// Fras
public double ParFraRate(Fra fra)
{
Curve fwdCurve = this.FwdCurveCollection.GetCurve(fra.ReferenceIndex);
double rate = fwdCurve.FwdRate(fra.AsOf, fra.StartDate, fra.EndDate, fra.DayRule, fra.DayCount, Interpolation);
return(rate);
}
private void ConstructFwdRates()
{
for (int i = 0; i < Dimension; i++)
{
DateTime startDate = Dates[i];
DateTime endDate = DateHandling.AddTenorAdjust(startDate, _tenorStr);
double fwdRate = _zcbCurve.FwdRate(AsOf, startDate, endDate, _fwdDayRule, _fwdDayCount, _interpolation);
Values.Add(fwdRate);
}
FwdCurve = new MasterThesis.Curve(Dates, Values);
}
