public override QLNet.CashFlow build_ql_cf(FP_Parameter fp_parameter)
{
double notional = this.DAO_.NOTIONAL;
QLNet.Date paymentDate = this.PaymentDate_;
string index_cd = this.DAO_.FIXING_INDEX_CD;
QLNet.DayCounter dayCounter = new QLNet.Actual365Fixed();
QLNet.YieldTermStructure ql_yield_ts = fp_parameter.getEvaluationCurve(index_cd);
QLNet.Date accrualStartDate = this.CalculationStartDate_;
QLNet.Date accrualEndDate = this.CalculationEndDate_;
double forwardRate = 0.0;
DateTime fixingDate = ConvertingTool.ToDateTime(this.DAO_.FIXING_DT);
if (fp_parameter.CalcDate_ >= fixingDate)
{
if (this.DAO_.FIXED_FIXING_CALCLATED
== (int)clsMAST_CF_VANILLA_FLOATING_TB.FIXED_FIXING_CALCLATED_Type.NOT_FIXED)
{
this.fixing_calulate(fp_parameter.CalcDate_);
}
// 계산함.
forwardRate = this.DAO_.FIXED_FIXING;
}
else
{
forwardRate = ql_yield_ts.forwardRate(accrualStartDate,
accrualEndDate,
dayCounter,
QLNet.Compounding.Compounded).rate();
}
QLNet.CashFlow ql_cf
= new QLNet.FixedRateCoupon(
notional,
paymentDate,
forwardRate,
dayCounter,
accrualStartDate,
accrualEndDate);
return ql_cf;
}
// ql_net calculation interface
public override QLNet.CashFlow build_ql_cf(FP_Parameter fp_parameter)
{
double notional = this.DAO_.NOTIONAL;
QLNet.Date paymentDate = this.PaymentDate_;
double rate = this.DAO_.FIXED_RATE;
QLNet.DayCounter dayCounter = new QLNet.Actual365Fixed();
QLNet.Date accrualStartDate = this.CalculationStartDate_;
QLNet.Date accrualEndDate = this.CalculationEndDate_;
QLNet.CashFlow ql_cf
= new QLNet.FixedRateCoupon(
notional,
paymentDate,
rate,
dayCounter,
accrualStartDate,
accrualEndDate);
return ql_cf;
}
