public CappedFlooredCoupon(FloatingRateCoupon underlying) : this(NQuantLibcPINVOKE.new_CappedFlooredCoupon__SWIG_2(FloatingRateCoupon.getCPtr(underlying)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
protected override void initializeDates()
{
// do not pass the spread here, as it might be a Quote i.e. it can dinamically change
// input discount curve Handle might be empty now but it could be assigned a curve later;
// use a RelinkableHandle here
swap_ = new MakeVanillaSwap(tenor_, iborIndex_, 0.0, fwdStart_)
.withSettlementDays(settlementDays_.Value)
.withDiscountingTermStructure(discountRelinkableHandle_)
.withFixedLegDayCount(fixedDayCount_)
.withFixedLegTenor(new Period(fixedFrequency_))
.withFixedLegConvention(fixedConvention_)
.withFixedLegTerminationDateConvention(fixedConvention_)
.withFixedLegCalendar(calendar_)
.withFloatingLegCalendar(calendar_);
earliestDate_ = swap_.startDate();
// Usually...
maturityDate_ = latestRelevantDate_ = swap_.maturityDate();
// ...but due to adjustments, the last floating coupon might
// need a later date for fixing
#if QL_USE_INDEXED_COUPON
FloatingRateCoupon lastCoupon = (FloatingRateCoupon)swap_.floatingLeg()[swap_.floatingLeg().Count - 1];
Date fixingValueDate = iborIndex_.valueDate(lastFloating.fixingDate());
Date endValueDate = iborIndex_.maturityDate(fixingValueDate);
latestDate_ = Date.Max(latestDate_, endValueDate);
#endif
switch (pillarChoice_)
{
case Pillar.Choice.MaturityDate:
pillarDate_ = maturityDate_;
break;
case Pillar.Choice.LastRelevantDate:
pillarDate_ = latestRelevantDate_;
break;
case Pillar.Choice.CustomDate:
// pillarDate_ already assigned at construction time
Utils.QL_REQUIRE(pillarDate_ >= earliestDate_, () =>
"pillar date (" + pillarDate_ + ") must be later " +
"than or equal to the instrument's earliest date (" +
earliestDate_ + ")");
Utils.QL_REQUIRE(pillarDate_ <= latestRelevantDate_, () =>
"pillar date (" + pillarDate_ + ") must be before " +
"or equal to the instrument's latest relevant date (" +
latestRelevantDate_ + ")");
break;
default:
Utils.QL_FAIL("unknown Pillar::Choice(" + pillarChoice_ + ")");
break;
}
latestDate_ = pillarDate_; // backward compatibility
}
public static FloatingRateCoupon as_floating_rate_coupon(CashFlow cf)
{
FloatingRateCoupon ret = new FloatingRateCoupon(NQuantLibcPINVOKE.as_floating_rate_coupon(CashFlow.getCPtr(cf)), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public void testAccessViolation()
{
// Testing dynamic cast of coupon in Black pricer...
SavedSettings backup = new SavedSettings();
Date todaysDate = new Date(7, Month.April, 2010);
Date settlementDate = new Date(9, Month.April, 2010);
Settings.setEvaluationDate(todaysDate);
Calendar calendar = new TARGET();
Handle <YieldTermStructure> rhTermStructure = new Handle <YieldTermStructure>(
Utilities.flatRate(settlementDate, 0.04875825, new Actual365Fixed()));
double volatility = 0.10;
Handle <OptionletVolatilityStructure> vol = new Handle <OptionletVolatilityStructure>(
new ConstantOptionletVolatility(2,
calendar,
BusinessDayConvention.ModifiedFollowing,
volatility,
new Actual365Fixed()));
IborIndex index3m = new USDLibor(new Period(3, TimeUnit.Months), rhTermStructure);
Date payDate = new Date(20, Month.December, 2013);
Date startDate = new Date(20, Month.September, 2013);
Date endDate = new Date(20, Month.December, 2013);
double spread = 0.0115;
IborCouponPricer pricer = new BlackIborCouponPricer(vol);
FloatingRateCoupon coupon = new FloatingRateCoupon(100, payDate, startDate, endDate, 2,
index3m, 1.0, spread / 100);
coupon.setPricer(pricer);
try
{
// this caused an access violation in version 1.0
coupon.amount();
}
catch (Exception)
{
// ok; proper exception thrown
}
}
public CappedFlooredCoupon(FloatingRateCoupon underlying, double?cap = null, double?floor = null)
: base(underlying.date(), underlying.nominal(), underlying.accrualStartDate(), underlying.accrualEndDate(), underlying.fixingDays, underlying.index(), underlying.gearing(), underlying.spread(), underlying.referencePeriodStart, underlying.referencePeriodEnd, underlying.dayCounter(), underlying.isInArrears())
{
underlying_ = underlying;
isCapped_ = false;
isFloored_ = false;
if (gearing_ > 0)
{
if (cap != null)
