public void Init()
{
Frequency resetFrequency;
string rollDay;
switch (ScheduleType)
{
case CdsScheduleType.Basic:
resetFrequency = new Frequency(3, DatePeriodType.M);
rollDay = "Termination";
break;
case CdsScheduleType.DualStubs:
case CdsScheduleType.Imm3M:
resetFrequency = new Frequency(3, DatePeriodType.M);
rollDay = "IMM";
break;
case CdsScheduleType.Imm6M:
resetFrequency = new Frequency(6, DatePeriodType.M);
rollDay = "IMM";
break;
default:
throw new Exception("Unable to handle CDS schedule type");
}
FixedLeg = new GenericSwapLeg(OriginDate, Tenor, HolidayCalendar, Currency, resetFrequency, Basis)
{
RollDay = rollDay,
Nominal = (decimal)Notional
};
FixedSchedule = FixedLeg.GenerateSchedule();
}
public CDS()
{
FixedLeg = new GenericSwapLeg(OriginDate, Tenor, HolidayCalendar, Currency, new Frequency("1m"), Basis)
{
RollDay = "IMM"
};
FixedSchedule = FixedLeg.GenerateSchedule();
}
