//public List<CashFlow> interestCashflows()
//{
// List<CashFlow> icf = new List<CashFlow>();
// foreach (CashFlow cf in cashflows())
// {
// if (cf is QLNet.FixedRateCoupon)
// icf.Add(cf);
// }
// return icf;
//}
public List<CashFlow> expectedCashflows()
{
calcBondFactor();
List<CashFlow> expectedcashflows = new List<CashFlow>();
List<double> notionals = new InitializedList<double>(schedule_.Count);
notionals[0] = notionals_[0];
for (int i = 0; i < schedule_.Count - 1; ++i)
{
double currentNotional = notionals[i];
double smm = SMM(schedule_[i]);
double prepay = (notionals[i] * bondFactors_[i + 1]) / bondFactors_[i] * smm;
double actualamort = currentNotional * (1 - bondFactors_[i + 1] / bondFactors_[i]);
notionals[i + 1] = currentNotional - actualamort - prepay;
// ADD
CashFlow c1 = new VoluntaryPrepay(prepay, schedule_[i + 1]);
CashFlow c2 = new AmortizingPayment(actualamort, schedule_[i + 1]);
CashFlow c3 = new FixedRateCoupon(currentNotional, schedule_[i + 1], new InterestRate(PassThroughRate_, dCounter_, Compounding.Simple), schedule_[i], schedule_[i + 1]);
expectedcashflows.Add(c1);
expectedcashflows.Add(c2);
expectedcashflows.Add(c3);
}
notionals[notionals.Count - 1] = 0.0;
return expectedcashflows;
}
//public List<CashFlow> interestCashflows()
//{
// List<CashFlow> icf = new List<CashFlow>();
// foreach (CashFlow cf in cashflows())
// {
// if (cf is QLNet.FixedRateCoupon)
// icf.Add(cf);
// }
// return icf;
//}
public List <CashFlow> expectedCashflows()
{
calcBondFactor();
List <CashFlow> expectedcashflows = new List <CashFlow>();
List <double> notionals = new InitializedList <double>(schedule_.Count);
notionals[0] = notionals_[0];
for (int i = 0; i < schedule_.Count - 1; ++i)
{
double currentNotional = notionals[i];
double smm = SMM(schedule_[i]);
double prepay = (notionals[i] * bondFactors_[i + 1]) / bondFactors_[i] * smm;
double actualamort = currentNotional * (1 - bondFactors_[i + 1] / bondFactors_[i]);
notionals[i + 1] = currentNotional - actualamort - prepay;
// ADD
CashFlow c1 = new VoluntaryPrepay(prepay, schedule_[i + 1]);
CashFlow c2 = new AmortizingPayment(actualamort, schedule_[i + 1]);
CashFlow c3 = new FixedRateCoupon(currentNotional, schedule_[i + 1], new InterestRate(PassThroughRate_, dCounter_, Compounding.Simple, Frequency.Annual), schedule_[i], schedule_[i + 1]);
expectedcashflows.Add(c1);
expectedcashflows.Add(c2);
expectedcashflows.Add(c3);
}
notionals[notionals.Count - 1] = 0.0;
return(expectedcashflows);
}
