public ConvertibleFixedCouponBond(Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle <Quote> creditSpread,
Date issueDate,
int settlementDays,
List <double> coupons,
DayCounter dayCounter,
Schedule schedule,
double redemption = 100)
: base(
exercise, conversionRatio, dividends, callability, creditSpread, issueDate, settlementDays, schedule,
redemption)
{
// !!! notional forcibly set to 100
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, dayCounter)
.withNotionals(100.0)
.withPaymentAdjustment(schedule.businessDayConvention());
addRedemptionsToCashflows(new List <double>()
{
redemption
});
Utils.QL_REQUIRE(redemptions_.Count == 1, () => "multiple redemptions created");
option_ = new option(this, exercise, conversionRatio, dividends, callability, creditSpread, cashflows_,
dayCounter, schedule,
issueDate, settlementDays, redemption);
}
//! fixed-rate bond
/*! \ingroup instruments
*
* \test calculations are tested by checking results against
* cached values.
*/
//! simple annual compounding coupon rates
public FixedRateBond(int settlementDays, double faceAmount, Schedule schedule, List <double> coupons,
DayCounter accrualDayCounter, BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
double redemption = 100, Date issueDate = null, Calendar paymentCalendar = null,
Period exCouponPeriod = null,
Calendar exCouponCalendar = null,
BusinessDayConvention exCouponConvention = BusinessDayConvention.Unadjusted,
bool exCouponEndOfMonth = false)
: base(settlementDays, paymentCalendar ?? schedule.calendar(),
issueDate)
{
frequency_ = schedule.tenor().frequency();
dayCounter_ = accrualDayCounter;
maturityDate_ = schedule.endDate();
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, accrualDayCounter)
.withExCouponPeriod(exCouponPeriod,
exCouponCalendar,
exCouponConvention,
exCouponEndOfMonth)
.withPaymentCalendar(calendar_)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List <double>()
{
redemption
});
Utils.QL_REQUIRE(cashflows().Count != 0, () => "bond with no cashflows!");
Utils.QL_REQUIRE(redemptions_.Count == 1, () => "multiple redemptions created");
}
public AmortizingFixedRateBond(
int settlementDays,
Calendar calendar,
double faceAmount,
Date startDate,
Period bondTenor,
Frequency sinkingFrequency,
double coupon,
DayCounter accrualDayCounter,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
Date issueDate = null)
: base(settlementDays, calendar, issueDate)
{
frequency_ = sinkingFrequency;
dayCounter_ = accrualDayCounter;
Utils.QL_REQUIRE(bondTenor.length() > 0, () =>
"bond tenor must be positive. "
+ bondTenor + " is not allowed.");
maturityDate_ = startDate + bondTenor;
schedule_ = sinkingSchedule(startDate, bondTenor, sinkingFrequency, calendar);
cashflows_ = new FixedRateLeg(schedule_)
.withCouponRates(coupon, accrualDayCounter)
.withNotionals(sinkingNotionals(bondTenor, sinkingFrequency, coupon, faceAmount))
.withPaymentAdjustment(paymentConvention).value();
addRedemptionsToCashflows();
}
public AmortizingFixedRateBond(
int settlementDays,
List <double> notionals,
Schedule schedule,
List <InterestRate> coupons,
DayCounter accrualDayCounter,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
Date issueDate = null)
: base(settlementDays, schedule.calendar(), issueDate)
{
frequency_ = schedule.tenor().frequency();
dayCounter_ = accrualDayCounter;
schedule_ = schedule;
maturityDate_ = schedule.endDate();
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons)
.withNotionals(notionals)
.withPaymentAdjustment(paymentConvention).value();
addRedemptionsToCashflows();
Utils.QL_REQUIRE(!cashflows().empty(), () => "bond with no cashflows!");
}
private double calculateYield()
{
// We create a bond cashflow from issue to maturity just
