public void TestCoordinatorAllData()
{
// Make the swap
double rate = 0.07;
bool payFixed = true;
double notional = 1000000;
Date startDate = new Date(2016, 9, 17);
Tenor tenor = Tenor.Years(5);
IRSwap swap = IRSwap.CreateZARSwap(rate, payFixed, notional, startDate, tenor);
// Set up the model
Date valueDate = new Date(2016, 9, 17);
double a = 0.05;
double vol = 0.01;
double flatCurveRate = 0.07;
HullWhite1F hullWiteSim = new HullWhite1F(Currency.ZAR, a, vol, flatCurveRate, flatCurveRate, valueDate);
hullWiteSim.AddForecast(FloatingIndex.JIBAR3M);
Coordinator coordinator = new Coordinator(hullWiteSim, new List <Simulator>(), 5000);
Date date = valueDate;
Date endDate = valueDate.AddTenor(tenor);
List <Date> fwdValueDates = new List <Date>();
while (date < endDate)
{
fwdValueDates.Add(date);
date = date.AddTenor(Tenor.Days(10));
}
ResultStore allDetails = coordinator.GetValuePaths(new Product[] { swap }, valueDate, fwdValueDates.ToArray());
allDetails.GetNames();
}
public static object[,] GetAvailableResults(
[ExcelArgument(Description = "The results object as returned by call to another QuantSA function")]
ResultStore resultStore)
{
var temp = resultStore.GetNames();
var column = new object[temp.Length, 1];
for (var i = 0; i < temp.Length; i++)
{
column[i, 0] = temp[i];
}
return(column);
}
