public void SetCalibrationDate(Date calibrationDate)
{
_floatLeg = SwapFactory.CreateFloatLeg(calibrationDate, _tenor, _index, _spread);
_fixedLeg = SwapFactory.CreateFixedLeg(calibrationDate, _tenor, _index, _fixedRate);
_floatLeg.SetValueDate(calibrationDate);
_fixedLeg.SetValueDate(calibrationDate);
_endDate = _floatLeg.GetCashflowDates(_index.Currency).Max();
var otherEndDate = _fixedLeg.GetCashflowDates(_index.Currency).Max();
if (_endDate < otherEndDate)
{
_endDate = otherEndDate;
}
}
public void SetCalibrationDate(Date calibrationDate)
{
_leg1 = SwapFactory.CreateFloatLeg(calibrationDate, _tenor, _leg1Index, _leg1Spread);
_leg2 = SwapFactory.CreateFloatLeg(calibrationDate, _tenor, _leg2Index, _leg2Spread);
_leg1.SetValueDate(calibrationDate);
_leg2.SetValueDate(calibrationDate);
_endDate = _leg1.GetCashflowDates(_leg1Index.Currency).Max();
var otherEndDate = _leg2.GetCashflowDates(_leg2Index.Currency).Max();
if (_endDate < otherEndDate)
{
_endDate = otherEndDate;
}
}
