// Fras public double ParFraRate(Fra fra) { Curve fwdCurve = this.FwdCurveCollection.GetCurve(fra.ReferenceIndex); double rate = fwdCurve.FwdRate(fra.AsOf, fra.StartDate, fra.EndDate, fra.DayRule, fra.DayCount, Interpolation); return(rate); }
private void ConstructFwdRates() { for (int i = 0; i < Dimension; i++) { DateTime startDate = Dates[i]; DateTime endDate = DateHandling.AddTenorAdjust(startDate, _tenorStr); double fwdRate = _zcbCurve.FwdRate(AsOf, startDate, endDate, _fwdDayRule, _fwdDayCount, _interpolation); Values.Add(fwdRate); } FwdCurve = new MasterThesis.Curve(Dates, Values); }