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/*
Copyright (C) 2025 Sotirios Papathanasopoulos
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/indexes/ibor/cdi.hpp>
namespace QuantLib {
// Reference: Zine-eddine, Arroub. "OpenGamma Quantitative research Brazilian Swaps", London, December 2013. paragraph 5
Rate Cdi::forecastFixing(const Date& fixingDate) const {
Date startDate = valueDate(fixingDate);
Date endDate = maturityDate(startDate);
Time yf = dayCounter_.yearFraction(startDate, endDate);
QL_REQUIRE(yf > 0.0, "year fraction (" << yf << ") must be positive");
QL_REQUIRE(!termStructure_.empty(), "null term structure set to this instance of " << name());
DiscountFactor discountStart = termStructure_->discount(startDate);
DiscountFactor discountEnd = termStructure_->discount(endDate);
return std::pow(discountStart / discountEnd, 1.0 / yf) - 1.0;
}
}
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