///<summary>
///</summary>
///<param name="settlement"></param>
///<param name="maturity"></param>
///<param name="imBp"></param>
///<param name="tmBp"></param>
///<param name="pmtFreq"></param>
///<param name="rateSet"></param>
///<param name="rateToNextCoup"></param>
///<param name="swapRate"></param>
///<param name="dayCount"></param>
///<param name="exInt"></param>
///<param name="xlHolidays"></param>
///<returns></returns>
public double FRNPrice(DateTime settlement, DateTime maturity, double imBp, double tmBp, int pmtFreq,
double rateSet, double rateToNextCoup, double swapRate, int dayCount, int exInt, [Optional] Excel.Range xlHolidays)
{
if (pmtFreq < 0 | rateSet < 0 | rateToNextCoup < 0 | swapRate < 0 | exInt < 0)
{
return(0);
}
if (settlement > maturity)
{
return(0);
}
object[,] values = xlHolidays.get_Value(System.Reflection.Missing.Value) as object[, ];
object[,] holidays;
if (values.GetType().Name == "Missing")
{
holidays = new Object[1, 1];
holidays[0, 0] = new DateTime(1, 1, 1);
}
else
{
holidays = ArrayHelper.RangeToMatrix(values);
}
Double output = BondAnalytics.FRNPrice(settlement, maturity, imBp, tmBp, pmtFreq, rateSet, rateToNextCoup, swapRate, dayCount, exInt, holidays);
return(output);
}
