public SubPeriodsCoupon(Date paymentDate, double nominal, Date startDate, Date endDate,
InterestRateIndex index, Type type, BusinessDayConvention convention,
double spread = 0.0, DayCounter dayCounter = null, bool includeSpread = false, double gearing = 1.0)
: base(paymentDate, nominal, startDate, endDate, index.fixingDays(), index, gearing, spread, new Date(), new Date(), dayCounter, false)
{
_type = type;
_includeSpread = includeSpread;
// Populate the value dates.
Schedule sch = new MakeSchedule()
.from(startDate)
.to(endDate)
.withTenor(index.tenor())
.withCalendar(index.fixingCalendar())
.withConvention(convention)
.withTerminationDateConvention(convention)
.backwards().value();
_valueDates = sch.dates();
Utils.QL_REQUIRE(_valueDates.Count >= 2, () => "Degenerate schedule.");
// Populate the fixing dates.
_numPeriods = _valueDates.Count - 1;
if (index.fixingDays() == 0)
{
_fixingDates = new List <Date> {
_valueDates.First(), _valueDates.Last() - 1
};
}
else
{
_fixingDates.Resize(_numPeriods);
for (int i = 0; i < _numPeriods; ++i)
{
_fixingDates[i] = index.fixingDate(_valueDates[i]);
}
}
// Populate the accrual periods.
_accrualFractions.Resize(_numPeriods);
for (int i = 0; i < _numPeriods; ++i)
{
_accrualFractions[i] = dayCounter.yearFraction(_valueDates[i], _valueDates[i + 1]);
}
}
