/// <summary>
/// Adds a source for interest rate forecasts.
/// </summary>
/// <param name="forecastCurve">The forecast curve.</param>
/// <exception cref="System.ArgumentException"></exception>
/// <seealso cref="AddFXForecast(IFXSource[])"/>
public void AddRateForecast(IFloatingRateSource forecastCurve)
{
if (!forecastCurves.ContainsKey(forecastCurve.GetFloatingIndex()))
{
forecastCurves.Add(forecastCurve.GetFloatingIndex(), forecastCurve);
}
else
{
throw new ArgumentException(forecastCurve.GetFloatingIndex() + " has already been added to the model.");
}
}
/// <summary>
/// Curve based valuation of <see cref="FloatLeg"/>. Assumes that correct forecast and discount curves have been provided.
/// </summary>
/// <param name="leg"></param>
/// <param name="forecastCurve"></param>
/// <param name="discountCurve"></param>
/// <returns></returns>
public static double CurvePV(this FloatLeg leg, IFloatingRateSource forecastCurve,
IDiscountingSource discountCurve)
{
var legIndex = forecastCurve.GetFloatingIndex();
var resetDates1 = leg.GetRequiredIndexDates(legIndex);
var indexValues1 = new double[resetDates1.Count];
for (var i = 0; i < resetDates1.Count; i++)
{
indexValues1[i] = forecastCurve.GetForwardRate(resetDates1[i]);
}
leg.SetIndexValues(legIndex, indexValues1);
var cfs1 = leg.GetCFs();
var value1 = cfs1.PV(discountCurve);
return(value1);
}
