//------------------------------------------------------------------------- /// <summary> /// Creates an Ibor cap/floor leg. /// <para> /// The Ibor index should be {@code EUR_EURIBOR_3M} or {@code EUR_EURIBOR_6M} to match the availability of the curve /// data in <seealso cref="IborCapletFloorletDataSet"/>. /// /// </para> /// </summary> /// <param name="index"> the index </param> /// <param name="startDate"> the start date </param> /// <param name="endDate"> the end date </param> /// <param name="strikeSchedule"> the strike </param> /// <param name="notionalSchedule"> the notional </param> /// <param name="putCall"> cap or floor </param> /// <param name="payRec"> pay or receive </param> /// <returns> the instance </returns> public static ResolvedIborCapFloorLeg createCapFloorLeg(IborIndex index, LocalDate startDate, LocalDate endDate, ValueSchedule strikeSchedule, ValueSchedule notionalSchedule, PutCall putCall, PayReceive payRec) { IborCapFloorLeg leg = createCapFloorLegUnresolved(index, startDate, endDate, strikeSchedule, notionalSchedule, putCall, payRec); return(leg.resolve(REF_DATA)); }
/// <summary> /// Creates an Ibor cap/floor leg. /// <para> /// The Ibor index should be {@code EUR_EURIBOR_3M} or {@code EUR_EURIBOR_6M} to match the availability of the curve /// data in <seealso cref="IborCapletFloorletDataSet"/>. /// /// </para> /// </summary> /// <param name="index"> the index </param> /// <param name="startDate"> the start date </param> /// <param name="endDate"> the end date </param> /// <param name="strikeSchedule"> the strike </param> /// <param name="notionalSchedule"> the notional </param> /// <param name="putCall"> cap or floor </param> /// <param name="payRec"> pay or receive </param> /// <returns> the instance </returns> public static IborCapFloorLeg createCapFloorLegUnresolved(IborIndex index, LocalDate startDate, LocalDate endDate, ValueSchedule strikeSchedule, ValueSchedule notionalSchedule, PutCall putCall, PayReceive payRec) { Frequency frequency = Frequency.of(index.Tenor.Period); PeriodicSchedule paySchedule = PeriodicSchedule.of(startDate, endDate, frequency, BUSINESS_ADJ, StubConvention.NONE, RollConventions.NONE); IborRateCalculation rateCalculation = IborRateCalculation.of(index); if (putCall.Call) { return(IborCapFloorLeg.builder().calculation(rateCalculation).capSchedule(strikeSchedule).notional(notionalSchedule).paymentSchedule(paySchedule).payReceive(payRec).build()); } return(IborCapFloorLeg.builder().calculation(rateCalculation).floorSchedule(strikeSchedule).notional(notionalSchedule).paymentSchedule(paySchedule).payReceive(payRec).build()); }
public virtual double priceVega(double expiry, double tenor, PutCall putCall, double strike, double forward, double volatility) { throw new System.NotSupportedException(); }