///<summary>
///</summary>
///<param name="discount"></param>
///<param name="shift"></param>
public void Populate(QuarterlyDiscounts discount, QuarterlyShifts shift)
{
var forward = new double[_maxTenor + 1];
var accumForward = new double[_maxTenor + 1];
var accumForwardTimesRate = new double[_maxTenor + 1];
var accumForwardTimesShiftedRate = new double[_maxTenor + 1];
accumForward[0] = 0;
accumForwardTimesRate[0] = 0;
accumForwardTimesShiftedRate[0] = 0;
var w = new double[_maxTenor];
var h = new double[_maxTenor];
for (int i = 0; i < _maxExpiry; i++)
{
for (int j = 0; j < _maxTenor - i; j++)
{
//See "Engineering BGM" page 34 for explicit formula. Function definitions can be found in chapter 4.
forward[j + 1] = RateAnalytics.ForwardContract(i + 1, i + j + 2, discount);
accumForward[j + 1] = accumForward[j] + forward[j + 1];
accumForwardTimesRate[j + 1]
= accumForwardTimesRate[j] + forward[j + 1] * RateAnalytics.CashForwardRate(i + j + 1, discount);
accumForwardTimesShiftedRate[j + 1]
= accumForwardTimesShiftedRate[j] + forward[j + 1] * RateAnalytics.ShiftedCashForwardRate(i + j + 1, discount, shift);
h[j] = 0.25 * RateAnalytics.ShiftedCashForwardRate(i + j + 1, discount, shift) / (1 + 0.25 * RateAnalytics.CashForwardRate(i + j + 1, discount));
for (int k = 0; k < j + 1; k++)
{
w[k] = forward[k + 1] * RateAnalytics.ShiftedCashForwardRate(i + k + 1, discount, shift) / accumForwardTimesShiftedRate[j + 1];
_weights[i][j][k] = w[k] - h[k] * ((accumForwardTimesRate[j + 1] - accumForwardTimesRate[k]) / accumForwardTimesShiftedRate[j + 1]
- (1 - accumForward[k] / accumForward[j + 1]) * accumForwardTimesRate[j + 1] / accumForwardTimesShiftedRate[j + 1]);
}
}
}
}