/// <summary>
/// Discount factor
/// </summary>
/// <param name="date"></param>
/// <returns></returns>
public double GetDiscountFactors(DateTime date)
{
// Convert dates to contineous time in untis of years
var t = Utilities.ConvertToDayCountFraction(SettleDate, date);
var interpolation = new BulirschStoerRationalInterpolation(T.ToArray(), DiscountFactor.ToArray());
return(interpolation.Interpolate(t));
}
/// <summary>
/// Discount factors
/// </summary>
/// <param name="dates"></param>
/// <returns></returns>
public Vector <double> GetDiscountFactors(DateTime[] dates)
{
// Convert dates to contineous time in untis of years
var t = Vector <double> .Build.DenseOfArray(Utilities.ConvertToDayCountFraction(SettleDate, dates));
var interpolation = new BulirschStoerRationalInterpolation(T.ToArray(), DiscountFactor.ToArray());
var result = Vector <double> .Build.Dense(t.Count);
t.Map(p => interpolation.Interpolate(p), result);
return(result);
}