Beispiel #1
0
        protected override void initializeDates()
        {
            earliestDate_ = calendar_.advance(evaluationDate_, new Period(settlementDays_, TimeUnit.Days),
                                              BusinessDayConvention.Following);

            Date maturity = earliestDate_ + tenor_;

            // dummy BMA index with curve/swap arguments
            BMAIndex clonedIndex = new BMAIndex(termStructureHandle_);

            Schedule bmaSchedule = new MakeSchedule().from(earliestDate_).to(maturity)
                                   .withTenor(bmaPeriod_)
                                   .withCalendar(bmaIndex_.fixingCalendar())
                                   .withConvention(bmaConvention_)
                                   .backwards()
                                   .value();

            Schedule liborSchedule = new MakeSchedule().from(earliestDate_).to(maturity)
                                     .withTenor(iborIndex_.tenor())
                                     .withCalendar(iborIndex_.fixingCalendar())
                                     .withConvention(iborIndex_.businessDayConvention())
                                     .endOfMonth(iborIndex_.endOfMonth())
                                     .backwards()
                                     .value();

            swap_ = new BMASwap(BMASwap.Type.Payer, 100.0, liborSchedule, 0.75,             // arbitrary
                                0.0, iborIndex_, iborIndex_.dayCounter(), bmaSchedule, clonedIndex, bmaDayCount_);
            swap_.setPricingEngine(new DiscountingSwapEngine(iborIndex_.forwardingTermStructure()));

            Date d             = calendar_.adjust(swap_.maturityDate(), BusinessDayConvention.Following);
            int  w             = d.weekday();
            Date nextWednesday = (w >= 4) ? d + new Period((11 - w), TimeUnit.Days) :
                                 d + new Period((4 - w), TimeUnit.Days);

            latestDate_ = clonedIndex.valueDate(clonedIndex.fixingCalendar().adjust(nextWednesday));
        }
Beispiel #2
0
        protected override void initializeDates()
        {
            earliestDate_ = calendar_.advance(evaluationDate_, new Period(settlementDays_, TimeUnit.Days),
                                              BusinessDayConvention.Following);

            Date maturity = earliestDate_ + tenor_;

            // dummy BMA index with curve/swap arguments
            BMAIndex clonedIndex = new BMAIndex(termStructureHandle_);

            Schedule bmaSchedule = new MakeSchedule().from(earliestDate_).to(maturity)
                          .withTenor(bmaPeriod_)
                          .withCalendar(bmaIndex_.fixingCalendar())
                          .withConvention(bmaConvention_)
                          .backwards()
                          .value();

            Schedule liborSchedule = new MakeSchedule().from(earliestDate_).to(maturity)
                          .withTenor(iborIndex_.tenor())
                          .withCalendar(iborIndex_.fixingCalendar())
                          .withConvention(iborIndex_.businessDayConvention())
                          .endOfMonth(iborIndex_.endOfMonth())
                          .backwards()
                          .value();

            swap_ = new BMASwap(BMASwap.Type.Payer, 100.0, liborSchedule, 0.75, // arbitrary
                                0.0, iborIndex_, iborIndex_.dayCounter(), bmaSchedule, clonedIndex, bmaDayCount_);
            swap_.setPricingEngine(new DiscountingSwapEngine(iborIndex_.forwardingTermStructure()));

            Date d = calendar_.adjust(swap_.maturityDate(), BusinessDayConvention.Following);
            int w = d.weekday();
            Date nextWednesday = (w >= 4) ? d + new Period((11 - w), TimeUnit.Days) :
                                            d + new Period((4 - w), TimeUnit.Days);
            latestDate_ = clonedIndex.valueDate(clonedIndex.fixingCalendar().adjust(nextWednesday));
        }