public MakeBasisSwap(Period swapTenor, IborIndex index1, IborIndex index2, Period forwardStart) { swapTenor_ = swapTenor; iborIndex1_ = index1; iborIndex2_ = index2; forwardStart_ = forwardStart; effectiveDate_ = null; float1Calendar_ = float2Calendar_ = index1.fixingCalendar(); type_ = BasisSwap.Type.Payer; nominal_ = 1.0; float1Tenor_ = index1.tenor(); float2Tenor_ = index2.tenor(); float1Convention_ = float1TerminationDateConvention_ = index1.businessDayConvention(); float2Convention_ = float2TerminationDateConvention_ = index2.businessDayConvention(); float1Rule_ = float2Rule_ = DateGeneration.Rule.Backward; float1EndOfMonth_ = float2EndOfMonth_ = false; float1FirstDate_ = float1NextToLastDate_ = float2FirstDate_ = float2NextToLastDate_ = null; float1Spread_ = float2Spread_ = 0.0; float1DayCount_ = index1.dayCounter(); float2DayCount_ = index2.dayCounter(); engine_ = new DiscountingBasisSwapEngine(index1.forwardingTermStructure(), index2.forwardingTermStructure()); }
public MakeBasisSwap withType(BasisSwap.Type type) { type_ = type; return this; }
public MakeBasisSwap receiveFixed(bool flag) { type_ = flag ? BasisSwap.Type.Receiver : BasisSwap.Type.Payer; return this; }
public MakeBasisSwap withType(BasisSwap.Type type) { type_ = type; return(this); }
public MakeBasisSwap receiveFixed(bool flag) { type_ = flag ? BasisSwap.Type.Receiver : BasisSwap.Type.Payer; return(this); }