// to calculate effective rate ( the rate that discount _marketValue )
Schedule schedule = new Schedule(_issueDate, _maturityDate, new Period(_payFrequency),
_calendar, BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Backward, false);
List <CashFlow> cashflows = new FixedRateLeg(schedule)
.withCouponRates(_couponRate, _dCounter)
.withPaymentCalendar(_calendar)
.withNotionals(_faceValue)
.withPaymentAdjustment(BusinessDayConvention.Unadjusted);
// Add single redemption for yield calculation
Redemption r = new Redemption(_faceValue, _maturityDate);
cashflows.Add(r);
// Calculate Amortizing Yield ( Effective Rate )
Date testDate = CashFlows.previousCashFlowDate(cashflows, false, _tradeDate);
return(CashFlows.yield(cashflows, _marketValue, _dCounter, Compounding.Simple, _payFrequency,
false, testDate));
}
// constructor
public VanillaSwap(Type type, double nominal,
Schedule fixedSchedule, double fixedRate, DayCounter fixedDayCount,
Schedule floatSchedule, IborIndex iborIndex, double spread, DayCounter floatingDayCount,
BusinessDayConvention?paymentConvention = null) :
base(2)
{
type_ = type;
nominal_ = nominal;
fixedSchedule_ = fixedSchedule;
fixedRate_ = fixedRate;
fixedDayCount_ = fixedDayCount;
floatingSchedule_ = floatSchedule;
iborIndex_ = iborIndex;
spread_ = spread;
floatingDayCount_ = floatingDayCount;
if (paymentConvention.HasValue)
{
paymentConvention_ = paymentConvention.Value;
}
else
{
paymentConvention_ = floatingSchedule_.businessDayConvention();
}
legs_[0] = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedDayCount)
.withPaymentAdjustment(paymentConvention_)
.withNotionals(nominal);
legs_[1] = new IborLeg(floatSchedule, iborIndex)
.withPaymentDayCounter(floatingDayCount)
//.withFixingDays(iborIndex.fixingDays())
.withSpreads(spread)
.withNotionals(nominal)
.withPaymentAdjustment(paymentConvention_);
foreach (var cf in legs_[1])
{
cf.registerWith(update);
}
switch (type_)
{
case Type.Payer:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
case Type.Receiver:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
default:
Utils.QL_FAIL("Unknown vanilla-swap type");
break;
}
}
public OvernightIndexedSwap(Type type,
double fixedNominal,
Schedule fixedSchedule,
double fixedRate,
DayCounter fixedDC,
double overnightNominal,
Schedule overnightSchedule,
OvernightIndex overnightIndex,
double spread) :
base(2)
{
type_ = type;
fixedNominal_ = fixedNominal;
overnightNominal_ = overnightNominal;
fixedPaymentFrequency_ = fixedSchedule.tenor().frequency();
overnightPaymentFrequency_ = overnightSchedule.tenor().frequency();
fixedRate_ = fixedRate;
fixedDC_ = fixedDC;
overnightIndex_ = overnightIndex;
spread_ = spread;
if (fixedDC_ == null)
{
fixedDC_ = overnightIndex_.dayCounter();
}
legs_[0] = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate_, fixedDC_)
.withNotionals(fixedNominal_);
legs_[1] = new OvernightLeg(overnightSchedule, overnightIndex_)
.withNotionals(overnightNominal_)
.withSpreads(spread_);
for (int j = 0; j < 2; ++j)
{
for (int i = 0; i < legs_[j].Count; i++)
{
legs_[j][i].registerWith(update);
}
}
switch (type_)
{
case Type.Payer:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
case Type.Receiver:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
default:
Utils.QL_FAIL("Unknown overnight-swap type");
break;
}
}
protected override void performCalculations()
{
Period indexTenor = index_.tenor();
double fixedRate = 0.04; // dummy value
Date startDate, maturity;
if (includeFirstSwaplet_)
{
startDate = termStructure_.link.referenceDate();
maturity = termStructure_.link.referenceDate() + length_;
}
else
{
startDate = termStructure_.link.referenceDate() + indexTenor;
maturity = termStructure_.link.referenceDate() + length_;
