// ************************************************************
// METHODS
// ************************************************************
/*
* protected void SetRateCurve(Period period_)
* {
* // Check for valuation date
* if (_valuationDate == null ||_valuationDate == DateTime.MinValue)
* { throw new ArgumentException("DateException", "Valuation date not set. Unable to set rate curve."); }
*
* // Extract the key info
* int nb = period_.length();
* TimeUnit tu = period_.units();
*
* // Case 1 : Against 3 or 6 month floating rates
* if (tu == TimeUnit.Months)
* {
* if (nb == 3)
* {
* _curve = new myRateCurveEURv3m(); // as myRateCurve;
* }
* else if (nb == 6)
* {
* _curve = new myRateCurveEUR(); // as myRateCurve;
* }
* }
*
* // Case 1 : Against EONIA
* else if (tu == TimeUnit.Days)
* {
* if (nb == 1)
* {
* _curve = new myRateCurveEUROIS(); // as myRateCurve;
* }
* }
*
* else
* {
* throw new NotImplementedException();
* }
* }
*/
// Compute the present value (PV)
// Public
public double PV_v3m(DateTime valuationDate)
{
_curveDescription = "EURIBOR_3M";
myRateCurveEURv3m rateCurve = new myRateCurveEURv3m(valuationDate);
return(Compute_PV(valuationDate, _defaultPeriod, rateCurve));
}
public void ForceRateCurve(myRateCurveEURv3m argCurve)
{
_rateCurve = argCurve;
}
private void InitializeRateCurve()
{
_rateCurve = new myRateCurveEURv3m(this.PricingDate);
}
