private static ContinuousCompoundingCurve GetFlatCurve()
{
var ratesByTenor = new SortedDictionary <double, double> {
{ 1, 0.03 }
};
var interpolator = new LinearInterpolator();
var curve = new ContinuousCompoundingCurve(ratesByTenor, interpolator);
return(curve);
}
private static ContinuousCompoundingCurve GetCurve()
{
var ratesByTenor = new SortedDictionary <double, double>
{
{ 0.5, 0.01 },
{ 1.0, 0.02 },
{ 2.0, 0.05 },
{ 5.0, 0.06 }
};
var interpolator = new LinearInterpolator();
var curve = new ContinuousCompoundingCurve(ratesByTenor, interpolator);
return(curve);
}