C# (CSharp) RecSwaplets Examples

Example #1

File: AsianBasisSwap.cs Project: biqueta/qwack

 public IAssetInstrument SetStrike(double strike) => new AsianBasisSwap
 {
     TradeId     = TradeId,
     PaySwaplets = PaySwaplets.Select(x => (AsianSwap)x.SetStrike(strike)).ToArray(),
     RecSwaplets = RecSwaplets.Select(x => (AsianSwap)x.Clone()).ToArray(),
 };

Example #2

File: AsianBasisSwap.cs Project: biqueta/qwack

 public Dictionary <string, List <DateTime> > PastFixingDates(DateTime valDate) =>
 PaySwaplets.SelectMany(x => x.PastFixingDates(valDate))
 .Concat(RecSwaplets.SelectMany(x => x.PastFixingDates(valDate)))
 .Distinct()
 .ToDictionary(x => x.Key, x => x.Value);

Example #3

File: AsianBasisSwap.cs Project: biqueta/qwack

 public string[] IrCurves(IAssetFxModel model) => PaySwaplets.SelectMany(x => x.IrCurves(model)).Concat(RecSwaplets.SelectMany(x => x.IrCurves(model))).Distinct().ToArray();