// The functionality below takes the original "double" curves
// and converts them to AD curves.
public void SetAdCurvesFromOrdinaryCurve()
{
List <ADouble> discValues = new List <ADouble>();
for (int i = 0; i < DiscCurve.Values.Count; i++)
{
discValues.Add(new MasterThesis.ADouble(DiscCurve.Values[i]));
}
ADDiscCurve = new MasterThesis.Curve_AD(DiscCurve.Dates, discValues);
ADFwdCurveCollection = new ADFwdCurveContainer();
foreach (CurveTenor tenor in FwdCurveCollection.Curves.Keys)
{
List <ADouble> tempValues = new List <ADouble>();
for (int i = 0; i < FwdCurveCollection.GetCurve(tenor).Values.Count; i++)
{
tempValues.Add(new ADouble(FwdCurveCollection.GetCurve(tenor).Values[i]));
}
Curve_AD tempCurve = new Curve_AD(FwdCurveCollection.GetCurve(tenor).Dates, tempValues);
ADFwdCurveCollection.AddCurve(tempCurve, tenor);
}
ADCurvesHasBeenSet = true;
}
public LinearRateModel(Curve_AD discCurve, ADFwdCurveContainer fwdCurveCollection, InterpMethod interpolation = InterpMethod.Linear)
{
ADDiscCurve = discCurve;
ADFwdCurveCollection = fwdCurveCollection;
Interpolation = interpolation;
}