public static CurvePoint Solve(this Interpolation interpolation, CurvePoint a, CurvePoint b, Maturity maturity)
{
if (a.Price.Currency != b.Price.Currency)
{
throw new NotImplementedException("Converting between currencies is not supported");
}
var pointA = a.ToPoint();
var pointB = b.ToPoint();
var x = maturity.ToX();
var point = interpolation.SolveForY(pointA, pointB, x);
return(CurvePoint.FromPoint(point, a.Price.Currency));
}
