internal override global::QuantLib.YieldTermStructure Build() { var baseCurve = new QlYtsHandle(_baseCurve.Build()); var spread = new QlQuoteHandle(new QlQuote(SpreadBps / 10000.0)); return(new global::QuantLib.ZeroSpreadedTermStructure(baseCurve, spread)); }
internal override global::QuantLib.DefaultProbabilityTermStructure Build() { var termStructureDayCounter = DayCountBasis.ToQlDayCounter(); var quoteHandle = new QlQuoteHandle(new QlQuote(FlatHazardRate)); return(new FlatHazardRate(TradeDate, quoteHandle, termStructureDayCounter)); }