public TO_FundingModel GetTransportObject() =>
new TO_FundingModel
{
BuildDate = BuildDate,
VolSurfaces = VolSurfaces.ToDictionary(x => x.Key, x => x.Value.GetTransportObject()),
Curves = Curves.ToDictionary(x => x.Key, x => x.Value.GetTransportObject()),
FxMatrix = ((FxMatrix)FxMatrix).GetTransportObject()
};
public bool TryGetVolSurface(string name, out IVolSurface volSurface)
{
if (VolSurfaces.TryGetValue(name, out volSurface))
{
return(true);
}
if (TryGetInverseSurface(name, out volSurface))
{
return(true);
}
volSurface = null;
return(false);
}
public IVolSurface GetVolSurface(string name) => VolSurfaces.TryGetValue(name, out var curve) ? curve : throw new Exception($"Surface named {name} not found");
private bool TryGetInverseSurface(string name, out IVolSurface volSurface)
{
var inverseName = name.Substring(name.Length - 3, 3) + "/" + name.Substring(0, 3);
return(VolSurfaces.TryGetValue(inverseName, out volSurface));
}
