public override void SetIndexValues(MarketObservable index, double[] indexValues) { int indexCounter = 0; for (int i = 0; i < paymentDates.Length; i++) { if (paymentDates[i] > valueDate && index.Equals(floatingIndices[i])) { this.indexValues[i] = indexValues[indexCounter]; indexCounter++; } } }
public override List <Date> GetRequiredIndexDates(MarketObservable index) { List <Date> requiredDates = new List <Date>(); for (int i = 0; i < paymentDates.Length; i++) { if (paymentDates[i] > valueDate && index.Equals(floatingIndices[i])) { requiredDates.Add(resetDates[i]); } } return(requiredDates); }