}
IborIndex dummyIndex = new IborIndex("dummy",
indexTenor,
index_.fixingDays(),
index_.currency(),
index_.fixingCalendar(),
index_.businessDayConvention(),
index_.endOfMonth(),
termStructure_.link.dayCounter(),
termStructure_);
List <double> nominals = new InitializedList <double>(1, 1.0);
Schedule floatSchedule = new Schedule(startDate, maturity,
index_.tenor(), index_.fixingCalendar(),
index_.businessDayConvention(),
index_.businessDayConvention(),
DateGeneration.Rule.Forward, false);
List <CashFlow> floatingLeg = new IborLeg(floatSchedule, index_)
.withFixingDays(0)
.withNotionals(nominals)
.withPaymentAdjustment(index_.businessDayConvention());
Schedule fixedSchedule = new Schedule(startDate, maturity, new Period(fixedLegFrequency_),
index_.fixingCalendar(),
BusinessDayConvention.Unadjusted, BusinessDayConvention.Unadjusted,
DateGeneration.Rule.Forward, false);
List <CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedLegDayCounter_)
.withNotionals(nominals)
.withPaymentAdjustment(index_.businessDayConvention());
Swap swap = new Swap(floatingLeg, fixedLeg);
swap.setPricingEngine(new DiscountingSwapEngine(termStructure_, false));
double fairRate = fixedRate - (double)(swap.NPV() / (swap.legBPS(1) / 1.0e-4));
cap_ = new Cap(floatingLeg, new InitializedList <double>(1, fairRate));
base.performCalculations();
}
public YearOnYearInflationSwap(
Type type,
double nominal,
Schedule fixedSchedule,
double fixedRate,
DayCounter fixedDayCount,
Schedule yoySchedule,
YoYInflationIndex yoyIndex,
Period observationLag,
double spread,
DayCounter yoyDayCount,
Calendar paymentCalendar, // inflation index does not have a calendar
BusinessDayConvention paymentConvention = BusinessDayConvention.ModifiedFollowing)
: base(2)
{
type_ = type;
nominal_ = nominal;
fixedSchedule_ = fixedSchedule;
fixedRate_ = fixedRate;
fixedDayCount_ = fixedDayCount;
yoySchedule_ = yoySchedule;
yoyIndex_ = yoyIndex;
observationLag_ = observationLag;
spread_ = spread;
yoyDayCount_ = yoyDayCount;
paymentCalendar_ = paymentCalendar;
paymentConvention_ = paymentConvention;
// N.B. fixed leg gets its calendar from the schedule!
List <CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule_)
.withCouponRates(fixedRate_, fixedDayCount_) // Simple compounding by default
.withNotionals(nominal_)
.withPaymentAdjustment(paymentConvention_);
List <CashFlow> yoyLeg = new yoyInflationLeg(yoySchedule_, paymentCalendar_, yoyIndex_, observationLag_)
.withSpreads(spread_)
.withPaymentDayCounter(yoyDayCount_)
.withNotionals(nominal_)
.withPaymentAdjustment(paymentConvention_);
yoyLeg.ForEach((i, x) => x.registerWith(update));
legs_[0] = fixedLeg;
legs_[1] = yoyLeg;
if (type_ == Type.Payer)
{
payer_[0] = -1.0;
payer_[1] = +1.0;
}
else
{
payer_[0] = +1.0;
payer_[1] = -1.0;
}
}
/// <summary>
/// CDS quoted as running-spread only
/// </summary>
/// <param name="side">Whether the protection is bought or sold.</param>
/// <param name="notional">Notional value</param>
/// <param name="spread">Running spread in fractional units.</param>
/// <param name="schedule">Coupon schedule.</param>
/// <param name="convention">Business-day convention for payment-date adjustment.</param>
/// <param name="dayCounter">Day-count convention for accrual.</param>
/// <param name="settlesAccrual">Whether or not the accrued coupon is due in the event of a default.</param>
/// <param name="paysAtDefaultTime">If set to true, any payments triggered by a default event are
/// due at default time. If set to false, they are due at the end of the accrual period.</param>
/// <param name="protectionStart">The first date where a default event will trigger the contract.</param>
/// <param name="claim"></param>
