public CDS(double Coupon, double notional, DateTime maturity, DateTime firstpaymentday, DateTime tradedate, DateTime formerpaymentday, string frequency, double recovery, int settlement, int Cashsettlement) { // Product Setup OMLib.Conventions.DayCount.Actual360 AccuralDCC = new OMLib.Conventions.DayCount.Actual360(); OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365(); Calendar calendar = new UnitedStates(); formerpaymentday = calendar.adjust(formerpaymentday, BusinessDayConvention.Following); int accrued = AccuralDCC.DayCount(formerpaymentday, calendar.adjust(tradedate, BusinessDayConvention.Following)) + 1; this.accruedday = accrued; this.marketvalue = new double(); this.accruedamt = notional * Coupon * accrued / 360; this.Notional = notional; this._payAccOnDefault = true; OMLib.Conventions.BusinessDayConvention convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, tradedate); this.tradedate = calendar.adjust(tradedate, BusinessDayConvention.ModifiedFollowing); /*convention.AdjustedDate;*/ this.Recovery = recovery; convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, firstpaymentday); this.firstpaymentdate = CdsAnalyticFactory.getNextIMMDate(tradedate); /*convention.AdjustedDate;*/ convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, formerpaymentday); this.formerpaymentdate = CdsAnalyticFactory.getPrevIMMDate(tradedate);//calendar.adjust(formerpaymentday,BusinessDayConvention.ModifiedFollowing); /*convention.AdjustedDate;*/ this.Maturity = maturity; this.PremiumRate = Coupon; this.Frequency = frequency; this.Cashsettlement = Cashsettlement; DateTime valueDate = calendar.adjust(tradedate.AddDays(Cashsettlement)); convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, tradedate.AddDays(3)); this.evalDate = calendar.adjust(tradedate.AddDays(settlement), BusinessDayConvention.ModifiedFollowing); /*convention.AdjustedDate;*/ this.Payment_Schedule = PremiumDates(this.Maturity, CdsAnalyticFactory.getNextIMMDate(tradedate), this.Frequency); QLNet.Calendar.OrthodoxImpl cal = new Calendar.OrthodoxImpl(); IsdaPremiumLegSchedule paymentSchedule = new IsdaPremiumLegSchedule(formerpaymentdate, maturity, payment_interval, StubConvention.SHORT_INITIAL, QLNet.BusinessDayConvention.ModifiedFollowing, cal, true); _coupons = CdsCoupon.makeCoupons(tradedate, paymentSchedule, true, ACT_360, ACT_365); OMLib.Conventions.DayCount.Actual365 CurveDCC = new OMLib.Conventions.DayCount.Actual365(); DateTime effectiveStartDate = tradedate; _accStart = DateTime.Compare(formerpaymentdate, tradedate) < 0 ?-CurveDCC.YearFraction(formerpaymentdate, tradedate) : CurveDCC.YearFraction(tradedate, formerpaymentdate); _cashSettlementTime = CurveDCC.YearFraction(tradedate, valueDate); _effectiveProtectionStart = DateTime.Compare(effectiveStartDate, tradedate) < 0 ? -CurveDCC.YearFraction(effectiveStartDate, tradedate) : CurveDCC.YearFraction(tradedate, effectiveStartDate); _protectionEnd = CurveDCC.YearFraction(tradedate, maturity); DateTime accStart = paymentSchedule.getAccStartDate(0); }
public List <DateTime> PremiumDates(DateTime maturity, DateTime firstpaymentdate, string freqency) { List <DateTime> date = new List <DateTime>(); DateTime t = firstpaymentdate; Calendar calendar = new UnitedStates(); date.Add(t); int i = 1; do { switch (freqency) { case "Monthly": t = firstpaymentdate.AddMonths(i); payment_interval = 1; break; case "Quarterly": t = firstpaymentdate.AddMonths(i * 3); payment_interval = 3; break; case "Semiyear": t = firstpaymentdate.AddMonths(i * 6); payment_interval = 6; break; case "Yearly": t = firstpaymentdate.AddMonths(i * 12); payment_interval = 12; break; default: break; } OMLib.Conventions.BusinessDayConvention convention = new OMLib.Conventions.BusinessDayConvention(Enums.BusinessDayConvention.ModifiedFollowing, t); t = calendar.adjust(t, BusinessDayConvention.ModifiedFollowing); date.Add(t /*convention.AdjustedDate;*/); i++; } while (DateTime.Compare(date[i - 1], maturity) < 0); return(date); }