArray DiscountFactor(int timeIndex, DateTime t2)
{
var B = NArray.CreateScalar(0);
var simulationT0 = _timePoints.First().DateTime;
double tenor = IntervalInYears(_timePoints[timeIndex].DateTime, t2);
for (int factorIndex = 0; factorIndex < _factors.Length; ++factorIndex)
{
B += Sigma(factorIndex) * E(Lambda(factorIndex), tenor)
* _factorPaths[factorIndex][timeIndex];
}
var lnDF0t2 = -ZeroRatesT0.GetValue(t2) * IntervalInYears(simulationT0, t2);
var lnDF0t1 = -ZeroRatesT0.GetValue(_timePoints[timeIndex].DateTime)
* _timePoints[timeIndex].YearsFromBaseDate;
double drift = GetDrift(timeIndex, tenor);
return(NMath.Exp(lnDF0t2 - lnDF0t1 - 0.5 * drift + B));
}
/// <summary>
/// Calculate forward rate that applies between times t1 and t2 (t2 > t1)
/// </summary>
/// <param name="timeIndex"></param>
/// <param name="t1"></param>
/// <param name="t2"></param>
/// <returns></returns>
public NArray ForwardRate(int timeIndex, DateTime t1, DateTime t2)
{
var B = NArray.CreateScalar(0);
var simulationT0 = _timePoints.First().DateTime;
double tenor1 = IntervalInYears(_timePoints[timeIndex].DateTime, t1);
double tenor2 = IntervalInYears(_timePoints[timeIndex].DateTime, t2);
for (int factorIndex = 0; factorIndex < _factors.Length; ++factorIndex)
{
B += Sigma(factorIndex) * (E(Lambda(factorIndex), tenor1) - E(Lambda(factorIndex), tenor2))
* _factorPaths[factorIndex][timeIndex];
}
var lnDF0t1 = -ZeroRatesT0.GetValue(t1) * IntervalInYears(simulationT0, t1);
var lnDF0t2 = -ZeroRatesT0.GetValue(t2) * IntervalInYears(simulationT0, t2);
double drift = GetDrift(timeIndex, tenor1) - GetDrift(timeIndex, tenor2);
var dfRatio = NMath.Exp(lnDF0t1 - lnDF0t2 - 0.5 * drift + B); // df(t, t1) / df(t, t2)
double alpha = IntervalInYears(t1, t2);
return((dfRatio - 1) / alpha);
}
