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public clone ( Handle |
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| forwarding | Handle |
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| return | ||
public virtual SwapIndex clone(Handle <YieldTermStructure> forwarding)
{
if (exogenousDiscount_)
{
return(new SwapIndex(familyName(),
tenor(),
fixingDays(),
currency(),
fixingCalendar(),
fixedLegTenor(),
fixedLegConvention(),
dayCounter(),
iborIndex_.clone(forwarding),
discount_));
}
return(new SwapIndex(familyName(),
tenor(),
fixingDays(),
currency(),
fixingCalendar(),
fixedLegTenor(),
fixedLegConvention(),
dayCounter(),
iborIndex_.clone(forwarding)));
}
protected override void initializeDates()
{
// dummy ibor index with curve/swap arguments
IborIndex clonedIborIndex = iborIndex_.clone(termStructureHandle_);
// do not pass the spread here, as it might be a Quote i.e. it can dinamically change
swap_ = new MakeVanillaSwap(tenor_, clonedIborIndex, 0.0, fwdStart_)
.withFixedLegDayCount(fixedDayCount_)
.withFixedLegTenor(new Period(fixedFrequency_))
.withFixedLegConvention(fixedConvention_)
.withFixedLegTerminationDateConvention(fixedConvention_)
.withFixedLegCalendar(calendar_)
.withFloatingLegCalendar(calendar_);
earliestDate_ = swap_.startDate();
// Usually...
latestDate_ = swap_.maturityDate();
// ...but due to adjustments, the last floating coupon might
// need a later date for fixing
#if QL_USE_INDEXED_COUPON
FloatingRateCoupon lastFloating = (FloatingRateCoupon)swap_.floatingLeg()[swap_.floatingLeg().Count - 1];
Date fixingValueDate = iborIndex_.valueDate(lastFloating.fixingDate());
Date endValueDate = iborIndex_.maturityDate(fixingValueDate);
latestDate_ = Date.Max(latestDate_, endValueDate);
#endif
}