//! implements the conversion between swap dates and swap (time) length
public double swapLength(Date start, Date end)
{
Utils.QL_REQUIRE(end > start, () => "swap end date (" + end + ") must be greater than start (" + start + ")");
double result = (end - start) / 365.25 * 12.0; // month unit
result = new ClosestRounding(0).Round(result);
result /= 12.0; // year unit
return(result);
}
public void testClosest()
{
for (int i = 0; i < testData.Length; i++)
{
int precision = testData[i].precision;
ClosestRounding closest = new ClosestRounding(precision);
double calculated = closest.Round(testData[i].x);
double expected = testData[i].closest;
if (!Utils.close(calculated, expected, 1))
Assert.Fail("Original number: " + testData[i].x + "Expected: " + expected + "Calculated: " + calculated);
}
}
//! implements the conversion between swap dates and swap (time) length
public double swapLength(Date start, Date end)
{
Utils.QL_REQUIRE(end > start, "swap end date (" + end + ") must be greater than start (" + start + ")");
double result = (end - start) / 365.25 * 12.0; // month unit
result = new ClosestRounding(0).Round(result);
result /= 12.0; // year unit
return result;
}