public DatedOISRateHelper(Date startDate,
Date endDate,
Handle <Quote> fixedRate,
OvernightIndex overnightIndex)
: base(fixedRate)
{
overnightIndex.registerWith(update);
// dummy OvernightIndex with curve/swap arguments
// review here
IborIndex clonedIborIndex = overnightIndex.clone(termStructureHandle_);
OvernightIndex clonedOvernightIndex = clonedIborIndex as OvernightIndex;
swap_ = new MakeOIS(new Period(), clonedOvernightIndex, 0.0)
.withEffectiveDate(startDate)
.withTerminationDate(endDate)
.withDiscountingTermStructure(termStructureHandle_);
earliestDate_ = swap_.startDate();
latestDate_ = swap_.maturityDate();
}
public override double swapletRate()
{
OvernightIndex index = coupon_.index() as OvernightIndex;
List <Date> fixingDates = coupon_.fixingDates();
List <double> dt = coupon_.dt();
int n = dt.Count;
int i = 0;
double compoundFactor = 1.0;
// already fixed part
Date today = Settings.Instance.evaluationDate();
while (fixingDates[i] < today && i < n)
{
// rate must have been fixed
double?pastFixing = IndexManager.Instance.getHistory(index.name())[fixingDates[i]];
Utils.QL_REQUIRE(pastFixing != null, () => "Missing " + index.name() + " fixing for " + fixingDates[i].ToString());
compoundFactor *= (1.0 + pastFixing.GetValueOrDefault() * dt[i]);
++i;
}
// today is a border case
if (fixingDates[i] == today && i < n)
{
// might have been fixed
try
{
double?pastFixing = IndexManager.Instance.getHistory(index.name())[fixingDates[i]];
if (pastFixing != null)
{
compoundFactor *= (1.0 + pastFixing.GetValueOrDefault() * dt[i]);
++i;
}
else
{
// fall through and forecast
}
}
catch (Exception)
{
// fall through and forecast
}
}
// forward part using telescopic property in order
// to avoid the evaluation of multiple forward fixings
if (i < n)
{
Handle <YieldTermStructure> curve = index.forwardingTermStructure();
Utils.QL_REQUIRE(!curve.empty(), () => "null term structure set to this instance of" + index.name());
List <Date> dates = coupon_.valueDates();
double startDiscount = curve.link.discount(dates[i]);
double endDiscount = curve.link.discount(dates[n]);
compoundFactor *= startDiscount / endDiscount;
}
double rate = (compoundFactor - 1.0) / coupon_.accrualPeriod();
return(coupon_.gearing() * rate + coupon_.spread());
}
public OvernightLeg(Schedule schedule, OvernightIndex overnightIndex)
{
schedule_ = schedule;
overnightIndex_ = overnightIndex;
paymentAdjustment_ = BusinessDayConvention.Following;
}
