// Instrument interface
public override void calculate()
{
if (discountCurve_.empty())
{
throw new ArgumentException("no discounting term structure set");
}
if (discountCurve_.Count != arguments_.legs.Count)
{
throw new ArgumentException("no discounting term structure set for all legs");
}
results_.value = results_.cash = 0;
results_.errorEstimate = null;
results_.legNPV = new InitializedList <double?>(arguments_.legs.Count);
results_.legBPS = new InitializedList <double?>(arguments_.legs.Count);
List <double?> startDiscounts = new InitializedList <double?>(arguments_.legs.Count);
for (int i = 0; i < arguments_.legs.Count; ++i)
{
results_.value += results_.legNPV[i];
results_.cash += arguments_.payer[i] * CashFlows.cash(arguments_.legs[i]);
try
{
Date d = CashFlows.startDate(arguments_.legs[i]);
startDiscounts[i] = discountCurve_[i].link.discount(d);
}
catch
{
startDiscounts[i] = null;
}
}
results_.additionalResults.Add("startDiscounts", startDiscounts);
}
