// I use TLP: return array of curves, initialised after shifting mktRateSet elements of forwarding curve
public IMultiRateCurve[] ShiftedCurvesArrayFwdCurve(double shift)
{
// i-curve is built using its setup (interpolator,..), but shifting i-element of mktRateSet
// up of 'shift' quantity
RateSet[] rsArr = mktRateSet.ShiftedRateSetArray(shift); // array of shifted RateSet (my scenario)
int n = rsArr.Length; // number of elements
IMultiRateCurve[] curves = new IMultiRateCurve[n]; // array of curves
Parallel.For(0, n, i =>
{
curves[i] = CreateInstance(rsArr[i], DCurve); // build the correct curve
});
return(curves);
}
// return array of curves, initialised after shifting mktRateSet elements
public ISingleRateCurve[] ShiftedCurveArray(double shift)
{
// i-curve is built using its setup (interpolator,..), but shifting i-element of mktRateSet
// up of 'shift' quantity
RateSet[] rsArr = mktRateSet.ShiftedRateSetArray(shift); // array of shifted RateSet (my scenario)
int n = rsArr.Length; // number of elements
ISingleRateCurve[] curves = new ISingleRateCurve[n]; // array of curves
for (int i = 0; i < n; i++)
{ // iterate to build all curve needed
curves[i] = CreateInstance(rsArr[i]); // build the correct curve
}
return(curves);
}