public IrSwap(FloatLeg floatLeg, FixedLeg fixedLeg, int tradeSign)
{
FloatLeg = floatLeg;
FixedLeg = fixedLeg;
if (tradeSign == 1 || tradeSign == -1)
{
TradeSign = tradeSign;
}
else
{
throw new InvalidOperationException("TradeSign has to be 1 (pay fixed) or -1 (pay float)");
}
}
public TenorBasisSwap(FloatLeg floatLegSpread, FloatLeg floatLegNoSpread, int tradeSign)
{
this.FloatLegNoSpread = floatLegNoSpread.Copy();
this.FloatLegSpread = floatLegSpread.Copy();
// Construct default FixedLeg - quick and dirty
FixedLeg tempFixedLeg = new FixedLeg(floatLegNoSpread.AsOf, floatLegSpread.StartDate, floatLegSpread.EndDate, 0.01, CurveTenor.Fwd1Y, DayCount.THIRTY360, DayRule.MF, floatLegSpread.Notional);
SwapSpread = new IrSwap(floatLegSpread, tempFixedLeg, tradeSign);
SwapNoSpread = new IrSwap(floatLegNoSpread, tempFixedLeg, -1 * tradeSign);
TradeSign = tradeSign;
CheckTradeSign();
ConstructedFromFloatingLegs = true;
}
public IrSwap(DateTime asOf, DateTime startDate, DateTime endDate, double fixedRate,
CurveTenor fixedFreq, CurveTenor floatFreq, DayCount fixedDayCount, DayCount floatDayCount,
DayRule fixedDayRule, DayRule floatDayRule, double notional, int tradeSign, double spread = 0.0)
{
FloatLeg = new FloatLeg(asOf, startDate, endDate, floatFreq, floatDayCount, floatDayRule, notional, spread);
FixedLeg = new FixedLeg(asOf, startDate, endDate, fixedRate, fixedFreq, fixedDayCount, fixedDayRule, notional);
if (tradeSign == 1 || tradeSign == -1)
{
TradeSign = tradeSign;
}
else
{
throw new InvalidOperationException("TradeSign has to be 1 (pay fixed) or -1 (pay float)");
}
}
public ADouble ValueFloatLegNoSpreadAD(FloatLeg floatLeg)
{
ADouble floatValue = 0.0;
ADouble spread = 0.0;
for (int i = 0; i < floatLeg.Schedule.AdjStartDates.Count; i++)
{
DateTime startDate = floatLeg.Schedule.AdjStartDates[i];
DateTime endDate = floatLeg.Schedule.AdjEndDates[i];
ADouble cvg = floatLeg.Schedule.Coverages[i];
ADouble fwdRate = ADFwdCurveCollection.GetCurve(floatLeg.Tenor).FwdRate(floatLeg.AsOf, startDate, endDate, floatLeg.Schedule.DayRule, floatLeg.Schedule.DayCount, Interpolation);
ADouble discFactor = ADDiscCurve.DiscFactor(floatLeg.AsOf, endDate, floatLeg.DayCount, Interpolation);
floatValue = floatValue + (fwdRate + spread) * cvg * discFactor;
}
return(floatValue * floatLeg.Notional);
}