/// <param name="lastPeriodDayCounter">Day-count convention for accrual in last period</param>
/// <param name="rebatesAccrual">The protection seller pays the accrued scheduled current coupon at the start
/// of the contract. The rebate date is not provided but computed to be two days after protection start.</param>
public CreditDefaultSwap(Protection.Side side,
double notional,
double spread,
Schedule schedule,
BusinessDayConvention convention,
DayCounter dayCounter,
bool settlesAccrual = true,
bool paysAtDefaultTime = true,
Date protectionStart = null,
Claim claim = null,
DayCounter lastPeriodDayCounter = null,
bool rebatesAccrual = true)
{
side_ = side;
notional_ = notional;
upfront_ = null;
runningSpread_ = spread;
settlesAccrual_ = settlesAccrual;
paysAtDefaultTime_ = paysAtDefaultTime;
claim_ = claim;
protectionStart_ = protectionStart ?? schedule[0];
Utils.QL_REQUIRE(protectionStart_ <= schedule[0] ||
schedule.rule() == DateGeneration.Rule.CDS ||
schedule.rule() == DateGeneration.Rule.CDS2015
, () => "protection can not start after accrual");
leg_ = new FixedRateLeg(schedule)
.withLastPeriodDayCounter(lastPeriodDayCounter)
.withCouponRates(spread, dayCounter)
.withNotionals(notional)
.withPaymentAdjustment(convention);
Date effectiveUpfrontDate = schedule.calendar().advance(protectionStart_, 2, TimeUnit.Days, convention);
// '2' is used above since the protection start is assumed to be on trade_date + 1
if (rebatesAccrual)
{
FixedRateCoupon firstCoupon = leg_[0] as FixedRateCoupon;
Date rebateDate = effectiveUpfrontDate;
accrualRebate_ = new SimpleCashFlow(firstCoupon.accruedAmount(protectionStart_), rebateDate);
}
upfrontPayment_ = new SimpleCashFlow(0.0, effectiveUpfrontDate);
if (claim_ == null)
{
claim_ = new FaceValueClaim();
}
claim_.registerWith(update);
maturity_ = schedule.dates().Last();
}
public FixedLoan(Type type, double nominal,
Schedule fixedSchedule, double fixedRate, DayCounter fixedDayCount,
Schedule principalSchedule, BusinessDayConvention?paymentConvention) :
base(2)
{
type_ = type;
nominal_ = nominal;
fixedSchedule_ = fixedSchedule;
fixedRate_ = fixedRate;
fixedDayCount_ = fixedDayCount;
principalSchedule_ = principalSchedule;
if (paymentConvention.HasValue)
{
paymentConvention_ = paymentConvention.Value;
}
else
{
paymentConvention_ = fixedSchedule_.businessDayConvention();
}
List <CashFlow> principalLeg = new PricipalLeg(principalSchedule, fixedDayCount)
.withNotionals(nominal)
.withPaymentAdjustment(paymentConvention_)
.withSign(type == Type.Loan ? -1 : 1);
// temporary
for (int i = 0; i < principalLeg.Count - 1; i++)
{
Principal p = (Principal)principalLeg[i];
notionals_.Add(p.nominal());
}
List <CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedDayCount)
.withPaymentAdjustment(paymentConvention_)
.withNotionals(notionals_);
legs_[0] = fixedLeg;
legs_[1] = principalLeg;
if (type_ == Type.Loan)
{
payer_[0] = +1;
payer_[1] = -1;
}
else
{
payer_[0] = -1;
payer_[1] = +1;
}
}
public CallableFixedRateBond(int settlementDays,
double faceAmount,
Schedule schedule,
List <double> coupons,
DayCounter accrualDayCounter,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
double redemption = 100.0,
Date issueDate = null,
CallabilitySchedule putCallSchedule = null)
: base(settlementDays, schedule, accrualDayCounter, issueDate, putCallSchedule)
{
frequency_ = schedule.tenor().frequency();
bool isZeroCouponBond = (coupons.Count == 1 && Utils.close(coupons[0], 0.0));
if (!isZeroCouponBond)
{
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, accrualDayCounter)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List <double>()
{
redemption
});
}
else
{
Date redemptionDate = calendar_.adjust(maturityDate_, paymentConvention);
