public OvernightIndexedSwap(Type type,
double fixedNominal,
Schedule fixedSchedule,
double fixedRate,
DayCounter fixedDC,
double overnightNominal,
Schedule overnightSchedule,
OvernightIndex overnightIndex,
double spread) :
base(2)
{
type_ = type;
fixedNominal_ = fixedNominal;
overnightNominal_ = overnightNominal;
fixedPaymentFrequency_ = fixedSchedule.tenor().frequency();
overnightPaymentFrequency_ = overnightSchedule.tenor().frequency();
fixedRate_ = fixedRate;
fixedDC_ = fixedDC;
overnightIndex_ = overnightIndex;
spread_ = spread;
if (fixedDC_ == null)
{
fixedDC_ = overnightIndex_.dayCounter();
}
legs_[0] = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate_, fixedDC_)
.withNotionals(fixedNominal_);
legs_[1] = new OvernightLeg(overnightSchedule, overnightIndex_)
.withNotionals(overnightNominal_)
.withSpreads(spread_);
for (int j = 0; j < 2; ++j)
{
for (int i = 0; i < legs_[j].Count; i++)
{
legs_[j][i].registerWith(update);
}
}
switch (type_)
{
case Type.Payer:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
case Type.Receiver:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
default:
Utils.QL_FAIL("Unknown overnight-swap type");
break;
}
}
public OvernightIndexedSwap(Type type,
double nominal,
Schedule schedule,
double fixedRate,
DayCounter fixedDC,
OvernightIndex overnightIndex,
double spread) :
base(2)
{
type_= type;
nominal_ = nominal;
paymentFrequency_ = schedule.tenor().frequency();
fixedRate_ = fixedRate;
fixedDC_ = fixedDC;
overnightIndex_ = overnightIndex;
spread_ = spread;
if (fixedDC_== null)
fixedDC_ = overnightIndex_.dayCounter();
legs_[0] = new FixedRateLeg(schedule)
.withCouponRates(fixedRate_, fixedDC_)
.withNotionals(nominal_);
legs_[1] = new OvernightLeg(schedule, overnightIndex_)
.withNotionals(nominal_)
.withSpreads(spread_);
for (int j = 0; j < 2; ++j)
{
for (int i = 0; i < legs_[j].Count; i++)
legs_[j][i].registerWith(update);
}
switch (type_)
{
case Type.Payer:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
case Type.Receiver:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
default:
throw new ApplicationException("Unknown overnight-swap type");
}
}
