Get(ListTermCashflowSet cashFlowSet, int days, decimal nominal)
{
ZSpreadSpecificAnnuity annuity = new ZSpreadSpecificAnnuity(cashFlowSet, days);
var result = Interpolation.Interpolate(annuity.GetPV, 0.01m, 0.09m, nominal);
return(result);
}
public void AssertInterpolationTest1()
{
var flows = new ListTermCashflowSet(cashFlowSet, Term.MonthlyEffective);
var zSpread = new ZSpread(flows, 2000000m);
var result = zSpread.Spread();
var annuity = new ZSpreadSpecificAnnuity(flows, 30);
var check = annuity.GetPV(0.0132866482605499030537820089M);
Assert.IsTrue(IsEqualWithinThreshold(result, 0.0132866482605499030537820089M));
Assert.IsTrue(IsEqualWithinThreshold(check, 2000000m));
}
