public override void addTimesTo( List<double> times )
{
calculate();
CapFloor.Arguments args = new CapFloor.Arguments();
cap_.setupArguments( args );
List<double> capTimes = new DiscretizedCapFloor( args,
termStructure_.link.referenceDate(),
termStructure_.link.dayCounter() ).mandatoryTimes();
for ( int i = 0; i < capTimes.Count; i++ )
times.Insert( times.Count, capTimes[i] );
}
public DiscretizedCapFloor(CapFloor.Arguments args,
Date referenceDate,
DayCounter dayCounter)
{
arguments_ = args;
startTimes_= new InitializedList<double>(args.startDates.Count);
for (int i = 0; i < startTimes_.Count; ++i)
startTimes_[i] = dayCounter.yearFraction(referenceDate,
args.startDates[i]);
endTimes_ = new InitializedList<double>(args.endDates.Count);
for (int i = 0; i < endTimes_.Count; ++i)
endTimes_[i] = dayCounter.yearFraction(referenceDate,
args.endDates[i]);
}
