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Changeset 180

Timestamp:

05/22/08 19:23:17 (5 months ago)

Author:

snovik

Message:

Change: Some .NET specific optimisations for CashFlows?.cs

Files:

trunk/QLNet/QLNet.vsmdi (modified) (3 diffs)
trunk/QLNet/QLNet/Cashflows/CashFlows.cs (modified) (12 diffs)

Legend:

: Unmodified
: Added
: Removed
: Modified
: Copied
: Moved

trunk/QLNet/QLNet.vsmdi

r178	r180
12	12	<TestLink id="bbe2d937-bb70-a666-a879-b3063800a42e" name="testFairSpread" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
13	13	<TestLink id="25b4118b-8066-f12f-3687-a5ef1886eb1c" name="testInArrears" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	14	<TestLink id="0ee842b0-6275-252f-a1d0-000b0a6a4c52" name="testCachedValue" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
14	15	<TestLink id="27ded393-6046-4057-bd65-31f629c9bf55" name="testFairRate" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
15		<TestLink id="0ee842b0-6275-252f-a1d0-000b0a6a4c52" name="testCachedValue" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
16	16	<TestLink id="3b1816a9-7785-f64f-bc52-7014af11e8e5" name="testSpreadDependency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
17	17	<TestLink id="2b04fe68-610a-b2de-e241-ef9a50fdb3fb" name="testRateDependency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
…	…
64	64	<TestList name="American Option" id="da9a808d-acf7-4baf-9dfb-e4b091d30fef" parentListId="8c43106b-9dc1-4907-a29f-aa66a61bf5b6">
65	65	<TestLinks>
66		<TestLink id="~~33c4d801-48ac-44c4-329e-d6fe84f5e034" name="testJu~~Values" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	66	<TestLink id="2bbf531b-68cb-84c0-a06f-6bedfb89f20f" name="testBaroneAdesiWhaleyValues" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
67	67	<TestLink id="3be50179-04ee-902d-73d8-3c94e9305a67" name="testFdShoutGreeks" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
68	68	<TestLink id="783f96db-cce8-bf61-b280-f5010f7d7eb3" name="testFdValues" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
69	69	<TestLink id="1e42c90a-8e82-1369-9ed9-52b036b1c07e" name="testBjerksundStenslandValues" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
70	70	<TestLink id="9f4ff6f8-9938-8ecb-5608-7dbc928cbda3" name="testFdAmericanGreeks" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
71		<TestLink id="~~2bbf531b-68cb-84c0-a06f-6bedfb89f20f" name="testBaroneAdesiWhaley~~Values" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	71	<TestLink id="33c4d801-48ac-44c4-329e-d6fe84f5e034" name="testJuValues" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
72	72	</TestLinks>
73	73	</TestList>
74	74	<TestList name="PiecewiseYieldCurve" id="db6f77ff-70a4-4779-821e-8f5548c91d54" parentListId="8c43106b-9dc1-4907-a29f-aa66a61bf5b6">
75	75	<TestLinks>
76		<TestLink id="~~dd6a79cf-cc1b-21c8-db38-fcf6f11d4e96~~" name="testObservability" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
77		<TestLink id="~~d70a4ef3-3967-0c12-9abc-8767e83dc8d2" name="testLogLinearZero~~Consistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
78		<TestLink id="~~fe3bc37a-4955-31a4-c477-3e6856295cd6" name="testLinearForward~~Consistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
79		<TestLink id="~~7e4c5406-1597-4b55-b9fd-bbb29b4613d7" name="testLinearZero~~Consistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
80		<TestLink id="~~89ee0555-61db-dd08-e3fa-bbb6465b9f48" name="testLogLinearDiscount~~Consistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
81		<TestLink id="~~37361527-9684-66e1-c987-17d393f416f0" name="testLogCubicDiscount~~Consistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
82		<TestLink id="~~762cd2ac-5715-69e6-563e-4525bc437b84" name="testLinearDiscount~~Consistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	76	<TestLink id="b61b2dd1-c391-ff6e-c17b-a16304449f43" name="testObservability" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	77	<TestLink id="7b66dffe-f838-19e6-54b9-2d30645b0501" name="testLogLinearDiscountConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	78	<TestLink id="d0a4985d-c3d0-7f0b-42cf-1f5a8b45bff4" name="testLogCubicDiscountConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	79	<TestLink id="56925441-bb1d-00d2-1f1b-030dfeaa3048" name="testLinearDiscountConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	80	<TestLink id="ef62ddb1-2d60-38aa-e6b5-1fa2091c548c" name="testLinearZeroConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	81	<TestLink id="c1eb7a21-2e89-2c67-d40b-f6ad422def58" name="testLogLinearZeroConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	82	<TestLink id="388385b3-7adb-345f-3889-6bb251cc8534" name="testLinearForwardConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
83	83	</TestLinks>
84	84	</TestList>
…	…
86	86	<TestLinks>
87	87	<TestLink id="905e7e83-ac17-d164-7c00-332aee943ebf" name="testBrazilianCached" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
88		<TestLink id="~~af486b6a-ffe8-d458-89c3-9fcd3f6ec404" name="testYiel~~d" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	88	<TestLink id="6dedd105-7532-140b-2b82-37bc69a8d72c" name="testCachedFixed" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
89	89	<TestLink id="a7feffcc-db48-6ab4-df10-00a5494c44ea" name="testTheoretical" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
90	90	<TestLink id="2e159c46-764f-ad21-7b0f-676f2bfdc323" name="testCachedFloating" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
91	91	<TestLink id="ab3ac37e-d457-63de-2204-c9a25f55fec9" name="testCached" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
92		<TestLink id="6dedd105-7532-140b-2b82-37bc69a8d72c" name="testCachedFixed" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
93	92	<TestLink id="d7571d29-ddb9-5b86-6135-2acbcc05515d" name="testCachedZero" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
	93	<TestLink id="af486b6a-ffe8-d458-89c3-9fcd3f6ec404" name="testYield" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel, PublicKeyToken=b03f5f7f11d50a3a" />
94	94	</TestLinks>
95	95	</TestList>

