//! dirty price given Z-spread
/*! Z-spread compounding, frequency, daycount are taken into account
* The default bond settlement is used if no date is given.
* For details on Z-spread refer to:
* "Credit Spreads Explained", Lehman Brothers European Fixed Income Research - March 2004, D. O'Kane*/
public double dirtyPriceFromZSpread(double zSpread, DayCounter dc, Compounding comp, Frequency freq, Date settlement)
{
if (settlement == null)
{
settlement = settlementDate();
}
if (engine_ == null)
{
throw new ApplicationException("null pricing engine");
}
if (!engine_.GetType().IsSubclassOf(typeof(DiscountingBondEngine)))
{
throw new ApplicationException("engine not compatible with calculation");
}
return(Utils.dirtyPriceFromZSpreadFunction(notional(settlement), cashflows_, zSpread, dc, comp, freq,
settlement, ((DiscountingBondEngine)engine_).discountCurve()));
}
