public FuturesRateHelper(double price,
Date iborStartDate,
IborIndex i,
double convAdj = 0.0,
Futures.Type type = Futures.Type.IMM)
: base(price)
{
convAdj_ = new Handle <Quote>(new SimpleQuote(convAdj));
switch (type)
{
case Futures.Type.IMM:
Utils.QL_REQUIRE(IMM.isIMMdate(iborStartDate, false), () =>
iborStartDate + " is not a valid IMM date");
break;
case Futures.Type.ASX:
Utils.QL_REQUIRE(ASX.isASXdate(iborStartDate, false), () =>
iborStartDate + " is not a valid ASX date");
break;
default:
Utils.QL_FAIL("unknown futures type (" + type + ")");
break;
}
earliestDate_ = iborStartDate;
Calendar cal = i.fixingCalendar();
maturityDate_ = cal.advance(iborStartDate, i.tenor(), i.businessDayConvention());
yearFraction_ = i.dayCounter().yearFraction(earliestDate_, maturityDate_);
pillarDate_ = latestDate_ = latestRelevantDate_ = maturityDate_;
}
public FuturesRateHelper(double price,
Date iborStartDate,
int lengthInMonths,
Calendar calendar,
BusinessDayConvention convention,
bool endOfMonth,
DayCounter dayCounter,
double convexityAdjustment = 0.0,
Futures.Type type = Futures.Type.IMM)
: base(price)
{
convAdj_ = new Handle <Quote>(new SimpleQuote(convexityAdjustment));
switch (type)
{
case Futures.Type.IMM:
Utils.QL_REQUIRE(IMM.isIMMdate(iborStartDate, false), () =>
iborStartDate + " is not a valid IMM date");
break;
case Futures.Type.ASX:
Utils.QL_REQUIRE(ASX.isASXdate(iborStartDate, false), () =>
iborStartDate + " is not a valid ASX date");
break;
default:
Utils.QL_FAIL("unknown futures type (" + type + ")");
break;
}
earliestDate_ = iborStartDate;
maturityDate_ = calendar.advance(iborStartDate, new Period(lengthInMonths, TimeUnit.Months), convention, endOfMonth);
yearFraction_ = dayCounter.yearFraction(earliestDate_, maturityDate_);
pillarDate_ = latestDate_ = latestRelevantDate_ = maturityDate_;
}
public FuturesRateHelper(double price,
Date iborStartDate,
Date iborEndDate,
DayCounter dayCounter,
double convAdj = 0,
Futures.Type type = Futures.Type.IMM)
: base(price)
{
convAdj_ = new Handle <Quote>(new SimpleQuote(convAdj));
switch (type)
{
case Futures.Type.IMM:
Utils.QL_REQUIRE(IMM.isIMMdate(iborStartDate, false), () =>
iborStartDate + " is not a valid IMM date");
if (iborEndDate == null)
{
// advance 3 months
maturityDate_ = IMM.nextDate(iborStartDate, false);
maturityDate_ = IMM.nextDate(maturityDate_, false);
maturityDate_ = IMM.nextDate(maturityDate_, false);
}
else
{
Utils.QL_REQUIRE(iborEndDate > iborStartDate, () =>
"end date (" + iborEndDate +
") must be greater than start date (" +
iborStartDate + ")");
maturityDate_ = iborEndDate;
}
break;
case Futures.Type.ASX:
Utils.QL_REQUIRE(ASX.isASXdate(iborStartDate, false), () =>
iborStartDate + " is not a valid ASX date");
if (iborEndDate == null)
{
// advance 3 months
maturityDate_ = ASX.nextDate(iborStartDate, false);
maturityDate_ = ASX.nextDate(maturityDate_, false);
maturityDate_ = ASX.nextDate(maturityDate_, false);
}
else
{
Utils.QL_REQUIRE(iborEndDate > iborStartDate, () =>
"end date (" + iborEndDate +
") must be greater than start date (" +
iborStartDate + ")");
maturityDate_ = iborEndDate;
}
break;
default:
Utils.QL_FAIL("unknown futures type (" + type + ")");
break;
}
earliestDate_ = iborStartDate;
yearFraction_ = dayCounter.yearFraction(earliestDate_, maturityDate_);
pillarDate_ = latestDate_ = latestRelevantDate_ = maturityDate_;
}
public FuturesRateHelper(Handle <Quote> price,
Date iborStartDate,
int lengthInMonths,
Calendar calendar,
BusinessDayConvention convention,
bool endOfMonth,
DayCounter dayCounter,
Handle <Quote> convAdj = null,
Futures.Type type = Futures.Type.IMM)
: base(price)
{
convAdj_ = convAdj ?? new Handle <Quote>();
switch (type)
{
case QLCore.Futures.Type.IMM:
Utils.QL_REQUIRE(QLCore.IMM.isIMMdate(iborStartDate, false), () =>
iborStartDate + " is not a valid IMM date");
break;
case QLCore.Futures.Type.ASX:
Utils.QL_REQUIRE(ASX.isASXdate(iborStartDate, false), () =>
iborStartDate + " is not a valid ASX date");
break;
default:
Utils.QL_FAIL("unknown futures type (" + type + ")");
break;
}
earliestDate_ = iborStartDate;
maturityDate_ = calendar.advance(iborStartDate, new Period(lengthInMonths, TimeUnit.Months), convention, endOfMonth);
yearFraction_ = dayCounter.yearFraction(earliestDate_, maturityDate_);
pillarDate_ = latestDate_ = latestRelevantDate_ = maturityDate_;
convAdj_.registerWith(update);
}
public FuturesRateHelper(QuoteHandle price, Date iborStartDate, Date iborEndDate, DayCounter dayCounter, QuoteHandle convexityAdjustment, Futures.Type type) : this(NQuantLibcPINVOKE.new_FuturesRateHelper__SWIG_5(QuoteHandle.getCPtr(price), Date.getCPtr(iborStartDate), Date.getCPtr(iborEndDate), DayCounter.getCPtr(dayCounter), QuoteHandle.getCPtr(convexityAdjustment), (int)type), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public FuturesRateHelper(double price, Date iborStartDate, uint nMonths, Calendar calendar, BusinessDayConvention convention, bool endOfMonth, DayCounter dayCounter, double convexityAdjustment, Futures.Type type) : this(NQuantLibcPINVOKE.new_FuturesRateHelper__SWIG_2(price, Date.getCPtr(iborStartDate), nMonths, Calendar.getCPtr(calendar), (int)convention, endOfMonth, DayCounter.getCPtr(dayCounter), convexityAdjustment, (int)type), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public FuturesRateHelper(double price, Date iborStartDate, IborIndex index, double convexityAdjustment, Futures.Type type) : this(NQuantLibcPINVOKE.new_FuturesRateHelper__SWIG_12(price, Date.getCPtr(iborStartDate), IborIndex.getCPtr(index), convexityAdjustment, (int)type), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}