public override double Evaluate(Node[] n)
{
double n0 = n[0].Evaluate();
if (n.Length == 1)
{
return(_eco.CashRate((int)n0, (int)n0));
}
double n1 = n[1].Evaluate();
return(_eco.CashRate((int)n0, (int)n1));
}
private double SetStrike(int[] p)
{
//ATM
double result = 0;
if (Derivative == Derivative.Caplet)
{
result = _economy.CashRate(0, p[0]);
}
if (Derivative == Derivative.Swaption)
{
result = _economy.SwapRate(0, p[0], p[1]);
}
//if (Derivative == Derivative.custom)
//{
// result = economy.CashRate(0, p[0]);
//}
return(result);
}
public override double Evaluate(Node[] n)
{
double n0 = n[0].Evaluate();
return(_eco.CashRate(0, (int)n0));
}