public BMASwap(Type type, double nominal,
// Libor leg
Schedule liborSchedule, double liborFraction, double liborSpread, IborIndex liborIndex, DayCounter liborDayCount,
// BMA leg
Schedule bmaSchedule, BMAIndex bmaIndex, DayCounter bmaDayCount)
: base(2)
{
type_ = type;
nominal_ = nominal;
liborFraction_ = liborFraction;
liborSpread_ = liborSpread;
BusinessDayConvention convention = liborSchedule.businessDayConvention();
legs_[0] = new IborLeg(liborSchedule, liborIndex)
.withPaymentDayCounter(liborDayCount)
.withFixingDays(liborIndex.fixingDays())
.withGearings(liborFraction)
.withSpreads(liborSpread)
.withNotionals(nominal)
.withPaymentAdjustment(convention);
legs_[1] = new AverageBMALeg(bmaSchedule, bmaIndex)
.withPaymentDayCounter(bmaDayCount)
.withNotionals(nominal)
.withPaymentAdjustment(bmaSchedule.businessDayConvention());
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 BMA-swap type");
break;
}
}
public BMASwap(Type type, double nominal,
// Libor leg
Schedule liborSchedule, double liborFraction, double liborSpread, IborIndex liborIndex, DayCounter liborDayCount,
// BMA leg
Schedule bmaSchedule, BMAIndex bmaIndex, DayCounter bmaDayCount)
: base(2)
{
type_ = type;
nominal_ = nominal;
liborFraction_ = liborFraction;
liborSpread_ = liborSpread;
BusinessDayConvention convention = liborSchedule.businessDayConvention();
legs_[0] = new IborLeg(liborSchedule, liborIndex)
.withPaymentDayCounter(liborDayCount)
.withFixingDays(liborIndex.fixingDays())
.withGearings(liborFraction)
.withSpreads(liborSpread)
.withNotionals(nominal)
.withPaymentAdjustment(convention);
legs_[1] = new AverageBMALeg(bmaSchedule, bmaIndex)
.withPaymentDayCounter(bmaDayCount)
.withNotionals(nominal)
.withPaymentAdjustment(bmaSchedule.businessDayConvention());
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:
throw new ApplicationException("Unknown BMA-swap type");
}
}
