public override void SetRequiredDates(MarketObservable index, List <Date> requiredDates)
{
allDates.AddRange(requiredDates);
}
public override List <Date> GetRequiredIndexDates(MarketObservable index)
{
return(new List <Date>());
}
public override void SetIndexValues(MarketObservable index, double[] indexValues)
{
}
/// <summary> /// The dates at which the provided index is required to calculate cashflows. This will be called /// repeatedly so if possible pre-calculate in <see cref="SetValueDate(Date)"/>. /// </summary> /// <param name="index"></param> /// <returns></returns> public abstract List <Date> GetRequiredIndexDates(MarketObservable index);
/// <summary> /// Precursor to calling <see cref="GetCFs"/>. Done in a separate step in case the indices come from /// multiple sources. /// </summary> /// <param name="index"></param> /// <param name="indexValues"></param> public abstract void SetIndexValues(MarketObservable index, double[] indexValues);
/// <summary>
/// The floating rate fixing dates that correspond to payment dates strictly after the value date.
/// </summary>
/// <param name="index">Will be the same index as returned by <see cref="GetRequiredIndices"/>.</param>
/// <returns></returns>
public override List <Date> GetRequiredIndexDates(MarketObservable index)
{
return(_futureIndexDates);
}
public override void SetIndexValues(MarketObservable index, double[] indexValues)
{
// Nothing to do. Product has no state.
}
public override void SetRequiredDates(MarketObservable index, List<Date> requiredDates)
{
if (_allDates == null) _allDates = requiredDates;
else
_allDates.AddRange(requiredDates);
}
public override bool ProvidesIndex(MarketObservable index)
{
return _floatRateIndices.Contains(index);
}
public override void SetIndexValues(MarketObservable index, double[] indices)
{
_fwdPrice = indices[0];
}
