public override void fetchResults(IPricingEngineResults r)
{
base.fetchResults(r);
VanillaSwap.Results results = r as VanillaSwap.Results;
if (results != null)
{
// might be a swap engine, so no error is thrown
fairRate_ = results.fairRate;
fairSpread_ = results.fairSpread;
}
else
{
fairRate_ = null;
fairSpread_ = null;
}
if (fairRate_ == null)
{
// calculate it from other results
if (legBPS_[0] != null)
{
fairRate_ = fixedRate_ - NPV_.GetValueOrDefault() / (legBPS_[0] / Const.BASIS_POINT);
}
}
if (fairSpread_ == null)
{
// ditto
if (legBPS_[1] != null)
{
fairSpread_ = spread_ - NPV_.GetValueOrDefault() / (legBPS_[1] / Const.BASIS_POINT);
}
}
}
/// <summary>
/// Performs the valuation of the instruments. Returns Net Present Value (NPV).
/// </summary>
new public double NPV()
{
calculate();
if (NPV_ == null)
{
throw new ArgumentException("NPV not provided");
}
return(NPV_.GetValueOrDefault());
}
