public override string name()
{
string res = familyName_;
if (tenor_ == new Period(1, TimeUnit.Days))
{
if (fixingDays_ == 0)
{
res += "ON";
}
else if (fixingDays_ == 1)
{
res += "TN";
}
else if (fixingDays_ == 2)
{
res += "SN";
}
else
{
res += tenor_.ToShortString();
}
}
else
{
res += tenor_.ToShortString();
}
res = res + " " + dayCounter_.name();
return(res);
}
public virtual string name()
{
if (empty())
{
return("No implementation provided");
}
return(dayCounter_.name());
}
protected InterestRateIndex(string familyName,
Period tenor,
int fixingDays,
Currency currency,
Calendar fixingCalendar,
DayCounter dayCounter)
{
familyName_ = familyName;
tenor_ = tenor;
fixingDays_ = fixingDays;
currency_ = currency;
dayCounter_ = dayCounter;
fixingCalendar_ = fixingCalendar;
tenor_.normalize();
string res = familyName_;
if (tenor_ == new Period(1, TimeUnit.Days))
{
if (fixingDays_ == 0)
{
res += "ON";
}
else if (fixingDays_ == 1)
{
res += "TN";
}
else if (fixingDays_ == 2)
{
res += "SN";
}
else
{
res += tenor_.ToShortString();
}
}
else
{
res += tenor_.ToShortString();
}
res = res + " " + dayCounter_.name();
name_ = res;
Settings.registerWith(update);
// recheck
IndexManager.instance().notifier(name()).registerWith(update);
}
public IborCoupon(Date paymentDate,
double nominal,
Date startDate,
Date endDate,
int fixingDays,
IborIndex iborIndex,
double gearing = 1.0,
double spread = 0.0,
Date refPeriodStart = null,
Date refPeriodEnd = null,
DayCounter dayCounter = null,
bool isInArrears = false) :
base(paymentDate, nominal, startDate, endDate, fixingDays, iborIndex, gearing, spread,
refPeriodStart, refPeriodEnd, dayCounter, isInArrears)
{
iborIndex_ = iborIndex;
fixingDate_ = fixingDate();
Calendar fixingCalendar = index_.fixingCalendar();
int indexFixingDays = index_.fixingDays();
fixingValueDate_ = fixingCalendar.advance(fixingDate_, indexFixingDays, TimeUnit.Days);
#if QL_USE_INDEXED_COUPON
fixingEndDate_ = index_->maturityDate(fixingValueDate_);
#else
if (isInArrears_)
{
fixingEndDate_ = index_.maturityDate(fixingValueDate_);
}
else
{
// par coupon approximation
Date nextFixingDate = fixingCalendar.advance(accrualEndDate_, -fixingDays_, TimeUnit.Days);
fixingEndDate_ = fixingCalendar.advance(nextFixingDate, indexFixingDays, TimeUnit.Days);
}
#endif
DayCounter dc = index_.dayCounter();
spanningTime_ = dc.yearFraction(fixingValueDate_, fixingEndDate_);
Utils.QL_REQUIRE(spanningTime_ > 0.0, () =>
"\n cannot calculate forward rate between " +
fixingValueDate_ + " and " + fixingEndDate_ +
":\n non positive time (" + spanningTime_ +
") using " + dc.name() + " daycounter");
}