{
isCapped_ = true;
cap_ = cap;
}
if (floor != null)
{
floor_ = floor;
isFloored_ = true;
}
}
else
{
if (cap != null)
{
floor_ = cap;
isFloored_ = true;
}
if (floor != null)
{
isCapped_ = true;
cap_ = floor;
}
}
if (isCapped_ && isFloored_)
{
Utils.QL_REQUIRE(cap >= floor, () =>
"cap level (" + cap + ") less than floor level (" + floor + ")");
}
underlying.registerWith(update);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(FloatingRateCoupon obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public void BuildCube(Portfolio portfolio, List <ValuationCalculator> calculators)
{
QLNet.Utils.QL_REQUIRE(portfolio.Size() > 0, () => "ValuationEngine: Error portfolio is empty");
ObservationMode.Mode om = ObservationMode.Mode.Disable;
double updateTime = 0.0;
double pricingTime = 0.0;
double fixingTime = 0.0;
int samples = 1;
List <Date> dates = _dg.Dates();
List <Trade> trades = portfolio.Trades();
int numFRC = 0;
// initialise state objects for each trade (required for path-dependent derivatives in particular)
for (int i = 0; i < trades.Count; i++)
{
QLNet.Utils.QL_REQUIRE(trades[i].NpvCurrency() != "", () => "NPV currency not set for trade " + trades[i].Id());
//DLOG("Initialise wrapper for trade " << trades[i]->id());
trades[i].Instrument();// ->initialise(dates);
// T0 values
foreach (var calc in calculators)
{
calc.CalculateT0(trades[i], i, _simMarket); //, outputCube);
}
// TODO: Fix me!
if (om == ObservationMode.Mode.Unregister)
{
foreach (var leg in trades[i].Legs())
{
for (int n = 0; n < leg.Count; n++)
{
FloatingRateCoupon frc = leg[n] as FloatingRateCoupon;
if (frc != null)
{
//frc.unregisterWith(frc.index());
//trades[i]->instrument()->qlInstrument()->unregisterWith(frc);
//// Unregister with eval dates
//frc->unregisterWith(Settings::instance().evaluationDate());
//frc->index()->unregisterWith(Settings::instance().evaluationDate());
//trades[i]->instrument()->qlInstrument()->unregisterWith(Settings::instance().evaluationDate());
}
}
}
}
}
// LOG("Total number of swaps = " << portfolio->size());
// LOG("Total number of FRC = " << numFRC);
// simMarket_->fixingManager()->initialise(portfolio);
Stopwatch timer = new Stopwatch();
Stopwatch loopTimer = new Stopwatch();
// We call Cube::samples() each time her to allow for dynamic stopping times
// e.g. MC convergence tests
for (int sample = 0; sample < samples; ++sample)
{
//updateProgress(sample, outputCube->samples());
foreach (var trade in trades)
{
//trade.Instrument().Reset();
}
// loop over Dates
for (int i = 0; i < dates.Count; ++i)
{
Date d = dates[i];
timer.Start();
//simMarket_->update(d);
// recalibrate models
//foreach (var b in modelBuilders_)
//{
// if (om == ObservationMode::Mode::Disable)
// {
// b.second->recalculate();
// }
// b.second->recalibrate();
//}
updateTime += timer.ElapsedMilliseconds / 1000.0;
// loop over trades
timer.Restart();
for (int j = 0; j < trades.Count; ++j)
{
var trade = trades[j];
// We can avoid checking mode here and always call updateQlInstruments()
if (om == ObservationMode.Mode.Disable)
{
trade.Instrument().update(); // ->updateQlInstruments();
}
foreach (var calc in calculators)
{
calc.Calculate(trade, j, _simMarket, d, i); //, outputCube, d, i, sample);
}
}
pricingTime += timer.ElapsedMilliseconds / 1000.0;
}
timer.Restart();
//simMarket_->fixingManager()->reset();
fixingTime += timer.ElapsedMilliseconds / 1000.0;
}
//simMarket_->reset();
//updateProgress(outputCube->samples(), outputCube->samples());
//LOG("ValuationEngine completed: loop " << setprecision(2) << loopTimer.elapsed() << " sec, "
// << "pricing " << pricingTime << " sec, "
// << "update " << updateTime << " sec "
// << "fixing " << fixingTime);
}
public CappedFlooredCoupon(FloatingRateCoupon underlying) : this(NQuantLibcPINVOKE.new_CappedFlooredCoupon__SWIG_2(FloatingRateCoupon.getCPtr(underlying)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(FloatingRateCoupon obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
public static FloatingRateCoupon as_floating_rate_coupon(CashFlow cf) {
FloatingRateCoupon ret = new FloatingRateCoupon(NQuantLibcPINVOKE.as_floating_rate_coupon(CashFlow.getCPtr(cf)), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