setSingleRedemption(faceAmount, redemption, redemptionDate);
}
// used for impliedVolatility() calculation
SimpleQuote dummyVolQuote = new SimpleQuote(0.0);
blackVolQuote_.linkTo(dummyVolQuote);
blackEngine_ = new BlackCallableFixedRateBondEngine(blackVolQuote_, blackDiscountCurve_);
}
/// <summary>
/// CDS quoted as upfront and running spread
/// </summary>
/// <param name="side">Whether the protection is bought or sold.</param>
/// <param name="notional"> Notional value</param>
/// <param name="upfront">Upfront in fractional units.</param>
/// <param name="runningSpread">Running spread in fractional units.</param>
/// <param name="schedule">Coupon schedule.</param>
/// <param name="convention">Business-day convention for payment-date adjustment.</param>
/// <param name="dayCounter">Day-count convention for accrual.</param>
/// <param name="settlesAccrual">Whether or not the accrued coupon is due in the event of a default.</param>
/// <param name="paysAtDefaultTime">If set to true, any payments triggered by a default event are
/// due at default time. If set to false, they are due at the end of the accrual period.</param>
/// <param name="protectionStart">The first date where a default event will trigger the contract.</param>
/// <param name="upfrontDate">Settlement date for the upfront payment.</param>
/// <param name="claim"></param>
/// <param name="lastPeriodDayCounter">Day-count convention for accrual in last period</param>
/// <param name="rebatesAccrual">The protection seller pays the accrued scheduled current coupon at the start
/// of the contract. The rebate date is not provided but computed to be two days after protection start.</param>
public CreditDefaultSwap(Protection.Side side,
double notional,
double upfront,
double runningSpread,
Schedule schedule,
BusinessDayConvention convention,
DayCounter dayCounter,
bool settlesAccrual = true,
bool paysAtDefaultTime = true,
Date protectionStart = null,
Date upfrontDate = null,
Claim claim = null,
DayCounter lastPeriodDayCounter = null,
bool rebatesAccrual = true)
{
side_ = side;
notional_ = notional;
upfront_ = upfront;
runningSpread_ = runningSpread;
settlesAccrual_ = settlesAccrual;
paysAtDefaultTime_ = paysAtDefaultTime;
claim_ = claim;
protectionStart_ = protectionStart ?? schedule[0];
Utils.QL_REQUIRE(protectionStart_ <= schedule[0] ||
schedule.rule() == DateGeneration.Rule.CDS
, () => "protection can not start after accrual");
leg_ = new FixedRateLeg(schedule)
.withLastPeriodDayCounter(lastPeriodDayCounter)
.withCouponRates(runningSpread, dayCounter)
.withNotionals(notional)
.withPaymentAdjustment(convention);
// If empty, adjust to T+3 standard settlement, alternatively add
// an arbitrary date to the constructor
Date effectiveUpfrontDate = upfrontDate == null?
schedule.calendar().advance(protectionStart_, 2, TimeUnit.Days, convention) : upfrontDate;
// '2' is used above since the protection start is assumed to be
// on trade_date + 1
upfrontPayment_ = new SimpleCashFlow(notional * upfront, effectiveUpfrontDate);
Utils.QL_REQUIRE(effectiveUpfrontDate >= protectionStart_, () => "upfront can not be due before contract start");
if (rebatesAccrual)
{
FixedRateCoupon firstCoupon = leg_[0] as FixedRateCoupon;
// adjust to T+3 standard settlement, alternatively add
// an arbitrary date to the constructor
Date rebateDate = effectiveUpfrontDate;
accrualRebate_ = new SimpleCashFlow(firstCoupon.accruedAmount(protectionStart_), rebateDate);
}
if (claim_ == null)
{
claim_ = new FaceValueClaim();
}
claim_.registerWith(update);
maturity_ = schedule.dates().Last();
}
/*! simple annual compounding coupon rates
* with internal schedule calculation */
public FixedRateBond(int settlementDays,
Calendar calendar,
double faceAmount,
