public void SetEverything(Curve discCurve, CurveCalibrationProblem[] problems, CurveTenor[] tenors, CalibrationSpec settings, int[] OrderOfCalibration = null)
{
if (problems.Length != tenors.Length)
{
throw new InvalidOperationException("Number of problems and number of tenors have to match. ");
}
_problemMap = new Dictionary <CurveTenor, CurveCalibrationProblem>();
_hasBeenCalibrated = new Dictionary <CurveTenor, bool>();
_discCurve = discCurve;
_tenors = tenors;
_settings = settings;
_fwdCurveCollection = new FwdCurveContainer();
List <int> curvePoints = new List <int>();
for (int i = 0; i < problems.Length; i++)
{
_problemMap[tenors[i]] = problems[i];
_fwdCurveCollection.AddCurve(problems[i].CurveToBeCalibrated, tenors[i]);
curvePoints.Add(_fwdCurveCollection.GetCurve(tenors[i]).Dimension);
}
_curvePoints = curvePoints.ToArray();
_internalState = 0;
}
public DiscCurveConstructor(CurveCalibrationProblem discProblem, CalibrationSpec settings)
{
_settings = settings;
_problem = discProblem;
_internalStateMax = settings.MaxIterations;
}
// For constructing multiple curves at a time
public FwdCurveConstructor(Curve discCurve, CurveCalibrationProblem[] problems, CurveTenor[] tenors, CalibrationSpec settings, int[] OrderOfCalibration = null)
{
SetEverything(discCurve, problems, tenors, settings, OrderOfCalibration);
}