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org.unizone.0.8543
Instance of TypeScriptInfo
| Node data | Value |
| org.edgescript.TypeScriptInfo.prerequisiteParcels | List{} |
| org.edgescript.TypeScriptInfo.prerequisiteMethods | List{} |
| org.edgescript.TypeScriptInfo.script | /* instance Array[Real] pYears; instance Array[Real] pRates; instance Collection[TimeData] overnights; instance Collection[TimeData] stibors; instance Collection[TimeData] fras; instance Collection[TimeData] swaps; instance Collection[TimeData] allData; constructor(Source source, Time time) { TimeFunction:(source, time); } Real rateAt(Real years) { if (years < instance pYears.at(0)) { if (years < 1 / 366) return null; Real years0 = instance pYears.at(0); Real df0 = 1/((instance pRates.at(0)/100+1)^years0); Real df = 1 - (1 - df0) * years / years0; return ((1/df)^(1/years)-1) * 100; } Int left = 0; Int right = instance pYears.size - 1; while(right - left > 1) { Int test = ((left + right) / 2).round; if (years > instance pYears.at(test)) left = test; else right = test; } Real leftYears = instance pYears.at(left); Real leftRate = instance pRates.at(left); Real rightYears = instance pYears.at(right); Real rightRate = instance pRates.at(right); leftRate + (rightRate - leftRate) * (years - leftYears) / (rightYears - leftYears); } Real discountFactorAt(Real years) { if (years < instance pYears.at(0)) { if (years < 0) return null; if (years == 0) return 1; Real years0 = instance pYears.at(0); Real df0 = 1/((instance pRates.at(0)/100+1)^years0); return 1 - (1 - df0) * years / years0; } 1/((rateAt(years)/100 + 1) ^ years); } Void prepareOvernight(TimeData td, Int index, Time t) { Int maturityDay = 365)) ^ (365/dt1) - 1) * 100; instance pYears.set(index, dt1 / 365); instance pRates.set(index, rate); } Void prepareStibor(TimeData td, Int index, Time t) { Int dt0 = td.maturity.subtractDate(t); Int dt2 = td.maturity.subtractDate(t.settlement(2)); Real rate = (((1 + td.value * dt2 / 36000) / discountFactorAt((dt0 - dt2)/ 365)) ^ (365/dt0) - 1) * 100; instance pYears.set(index, dt0 / 365); instance pRates.set(index, rate); } Void prepareFRA(TimeData td, Int index, Time t) { Real val = td.value / 100; Time maturityDate = td.maturity; Real maturityT = maturityDate.subtractDate(t) / 365; if (maturityT > 1) maturityT = maturityDate.subtractDate360(t) / 360; Time endDate = maturityT); Real df2 = 1 / (dt * val + 1); Real rate = ((1 / (df1 * df2)) ^ (1 / endT) - 1) * 100; instance pYears.set(index, endT); instance pRates.set(index, rate); } Void prepareSwap(TimeData td, Int index, Time t) { Real val = td.value / ((rateAt(time) / 100 + 1) ^ time); year = year - 1; } time = mat.subtractDate360(t) / 360; Real df = (discountFactorAt(t2.subtractDate(t) / 365) - x * val) / (val + 1); Real rate = ((1 / df) ^ (1 / time) - 1) * 100; instance pYears.set(index, time); instance pRates.set(index, rate); } Boolean iterate() { Array[Real] oldYears = instance pYears; Array[Real] oldRates = instance pRates; instance pYears = new Array(Real, instance allData.size); instance pRates = new Array(Real, instance allData.size); 0 .to(instance pYears.size - 1, Void(Int i) { if (oldYears == null) { instance pYears.set(i, i * 2); instance pRates.set(i, 4); } else { instance pYears.set(i, oldYears.at(i)); instance pRates.set(i, oldRates.at(i)); } }); Int index = 0; Time t = time(); instance overnights.do(Void(TimeData td) { prepareOvernight(td, index, t); index = index + 1; }); instance stibors.do(Void(TimeData td) { prepareStibor(td, index, t); index = index + 1; }); instance fras.do(Void(TimeData td) { prepareFRA(td, index, t); index = index + 1; }); instance swaps.do(Void(TimeData td) { prepareSwap(td, index, t); index = index + 1; }); if (oldYears == null) return false; 0 .to(oldYears.size - 1, Void(Int i) { if ((oldRates.at(i) - instance pRates.at(i)).abs > 0.00001) return false; }); return true; } Boolean formatCurve( Collection[TimeData] overnights, Collection[TimeData] stibors, Collection[TimeData] fras, Collection[TimeData] swaps) { Time lastDate = Time{fras.last.aspectValue(#end)}; swaps = swaps.select(Boolean(TimeData swap) {swap.maturity > lastDate}); List[TimeData] allData = new List(TimeData); allData.addAll(overnights); allData.addAll(stibors); allData.addAll(fras); allData.addAll(swaps); if (allData.size < 1) return false; instance allData = allData; instance overnights = overnights; instance stibors = stibors; instance fras = fras; instance swaps = swaps; while(!iterate()); return true; } Object aspectValue(Symbol aspect) { if (aspect == #components) return instance allData; if (aspect == #discountFactor) return discountFactorAt(Real{external cond_maturity}); if (aspect == #value) return rateAt(Real{external cond_maturity}); return null; } */ |
| org.edgescript.TypeScriptInfo.defineType | org.unizone.finance.interest.YieldSwapData |
| org.edgescript.TypeScriptInfo.prerequisiteScripts | List{} |