// calculate the last fixing date
private LocalDate calculateLastFixingDate(LocalDate valuationDate, ReferenceData refData)
{
SwapTrade trade = template.createTrade(valuationDate, BuySell.BUY, 1, 1, refData);
SwapLeg inflationLeg = trade.Product.getLegs(SwapLegType.INFLATION).get(0);
ResolvedSwapLeg inflationLegExpanded = inflationLeg.resolve(refData);
IList <SwapPaymentPeriod> periods = inflationLegExpanded.PaymentPeriods;
int nbPeriods = periods.Count;
RatePaymentPeriod lastPeriod = (RatePaymentPeriod)periods[nbPeriods - 1];
IList <RateAccrualPeriod> accruals = lastPeriod.AccrualPeriods;
int nbAccruals = accruals.Count;
RateAccrualPeriod lastAccrual = accruals[nbAccruals - 1];
if (lastAccrual.RateComputation is InflationMonthlyRateComputation)
{
return(((InflationMonthlyRateComputation)lastAccrual.RateComputation).EndObservation.FixingMonth.atEndOfMonth());
}
if (lastAccrual.RateComputation is InflationInterpolatedRateComputation)
{
return(((InflationInterpolatedRateComputation)lastAccrual.RateComputation).EndSecondObservation.FixingMonth.atEndOfMonth());
}
if (lastAccrual.RateComputation is InflationEndMonthRateComputation)
{
return(((InflationEndMonthRateComputation)lastAccrual.RateComputation).EndObservation.FixingMonth.atEndOfMonth());
}
if (lastAccrual.RateComputation is InflationEndInterpolatedRateComputation)
{
return(((InflationEndInterpolatedRateComputation)lastAccrual.RateComputation).EndSecondObservation.FixingMonth.atEndOfMonth());
}
throw new System.ArgumentException("Rate computation type not supported for last fixing date of an inflation swap.");
}
// calculate the last fixing date
private LocalDate calculateLastFixingDate(LocalDate valuationDate, ReferenceData refData)
{
SwapTrade trade = template.createTrade(valuationDate, BuySell.BUY, 1, 1, refData);
SwapLeg iborLeg = trade.Product.getLegs(SwapLegType.IBOR).get(0);
ResolvedSwapLeg iborLegExpanded = iborLeg.resolve(refData);
IList <SwapPaymentPeriod> periods = iborLegExpanded.PaymentPeriods;
int nbPeriods = periods.Count;
RatePaymentPeriod lastPeriod = (RatePaymentPeriod)periods[nbPeriods - 1];
IList <RateAccrualPeriod> accruals = lastPeriod.AccrualPeriods;
int nbAccruals = accruals.Count;
IborRateComputation ibor = (IborRateComputation)accruals[nbAccruals - 1].RateComputation;
return(ibor.FixingDate);
}