| protected forecastFixing ( Date fixingDate ) : double | ||
| fixingDate | Date | |
| return | double | |
protected override double forecastFixing(Date fixingDate)
{
if (termStructure_.empty())
throw new ApplicationException("null term structure set to this instance of " + name());
Date start = fixingCalendar_.advance(fixingDate, 1, TimeUnit.Days);
Date end = maturityDate(start);
return termStructure_.link.forwardRate(start, end, dayCounter_, Compounding.Simple).rate();
}
