Equity price curve fix

cetusfinance · Aug 9, 2024 · ceac809 · ceac809
1 parent f8d0c65
commit ceac809
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Showing 3 changed files with 6 additions and 5 deletions.
diff --git a/src/Qwack.Core/Curves/EquityPriceCurve.cs b/src/Qwack.Core/Curves/EquityPriceCurve.cs
@@ -80,7 +80,7 @@ public EquityPriceCurve(DateTime buildDate, double spot, string ccy, IIrCurve ir
             IrCurve = irCurve;
             SpotDate = spotDate;
 
-            PillarLabels = new string[1] {"SPOT"};
+            PillarLabels = new string[1] { "SPOT" };
 
             Initialize();
         }
@@ -92,6 +92,7 @@ public EquityPriceCurve(TO_EquityPriceCurve to, IFundingModel fundingModel, ICur
             AssetId = to.AssetId;
             Name = to.Name;
             Currency = currencyProvider.GetCurrencySafe(to.Currency);
+            IrCurve = to.IrCurve == null ? null : fundingModel.GetCurve(to.IrCurve);
         }
 
         private void Initialize()
@@ -112,15 +113,15 @@ public double GetPriceForFixingDate(DateTime date)
         private double GetFwd(DateTime fwdDate, double divYield)
         {
             var t = SpotDate.CalculateYearFraction(fwdDate, Basis);
-            var df = IrCurve.GetDf(BuildDate, fwdDate);
+            var df = IrCurve?.GetDf(BuildDate, fwdDate) ?? 1.0;
             var fwd = Spot / df / (1 + divYield * t);
             if (DiscreteDivDates.Any(x => x > BuildDate && x <= fwdDate))
             {
                 foreach (var d in DiscreteDivDates.Where(x => x > BuildDate && x <= fwdDate))
                 {
                     var ix = Array.IndexOf(DiscreteDivDates, d); //Array.BinarySearch(DiscreteDivDates, d);
                     var div = DiscreteDivs[ix];
-                    var dfDiv = IrCurve.GetDf(d, fwdDate);
+                    var dfDiv = IrCurve?.GetDf(d, fwdDate) ?? 1.0;
                     fwd -= div / dfDiv;
                 }
             }

diff --git a/version.props b/version.props
@@ -1,5 +1,5 @@
 <Project>
     <PropertyGroup>
-        <VersionPrefix>0.8.74</VersionPrefix>
+        <VersionPrefix>0.8.75</VersionPrefix>
 	</PropertyGroup>
 </Project>
diff --git a/version.txt b/version.txt
@@ -1 +1 @@
-0.8.74
+0.8.75