public List <BillSwapPricerCashflowRow> PopulatePurchaseCosts(List <BillSwapPricerCashflowRow> input, IDayCounter dayCounter, RateCurve rateCurve)
{
for (int i = 0; i < input.Count - 1; ++i)
{
BillSwapPricerCashflowRow currentItem = input[i];
BillSwapPricerCashflowRow nextItem = input[i + 1];
double yearFraction = dayCounter.YearFraction(currentItem.DateTime, nextItem.DateTime);
double purchaseCost = currentItem.MaturityValue / (1.0 + currentItem.ForwardRate * yearFraction);
currentItem.PurchaseCost = purchaseCost;
}
input[0].MaturityValue = 0;//no maturity value inflow at the settlement day.
return(input);
}
public double GetSimpleYield(List <BillSwapPricerCashflowRow> input, IDayCounter dayCounter, RateCurve rateCurve)
{
double yield = 0;
for (int i = 0; i < input.Count - 1; ++i)
{
BillSwapPricerCashflowRow currentItem = input[i];
BillSwapPricerCashflowRow nextItem = input[i + 1];
double yearFraction = dayCounter.YearFraction(currentItem.DateTime, nextItem.DateTime);
if (yield == 0)
{
yield = (1.0 + currentItem.ForwardRate * yearFraction);
}
else
{
yield *= (1.0 + currentItem.ForwardRate * yearFraction);
}
}
return(yield - 1.0);
}
public List <BillSwapPricerCashflowRow> PopulateForwardRates(List <BillSwapPricerDateNotional> input, IDayCounter dayCounter, RateCurve rateCurve)
{
var result = new List <BillSwapPricerCashflowRow>();
for (int i = 0; i < input.Count; ++i)
{
BillSwapPricerDateNotional currentItem = input[i];
double forwardRate = 0;
if (i != input.Count - 1)
{
BillSwapPricerDateNotional nextItem = input[i + 1];
forwardRate = rateCurve.GetForwardRate(currentItem.DateTime, nextItem.DateTime, dayCounter);
}
var resultItem = new BillSwapPricerCashflowRow
{
DateTime = currentItem.DateTime,
MaturityValue = currentItem.MaturityValue,
ForwardRate = forwardRate
};
result.Add(resultItem);
}
return(result);
}
