public override void fetchResults(IPricingEngineResults r)
{
const double basisPoint = 1.0e-4;
base.fetchResults(r);
BasisSwap.Results results = r as BasisSwap.Results;
if (results != null)
{
fairLongSpread_ = results.fairLongSpread;
fairShortSpread_ = results.fairShortSpread;
}
else
{
fairLongSpread_ = null;
fairShortSpread_ = null;
}
// Long fair spread should be fine - no averaging or compounding
if (fairLongSpread_ == null && legBPS_[longNo_] != null)
{
fairLongSpread_ = longSpread_ - NPV_ / (legBPS_[longNo_] / basisPoint);
}
/* Short fair spread calculation ok if no averaging/compounding OR
* if there is averaging/compounding and the spread is added after */
if (fairShortSpread_ == null && legBPS_[shortNo_] != null)
{
fairShortSpread_ = shortSpread_ - NPV_ / (legBPS_[shortNo_] / basisPoint);
}
}
public override void fetchResults(IPricingEngineResults r)
{
base.fetchResults(r);
BasisSwap.Results results = r as BasisSwap.Results;
}
