public RendistatoCalculator(RendistatoBasket basket, Euribor euriborIndex, Handle <YieldTermStructure> discountCurve)
{
basket_ = basket;
euriborIndex_ = euriborIndex;
discountCurve_ = discountCurve;
yields_ = new InitializedList <double>(basket_.size(), 0.05);
durations_ = new List <double>(basket_.size());
nSwaps_ = 15; // TODO: generalize number of swaps and their lenghts
swaps_ = new List <VanillaSwap>(nSwaps_);
swapLenghts_ = new List <double>(nSwaps_);
swapBondDurations_ = new InitializedList <double?>(nSwaps_, null);
swapBondYields_ = new InitializedList <double?>(nSwaps_, 0.05);
swapRates_ = new InitializedList <double?>(nSwaps_, null);
basket_.registerWith(update);
euriborIndex_.registerWith(update);
discountCurve_.registerWith(update);
double dummyRate = 0.05;
for (int i = 0; i < nSwaps_; ++i)
{
swapLenghts_[i] = (i + 1);
swaps_[i] = new MakeVanillaSwap(new Period((int)swapLenghts_[i], TimeUnit.Years),
euriborIndex_, dummyRate, new Period(1, TimeUnit.Days))
.withDiscountingTermStructure(discountCurve_);
}
}
public RendistatoCalculator(RendistatoBasket basket, Euribor euriborIndex, Handle<YieldTermStructure> discountCurve)
{
basket_ = basket;
euriborIndex_ = euriborIndex;
discountCurve_ = discountCurve;
yields_ = new InitializedList<double>(basket_.size(), 0.05);
durations_ = new List<double>(basket_.size());
nSwaps_ = 15; // TODO: generalize number of swaps and their lenghts
swaps_ = new List<VanillaSwap>(nSwaps_);
swapLenghts_ = new List<double>(nSwaps_);
swapBondDurations_ = new InitializedList<double?>(nSwaps_, null);
swapBondYields_ = new InitializedList<double?>(nSwaps_, 0.05);
swapRates_ = new InitializedList<double?>(nSwaps_, null);
basket_.registerWith(update);
euriborIndex_.registerWith(update);
discountCurve_.registerWith(update);
double dummyRate = 0.05;
for (int i=0; i<nSwaps_; ++i)
{
swapLenghts_[i] = (i+1);
swaps_[i] = new MakeVanillaSwap( new Period((int)swapLenghts_[i],TimeUnit.Years),
euriborIndex_, dummyRate, new Period(1,TimeUnit.Days))
.withDiscountingTermStructure(discountCurve_);
}
}