public override SortedDictionary <double, double> StripYieldCurve(IborCurve iborCurve)
{
if (_yieldCurvePoints != null)
{
return(_yieldCurvePoints);
}
_yieldCurvePoints = new SortedDictionary <double, double>();
double rate;
foreach (var item in _curvePoints)
{
rate = Math.Log(1 + item.Value * item.Key) / item.Key;
_yieldCurvePoints.Add(item.Key, rate);
}
return(_yieldCurvePoints);
}
public override SortedDictionary <double, double> StripYieldCurve(IborCurve iborCurve)
{
_yieldCurvePoints = new SortedDictionary <double, double>();
double P_t_TN;
double sum = 0;
double level;
double swapRate;
foreach (var item in _curvePoints)
{
level = item.Key;
swapRate = item.Value;
//sum += _Tenor * iborCurve.GetRate(x) * swapRate;
double yield = (1 - sum) / (1 + swapRate * _Tenor);
_yieldCurvePoints.Add(level, yield);
}
return(_yieldCurvePoints);
}
public override SortedDictionary <double, double> StripYieldCurve(IborCurve iborCurve)
{
throw new NotImplementedException();
}
public abstract SortedDictionary <double, double> StripYieldCurve(IborCurve iborCurve);
