public double protectionLeg(PiecewiseconstantHazardRate creditCurve)
{
double ht0 = creditCurve.getRT_(_proLegIntPoints[0]);
double rt0 = _proYieldCurveRT[0];
double b0 = _proDF[0] * Math.Exp(-ht0);
double pv = 0.0;
for (int i = 1; i < _nProPoints; ++i)
{
double ht1 = creditCurve.getRT_(_proLegIntPoints[i]);
double rt1 = _proYieldCurveRT[i];
double b1 = _proDF[i] * Math.Exp(-ht1);
double dht = ht1 - ht0;
double drt = rt1 - rt0;
double dhrt = dht + drt;
// this is equivalent to the ISDA code without explicitly calculating the time step - it also handles the limit
double dPV;
if (Math.Abs(dhrt) < 1e-5)
{
dPV = dht * b0 * Epsilon.epsilon(-dhrt);
}
else
{
dPV = (b0 - b1) * dht / dhrt;
}
pv += dPV;
ht0 = ht1;
rt0 = rt1;
b0 = b1;
}
pv *= _lgdDF; // multiply by LGD and adjust to valuation date
return(pv);
}
