public override void SetIndexValues(MarketObservable index, double[] indexValues) { if (index == defaultTime) { defaultTimeValue = new Date(indexValues[0]); } else if (index == defaultRecovery) { recoveryRate = indexValues[0]; } else { throw new ArgumentException("Unknown index: " + index.ToString()); } }
public ResultStore GetResultStore() { ResultStore swapDetails = new ResultStore(); swapDetails.Add("payFixed", payFixed); swapDetails.Add("indexDates", indexDates); swapDetails.Add("payDates", paymentDates); swapDetails.Add("index", index.ToString()); swapDetails.Add("spreads", spreads); swapDetails.Add("accrualFractions", accrualFractions); swapDetails.Add("notionals", notionals); swapDetails.Add("fixedRate", fixedRate); return(swapDetails); }