public Curve(CurveType curveType, CompoundingType compoundingType, MaturityType?compoundingFrequency, MaturityType maturityType, double[] terms, double[] rates)
{
SetTermsAndRates(terms, rates, maturityType);
CurveType = curveType;
CompoundingType = compoundingType;
CompoundingFrequency = compoundingFrequency;
}
public AbstractCompTypeTransformer GetTransformer(CompoundingType compoundingType, MaturityType?compoundingFrequency = null)
{
switch (compoundingType)
{
case CompoundingType.Continuous:
return(new ContinuousCompTypeTransformer());
case CompoundingType.KTimesPerYear:
return(new KTimesPerYearCompTypeTransformer(compoundingFrequency.Value));
case CompoundingType.Simple:
return(new SimpleCompTypeTransformer());
default:
throw new NotImplementedException($"Cannot get transformer, unknown CompoundingType: {compoundingType}" !);
}
}
