private static double[] toDoubles(DateTime tradeDate, bool protectionFromStartOfDay, Enums.DayCount accrualDCC, Enums.DayCount curveDCC,
params DateTime[] premDates)
{
DateTime accStart = premDates[0];
DateTime accEnd = premDates[1];
DateTime paymentDate = premDates[2];
DateTime effStart = protectionFromStartOfDay ? accStart.AddDays(-1) : accStart;
DateTime effEnd = protectionFromStartOfDay ? accEnd.AddDays(-1) : accEnd;
double[] res = new double[5];
// *@param protectionFromStartOfDay true if protection is from the start of day (true for standard CDS)
// *@param accrualDCC The day - count - convention used for calculation the accrual period(ACT / 360 for standard CDS)
// *@param curveDCC The day - count - convention used for converting dates to time intervals along curves - this should be ACT / 365F
Actual365 dc = new Actual365();
Actual360 accrualDCC_ = new Actual360();
res[0] = DateTime.Compare(effStart, tradeDate) < 0 ? -dc.YearFraction(effStart, tradeDate) : dc.YearFraction(tradeDate, effStart);
res[1] = dc.YearFraction(tradeDate, effEnd);
res[2] = dc.YearFraction(tradeDate, paymentDate);
res[3] = accrualDCC_.YearFraction(accStart, accEnd);
res[4] = res[3] / dc.YearFraction(accStart, accEnd);
return(res);
}