trunk/QLNet/QLNet/Cashflows/CashFlows.cs

r109	r180
42	42	double result = 0.0;
43	43
44		foreach (CashFlow x in leg.FindAll(x => x.date() == paymentDate))
45		{
46		// recheck
47		throw new NotImplementedException();
48		Coupon cp = (Coupon)x;
49		if (firstCouponFound)
50		{
51		if (!(nominal == cp.nominal() && accrualPeriod == cp.accrualPeriod() && dc == cp.dayCounter()))
52		throw new ApplicationException("cannot aggregate two different coupons on " + paymentDate);
	44	foreach (CashFlow x in leg.Where(x => x.date() == paymentDate))
	45	{
	46	Coupon cp = x as Coupon;
	47	if (cp != null) {
	48	if (firstCouponFound) {
	49	if (!(nominal == cp.nominal() && accrualPeriod == cp.accrualPeriod() && dc == cp.dayCounter()))
	50	throw new ApplicationException("cannot aggregate two different coupons on " + paymentDate);
	51	} else {
	52	firstCouponFound = true;
	53	nominal = cp.nominal();
	54	accrualPeriod = cp.accrualPeriod();
	55	dc = cp.dayCounter();
	56	}
	57	result += cp.rate();
53	58	}
54		~~else~~
55		{
56		~~firstCouponFound = true;~~
57		~~nominal = cp.nominal();~~
58		~~accrualPeriod = cp.accrualPeriod();~~
59		~~dc = cp.dayCounter();~~
60		}
61		~~result += cp.rate();~~
62	59	}
63	60
…	…
70	67	double P = 0, dPdy = 0;
71	68	DayCounter dc = y.dayCounter();
72		foreach (CashFlow cf in cashflows)
73		if (!cf.hasOccurred(settlementDate))
74		{
75		double t = dc.yearFraction(settlementDate, cf.date());
76		double c = cf.amount();
77		double B = y.discountFactor(t);
78		P += c * B;
79		dPdy += t * c * B;
80		}
	69	foreach (CashFlow cf in cashflows.Where(cf => !cf.hasOccurred(settlementDate))) {
	70	double t = dc.yearFraction(settlementDate, cf.date());
	71	double c = cf.amount();
	72	double B = y.discountFactor(t);
	73	P += c * B;
	74	dPdy += t * c * B;
	75	}
81	76
82	77	// no cashflows
…	…
93	88	DayCounter dc = y.dayCounter();
94	89
95		foreach (CashFlow cf in cashflows)
96		{
97		if (!cf.hasOccurred(settlementDate))
	90	foreach (CashFlow cf in cashflows.Where(cf => !cf.hasOccurred(settlementDate)))
	91	{
	92	double t = dc.yearFraction(settlementDate, cf.date());
	93	double c = cf.amount();
	94	double B = y.discountFactor(t);
	95
	96	P += c * B;
	97	switch (y.compounding())
98	98	{
99		double t = dc.yearFraction(settlementDate, cf.date());
100		double c = cf.amount();
101		double B = y.discountFactor(t);
102
103		P += c * B;
104		switch (y.compounding())
105		{
106		case Compounding.Simple:
	99	case Compounding.Simple:
	100	dPdy -= c * B * B * t;
	101	break;
	102	case Compounding.Compounded:
	103	dPdy -= c * t * B / (1 + r / N);
	104	break;
	105	case Compounding.Continuous:
	106	dPdy -= c * B * t;
	107	break;
	108	case Compounding.SimpleThenCompounded:
	109	if (t <= 1.0 / N)
107	110	dPdy -= c * B * B * t;
108		break;
109		case Compounding.Compounded:
	111	else
110	112	dPdy -= c * t * B / (1 + r / N);
111		break;
112		case Compounding.Continuous:
113		dPdy -= c * B * t;
114		break;
115		case Compounding.SimpleThenCompounded:
116		if (t <= 1.0 / N)
117		dPdy -= c * B * B * t;
118		else
119		dPdy -= c * t * B / (1 + r / N);
120		break;
121		default:
122		throw new ArgumentException("unknown compounding convention (" + y.compounding() + ")");
123		}
	113	break;
	114	default:
	115	throw new ArgumentException("unknown compounding convention (" + y.compounding() + ")");
124	116	}
125	117	}
…	…
212	204
213	205	public static CashFlow previousCashFlow(List<CashFlow> leg) { return previousCashFlow(leg, null); }
214		public static CashFlow previousCashFlow(List<CashFlow> leg, Date refDate)
