// At the money forward swap using string args
object IRate.FwdSwapX(string idCode, string StartTenor, string SwapTenor)
{
// make it volatile
if (m_xlApp != null)
{
m_xlApp.Volatile(true);
}
try
{
IMultiRateCurve MultiCurve = null; // initialise a multi curve
if (MCDictionary.TryGetValue(idCode, out MultiCurve)) // is the idCode in dictionary?
{
Date StartDate = MultiCurve.RefDate().add_period(StartTenor, true);
return(MultiCurve.SwapFwd(new Date(StartDate), SwapTenor));
}
else
{
return("IdCode not found"); // curve not found
}
}
catch (Exception e)
{
return((string)e.ToString());
}
}
public VanillaSwap(IMultiRateCurve MultiCurve, double Rate, string SwapTenor, bool PayOrRec, double Nominal)
{
// Standard swap
Type SwapType = MultiCurve.GetSwapStyle().GetType();
Date myRefDate = MultiCurve.RefDate();
// using reflection
this.mySwap = (SwapStyle)Activator.CreateInstance(SwapType, myRefDate, Rate, SwapTenor);
this.payOrRec = PayOrRec;
this.multiCurve = MultiCurve;
this.nominal = Nominal;
}