////////////////////////////////////////////////////
//! RateHelper interface
public override double impliedQuote()
{
if (termStructure_ == null)
{
throw new ArgumentException("term structure not set");
}
// we didn't register as observers - force calculation
swap_.recalculate(); // it is from lazy objects
// weak implementation... to be improved
const double basisPoint = 1.0e-4;
double floatingLegNPV = swap_.floatingLegNPV();
double spread = this.spread();
double spreadNPV = swap_.floatingLegBPS() / basisPoint * spread;
double totNPV = -(floatingLegNPV + spreadNPV);
double result = totNPV / (swap_.fixedLegBPS() / basisPoint);
return(result);
}