215		{
	206	public static CashFlow previousCashFlow(List<CashFlow> leg, Date refDate) {
216	207	Date d = (refDate == null ? Settings.evaluationDate() : refDate);
217	208
…	…
222	213
223	214	public static CashFlow nextCashFlow(List<CashFlow> leg) { return nextCashFlow(leg, null); }
224		public static CashFlow nextCashFlow(List<CashFlow> leg, Date refDate)
225		{
	215	public static CashFlow nextCashFlow(List<CashFlow> leg, Date refDate) {
226	216	Date d = (refDate == null ? Settings.evaluationDate() : refDate);
227	217
…	…
246	236	}
247	237
248		public static Date startDate(List<CashFlow> cashflows)
249		{
250		Date d = Date.maxDate();
251		foreach (CashFlow cf in cashflows)
252		{
253		if (cf.GetType().IsSubclassOf(typeof(Coupon)))
254		d = Date.Min(d, ((Coupon)cf).accrualStartDate());
255		}
256		if (d == Date.maxDate()) throw new ArgumentException("not enough information available");
257		return d;
258		}
259
260		public static Date maturityDate(List<CashFlow> cashflows)
261		{
262		Date d = Date.minDate();
263		foreach (CashFlow c in cashflows)
264		d = Date.Max(d, c.date());
265		if (d == Date.minDate()) throw new ArgumentException("no cashflows");
266		return d;
	238	public static Date startDate(List<CashFlow> cashflows) {
	239	if (cashflows.Count == 0) throw new ArgumentException("no cashflows");
	240	return cashflows.Where(cf => cf is Coupon).Min(cf => ((Coupon)cf).accrualStartDate());
	241	}
	242
	243	public static Date maturityDate(List<CashFlow> cashflows) {
	244	if (cashflows.Count == 0) throw new ArgumentException("no cashflows");
	245	return cashflows.Max(c => c.date());
267	246	}
268	247
…	…
276	255	return npv(cashflows, discountCurve, settlementDate, npvDate, 0);
277	256	}
278		public static double npv(List<CashFlow> cashflows, YieldTermStructure discountCurve, Date settlementDate, ~~Date npvDate, int exDividendDays)~~
279		{
	257	public static double npv(List<CashFlow> cashflows, YieldTermStructure discountCurve, Date settlementDate,
	258	Date npvDate, int exDividendDays) {
280	259	if (settlementDate == null)
281	260	settlementDate = discountCurve.referenceDate();
282	261
283		double totalNPV = 0;
284		foreach (CashFlow c in cashflows.FindAll(x => !x.hasOccurred(settlementDate + exDividendDays)))
285		{
286		double a = c.amount();
287		double b = discountCurve.discount(c.date());
288		totalNPV += a * b;
289		}
	262	double totalNPV = cashflows.Where(x => !x.hasOccurred(settlementDate + exDividendDays)).
	263	Sum(c => c.amount() * discountCurve.discount(c.date()));
290	264
291	265	if (npvDate == null) return totalNPV;
…	…
317	291	}
318	292	public static double bps(List<CashFlow> cashflows, YieldTermStructure discountCurve,
319		Date settlementDate, Date npvDate, int exDividendDays)
320		{
	293	Date settlementDate, Date npvDate, int exDividendDays) {
321	294	if (settlementDate == null)
322	295	settlementDate = discountCurve.referenceDate();
323	296
324	297	BPSCalculator calc = new BPSCalculator(discountCurve, npvDate);
325		foreach (CashFlow cf in cashflows)
326		{
327		if (!cf.hasOccurred(settlementDate + exDividendDays))
328		{
329		cf.accept(calc);
330		}
331		}
	298	for(int i = 0; i<cashflows.Count; i++)
	299	if (!cashflows[i].hasOccurred(settlementDate + exDividendDays))
	300	cashflows[i].accept(calc);
332	301	return basisPoint_ * calc.result();
333	302	}
…	…
374	343	the theoretical existance of an IRR and numerically establishes the IRR to the desired precision. */
