コード例 #1
0
        /// <summary>
        /// Creates the ISDA compliant curve.
        /// <para>
        /// The parameter metadata is not stored in the metadata of the curve.
        ///
        /// </para>
        /// </summary>
        /// <param name="yearFractions">  the year fraction values </param>
        /// <param name="zeroRates">  the zero rate values </param>
        /// <returns> the curve </returns>
        public InterpolatedNodalCurve curve(DoubleArray yearFractions, DoubleArray zeroRates)
        {
            CurveMetadata baseMetadata = Curves.zeroRates(name, dayCount);

            return(InterpolatedNodalCurve.of(baseMetadata, yearFractions, zeroRates, CurveInterpolators.PRODUCT_LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.PRODUCT_LINEAR));
        }