/// <summary>
/// Initializes a new instance of the <see cref="PriceableSimpleFra"/> class.
/// This is a special case for use with the factry for bootstrapping, as it
/// uses no calendar logic. This is done by the factory.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">A special class containing all salient data required.</param>
/// <param name="fixingCalendar">The fixing calendar.</param>
/// <param name="paymentCalendar">The payment calendar.></param>
/// <param name="notional">The notional. The default value is 1.00m.</param>
/// <param name="normalisedRate">Thhhe fixed rate as a decimal contained in a basic quotation.</param>
public PriceableSimpleFra(DateTime baseDate, SimpleFraNodeStruct nodeStruct, IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar, Decimal notional, BasicQuotation normalisedRate)
: base(nodeStruct.SimpleFra.id, baseDate, notional, nodeStruct.BusinessDayAdjustments, normalisedRate)
{
SimpleFra = nodeStruct.SimpleFra;
FixingDateOffset = nodeStruct.SpotDate;
UnderlyingRateIndex = nodeStruct.RateIndex;
SpotDate = GetSpotDate(baseDate, fixingCalendar, nodeStruct.SpotDate);
AdjustedStartDate = GetEffectiveDate(SpotDate, paymentCalendar, nodeStruct.SimpleFra.startTerm, nodeStruct.BusinessDayAdjustments.businessDayConvention);//GetSpotDate();
RiskMaturityDate = GetEffectiveDate(SpotDate, paymentCalendar, nodeStruct.SimpleFra.endTerm, nodeStruct.BusinessDayAdjustments.businessDayConvention);
YearFraction = GetYearFraction(SimpleFra.dayCountFraction.Value, AdjustedStartDate, RiskMaturityDate);
TimeToExpiry = GetTimeToMaturity(baseDate, RiskMaturityDate);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableSpreadFra"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">The nodeStruct.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="underlyingRateIndex">The underlying rate index.</param>
/// <param name="spread">The spread.</param>
/// <param name="paymentCalendar">A paymentCalendar.</param>
public PriceableSpreadFra(DateTime baseDate, SimpleFraNodeStruct nodeStruct, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar,
RateIndex underlyingRateIndex, BasicQuotation spread)
: base(baseDate, nodeStruct.BusinessDayAdjustments, spread)
{
Id = nodeStruct.SimpleFra.id;
SimpleFra = nodeStruct.SimpleFra;
FixingDateOffset = nodeStruct.SpotDate;
UnderlyingRateIndex = underlyingRateIndex;
AdjustedStartDate = GetSpotDate(baseDate, fixingCalendar, nodeStruct.SpotDate);
AdjustedEffectiveDate = GetEffectiveDate(AdjustedStartDate, paymentCalendar, nodeStruct.SimpleFra.startTerm, nodeStruct.BusinessDayAdjustments.businessDayConvention);
RiskMaturityDate = GetEffectiveDate(AdjustedStartDate, paymentCalendar, nodeStruct.SimpleFra.endTerm, nodeStruct.BusinessDayAdjustments.businessDayConvention);
YearFraction = GetYearFractions()[0];
TimeToExpiry = GetTimeToMaturity(baseDate, RiskMaturityDate);
SetSpread(spread);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableSimpleDiscountFra"/> class.
/// This is a special case for use with the factry for bootstrapping, as it
/// uses no calendar logic. This is done by the factory.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">A special class containing all salient data required.</param>
/// <param name="fixingCalendar">The fixing calendar.</param>
/// <param name="paymentCalendar">The payment calendar.></param>
/// <param name="notional">The notional. The default value is 1.00m.</param>
/// <param name="normalisedRate">Thhhe fixed rate as a decimal contained in a basic quotation.</param>
public PriceableSimpleDiscountFra(DateTime baseDate, SimpleFraNodeStruct nodeStruct, IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar, Decimal notional, BasicQuotation normalisedRate)
: base(baseDate, nodeStruct, fixingCalendar, paymentCalendar, notional, normalisedRate)
{
ModelIdentifier = "SimpleDiscountAsset";
}