Date startDate,
Date maturityDate,
Period tenor,
List <double> coupons,
DayCounter accrualDayCounter,
BusinessDayConvention accrualConvention = BusinessDayConvention.Following,
BusinessDayConvention paymentConvention = BusinessDayConvention.Following,
double redemption = 100,
Date issueDate = null,
Date stubDate = null,
DateGeneration.Rule rule = DateGeneration.Rule.Backward,
bool endOfMonth = false,
Calendar paymentCalendar = null,
Period exCouponPeriod = null,
Calendar exCouponCalendar = null,
BusinessDayConvention exCouponConvention = BusinessDayConvention.Unadjusted,
bool exCouponEndOfMonth = false)
: base(settlementDays, paymentCalendar ?? calendar,
issueDate)
{
frequency_ = tenor.frequency();
dayCounter_ = accrualDayCounter;
maturityDate_ = maturityDate;
Date firstDate = null, nextToLastDate = null;
switch (rule)
{
case DateGeneration.Rule.Backward:
firstDate = null;
nextToLastDate = stubDate;
break;
case DateGeneration.Rule.Forward:
firstDate = stubDate;
nextToLastDate = null;
break;
case DateGeneration.Rule.Zero:
case DateGeneration.Rule.ThirdWednesday:
case DateGeneration.Rule.Twentieth:
case DateGeneration.Rule.TwentiethIMM:
Utils.QL_FAIL("stub date (" + stubDate + ") not allowed with " + rule + " DateGeneration::Rule");
break;
default:
Utils.QL_FAIL("unknown DateGeneration::Rule (" + rule + ")");
break;
}
Schedule schedule = new Schedule(startDate, maturityDate_, tenor,
calendar, accrualConvention, accrualConvention,
rule, endOfMonth,
firstDate, nextToLastDate);
cashflows_ = new FixedRateLeg(schedule)
.withCouponRates(coupons, accrualDayCounter)
.withExCouponPeriod(exCouponPeriod,
exCouponCalendar,
exCouponConvention,
exCouponEndOfMonth)
.withPaymentCalendar(calendar_)
.withNotionals(faceAmount)
.withPaymentAdjustment(paymentConvention);
addRedemptionsToCashflows(new List <double>()
{
redemption
});
Utils.QL_REQUIRE(cashflows().Count != 0, () => "bond with no cashflows!");
Utils.QL_REQUIRE(redemptions_.Count == 1, () => "multiple redemptions created");
}
public CommercialPaper(Type type, double nominal,
Schedule fixedSchedule, double fixedRate, DayCounter fixedDayCount,
Schedule principalSchedule, BusinessDayConvention?paymentConvention) :
base(2)
{
type_ = type;
nominal_ = nominal;
fixedSchedule_ = fixedSchedule;
fixedRate_ = fixedRate;
fixedDayCount_ = fixedDayCount;
principalSchedule_ = principalSchedule;
if (paymentConvention.HasValue)
{
paymentConvention_ = paymentConvention.Value;
}
else
{
paymentConvention_ = fixedSchedule_.businessDayConvention();
}
List <CashFlow> principalLeg = new PricipalLeg(principalSchedule, fixedDayCount)
.withNotionals(nominal)
.withPaymentAdjustment(paymentConvention_)
.withSign(type == Type.Loan ? -1 : 1);
// temporary
for (int i = 0; i < principalLeg.Count - 1; i++)
{
Principal p = (Principal)principalLeg[i];
notionals_.Add(p.nominal());
}
List <CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedDayCount)
.withPaymentAdjustment(paymentConvention_)
.withNotionals(notionals_);
// Discounting Pricipal
notionals_.Clear();
double n;
for (int i = 0; i < fixedLeg.Count; i++)
{
FixedRateCoupon c = (FixedRateCoupon)fixedLeg[i];
n = i > 0 ? notionals_.Last() : c.nominal();
notionals_.Add(n / (1 + (c.rate() * c.dayCounter().yearFraction(c.referencePeriodStart, c.referencePeriodEnd))));
}
// New Leg
List <CashFlow> discountedFixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedDayCount)
.withPaymentAdjustment(paymentConvention_)
.withNotionals(notionals_);
// Adjust Principal
Principal p0 = (Principal)principalLeg[0];
p0.setAmount(notionals_.Last());
legs_[0] = discountedFixedLeg;
legs_[1] = principalLeg;
if (type_ == Type.Loan)
{
payer_[0] = +1;
payer_[1] = -1;
}
else
{
payer_[0] = -1;
payer_[1] = +1;
}
}