375	344	public static double irr(List<CashFlow> cashflows, double marketPrice, DayCounter dayCounter, Compounding compounding,
376		Frequency frequency, Date settlementDate, double accuracy, int maxIterations, double guess)
377		{
378
	345	Frequency frequency, Date settlementDate, double accuracy, int maxIterations, double guess) {
379	346	if (settlementDate == null)
380	347	settlementDate = Settings.evaluationDate();
…	…
386	353	signChanges = 0;
387	354
388		foreach (CashFlow cf in cashflows)
389		{
390		if (!cf.hasOccurred(settlementDate))
391		{
392		int thisSign = Math.Sign(cf.amount());
393		if (lastSign * thisSign < 0) // sign change
394		signChanges++;
395
396		if (thisSign != 0)
397		lastSign = thisSign;
398		}
	355	foreach (CashFlow cf in cashflows.Where(cf => !cf.hasOccurred(settlementDate)))
	356	{
	357	int thisSign = Math.Sign(cf.amount());
	358	if (lastSign * thisSign < 0) // sign change
	359	signChanges++;
	360
	361	if (thisSign != 0)
	362	lastSign = thisSign;
399	363	}
400	364	if (!(signChanges > 0))
…	…
474	438	*/
475	439	public static double convexity(List<CashFlow> cashflows, InterestRate rate) { return convexity(cashflows, rate, null); }
476		public static double convexity(List<CashFlow> cashflows, InterestRate rate, Date settlementDate)
477		{
	440	public static double convexity(List<CashFlow> cashflows, InterestRate rate, Date settlementDate) {
478	441	if (settlementDate == null) settlementDate = Settings.evaluationDate();
479	442
…	…
485	448	int N = (int)rate.frequency();
486	449
487		foreach (CashFlow cashflow in cashflows)
488		{
489		if (!cashflow.hasOccurred(settlementDate))
	450	foreach (CashFlow cashflow in cashflows.Where(cashflow => !cashflow.hasOccurred(settlementDate)))
	451	{
	452	double t = dayCounter.yearFraction(settlementDate, cashflow.date());
	453	double c = cashflow.amount();
	454	double B = rate.discountFactor(t);
	455
	456	P += c * B;
	457	switch (rate.compounding())
490	458	{
491		double t = dayCounter.yearFraction(settlementDate, cashflow.date());
492		double c = cashflow.amount();
493		double B = rate.discountFactor(t);
494
495		P += c * B;
496		switch (rate.compounding())
497		{
498		case Compounding.Simple:
	459	case Compounding.Simple:
	460	d2Pdy2 += c * 2.0 * B * B * B * t * t;
	461	break;
	462	case Compounding.Compounded:
	463	d2Pdy2 += c * B * t * (N * t + 1) / (N * (1 + y / N) * (1 + y / N));
	464	break;
	465	case Compounding.Continuous:
	466	d2Pdy2 += c * B * t * t;
	467	break;
	468	case Compounding.SimpleThenCompounded:
	469	if (t <= 1.0 / N)
499	470	d2Pdy2 += c * 2.0 * B * B * B * t * t;
500		break;
501		case Compounding.Compounded:
	471	else
502	472	d2Pdy2 += c * B * t * (N * t + 1) / (N * (1 + y / N) * (1 + y / N));
503		break;
504		case Compounding.Continuous:
505		d2Pdy2 += c * B * t * t;
506		break;
507		case Compounding.SimpleThenCompounded:
508		if (t <= 1.0 / N)
509		d2Pdy2 += c * 2.0 * B * B * B * t * t;
510		else
511		d2Pdy2 += c * B * t * (N * t + 1) / (N * (1 + y / N) * (1 + y / N));
512		break;
513		default:
514		throw new ArgumentException("unknown compounding convention (" + rate.compounding() + ")");
515		}
	473	break;
	474	default:
	475	throw new ArgumentException("unknown compounding convention (" + rate.compounding() + ")");
516	476	}
517	477	}

QLNet

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Changeset 180

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trunk/QLNet/QLNet.vsmdi

trunk/QLNet/QLNet/Cashflows/CashFlows.cs

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