| public abstract dayCounter ( ) : QLNet.DayCounter | ||
| return | QLNet.DayCounter | |
private static double aggregateRate(Leg leg, CashFlow cf)
{
if (cf == null)
{
return(0.0);
}
Date paymentDate = cf.date();
bool firstCouponFound = false;
double nominal = 0.0;
double accrualPeriod = 0.0;
DayCounter dc = null;
double result = 0.0;
foreach (CashFlow x in leg.Where(x => x.date() == paymentDate))
{
Coupon cp = x as Coupon;
if (cp != null)
{
if (firstCouponFound)
{
Utils.QL_REQUIRE(nominal.IsEqual(cp.nominal()) &&
accrualPeriod.IsEqual(cp.accrualPeriod()) &&
dc == cp.dayCounter(), () =>
"cannot aggregate two different coupons on "
+ paymentDate);
}
else
{
firstCouponFound = true;
nominal = cp.nominal();
accrualPeriod = cp.accrualPeriod();
dc = cp.dayCounter();
}
result += cp.rate();
}
}
Utils.QL_REQUIRE(firstCouponFound, () => "no coupon paid at cashflow date " + paymentDate);
return(result);
}
private static double couponRate(List <CashFlow> leg, CashFlow cf)
{
if (cf == null)
{
return(0.0);
}
Date paymentDate = cf.date();
bool firstCouponFound = false;
double nominal = 0;
double accrualPeriod = 0;
DayCounter dc = null;
double result = 0.0;
foreach (CashFlow x in leg.Where(x => x.date() == paymentDate))
{
Coupon cp = x as Coupon;
if (cp != null)
{
if (firstCouponFound)
{
if (!(nominal == cp.nominal() && accrualPeriod == cp.accrualPeriod() && dc == cp.dayCounter()))
{
throw new ApplicationException("cannot aggregate two different coupons on " + paymentDate);
}
}
else
{
firstCouponFound = true;
nominal = cp.nominal();
accrualPeriod = cp.accrualPeriod();
dc = cp.dayCounter();
}
result += cp.rate();
}
}
if (!firstCouponFound)
{
throw new ApplicationException("next cashflow (" + paymentDate + ") is not a coupon");
}
return(result);
}
public double accruedAmount(Date settlement)
{
if (settlement == null)
{
settlement = settlementDate();
}
CashFlow cf = CashFlows.nextCashFlow(cashflows_, false, settlement);
if (cf == cashflows_.Last())
{
return(0.0);
}
Date paymentDate = cf.date();
bool firstCouponFound = false;
double nominal = 0;
double accrualPeriod = 0;
DayCounter dc = null;
double result = 0.0;
foreach (CashFlow x in cashflows_.FindAll(x => x.date() == paymentDate && x.GetType().IsSubclassOf(typeof(Coupon))))
{
Coupon cp = (Coupon)x;
if (firstCouponFound)
{
if (!(nominal == cp.nominal() && accrualPeriod == cp.accrualPeriod() && dc == cp.dayCounter()))
{
throw new ApplicationException("cannot aggregate accrued amount of two different coupons on " + paymentDate);
}
}
else
{
firstCouponFound = true;
nominal = cp.nominal();
accrualPeriod = cp.accrualPeriod();
dc = cp.dayCounter();
}
result += cp.accruedAmount(settlement);
}
return(result / notional(settlement) * 100.0);
}