public override void setupArguments(IPricingEngineArguments args)
{
base.setupArguments(args);
VanillaSwap.Arguments arguments = args as VanillaSwap.Arguments;
if (arguments == null) // it's a swap engine...
{
return;
}
arguments.type = type_;
arguments.nominal = nominal_;
List <CashFlow> fixedCoupons = fixedLeg();
arguments.fixedResetDates = new InitializedList <Date>(fixedCoupons.Count);
arguments.fixedPayDates = new InitializedList <Date>(fixedCoupons.Count);
arguments.fixedCoupons = new InitializedList <double>(fixedCoupons.Count);
for (int i = 0; i < fixedCoupons.Count; ++i)
{
FixedRateCoupon coupon = (FixedRateCoupon)fixedCoupons[i];
arguments.fixedPayDates[i] = coupon.date();
arguments.fixedResetDates[i] = coupon.accrualStartDate();
arguments.fixedCoupons[i] = coupon.amount();
}
List <CashFlow> floatingCoupons = floatingLeg();
arguments.floatingResetDates = new InitializedList <Date>(floatingCoupons.Count);
arguments.floatingPayDates = new InitializedList <Date>(floatingCoupons.Count);
arguments.floatingFixingDates = new InitializedList <Date>(floatingCoupons.Count);
arguments.floatingAccrualTimes = new InitializedList <double>(floatingCoupons.Count);
arguments.floatingSpreads = new InitializedList <double>(floatingCoupons.Count);
arguments.floatingCoupons = new InitializedList <double>(floatingCoupons.Count);
for (int i = 0; i < floatingCoupons.Count; ++i)
{
IborCoupon coupon = (IborCoupon)floatingCoupons[i];
arguments.floatingResetDates[i] = coupon.accrualStartDate();
arguments.floatingPayDates[i] = coupon.date();
arguments.floatingFixingDates[i] = coupon.fixingDate();
arguments.floatingAccrualTimes[i] = coupon.accrualPeriod();
arguments.floatingSpreads[i] = coupon.spread();
try
{
arguments.floatingCoupons[i] = coupon.amount();
}
catch
{
arguments.floatingCoupons[i] = default(double);
}
}
}
public LiborForwardModelProcess(int size, IborIndex index, IDiscretization disc)
: base(disc)
{
size_ = size;
index_ = index;
initialValues_ = new InitializedList <double>(size_);
fixingTimes_ = new InitializedList <double>(size);
fixingDates_ = new InitializedList <Date>(size_);
accrualStartTimes_ = new InitializedList <double>(size);
accrualEndTimes_ = new InitializedList <double>(size);
accrualPeriod_ = new InitializedList <double>(size_);
m1 = new Vector(size_);
m2 = new Vector(size_);
DayCounter dayCounter = index.dayCounter();
IList <CashFlow> flows = cashFlows(1);
if (!(size_ == flows.Count))
{
throw new ArgumentException("wrong number of cashflows");
}
Date settlement = index_.forwardingTermStructure().link.referenceDate();
Date startDate;
IborCoupon iborcoupon = (IborCoupon)flows[0];
startDate = iborcoupon.fixingDate();
for (int i = 0; i < size_; ++i)
{
IborCoupon coupon = (IborCoupon)flows[i];
if (!(coupon.date() == coupon.accrualEndDate()))
{
throw new ArgumentException("irregular coupon types are not suppported");
}
initialValues_[i] = coupon.rate();
accrualPeriod_[i] = coupon.accrualPeriod();
fixingDates_[i] = coupon.fixingDate();
fixingTimes_[i] = dayCounter.yearFraction(startDate, coupon.fixingDate());
accrualStartTimes_[i] = dayCounter.yearFraction(settlement, coupon.accrualStartDate());
accrualEndTimes_[i] = dayCounter.yearFraction(settlement, coupon.accrualEndDate());
}
}
//===========================================================================//
// BlackIborCouponPricer //
//===========================================================================//
public override void initialize(FloatingRateCoupon coupon)
{
coupon_ = coupon as IborCoupon;
if (coupon_ == null) throw new ApplicationException("Libor coupon required");
gearing_ = coupon_.gearing();
spread_ = coupon_.spread();
Date paymentDate = coupon_.Date;
IborIndex index = coupon_.index() as IborIndex;
Handle<YieldTermStructure> rateCurve = index.forwardingTermStructure();
if (paymentDate > rateCurve.link.referenceDate())
discount_ = rateCurve.link.discount(paymentDate);
else
discount_ = 1.0;
spreadLegValue_ = spread_ * coupon_.accrualPeriod() * discount_;
}
public override void setupArguments(IPricingEngineArguments args)
{
base.setupArguments(args);
BasisSwap.Arguments arguments = args as BasisSwap.Arguments;
if (arguments == null) // it's a swap engine...
{
return;
}
arguments.type = type_;
arguments.nominal = nominal_;
List <CashFlow> floating1Coupons = floating1Leg();
arguments.floating1ResetDates = new InitializedList <Date>(floating1Coupons.Count);
arguments.floating1PayDates = new InitializedList <Date>(floating1Coupons.Count);
arguments.floating1FixingDates = new InitializedList <Date>(floating1Coupons.Count);
arguments.floating1AccrualTimes = new InitializedList <double>(floating1Coupons.Count);
arguments.floating1Spreads = new InitializedList <double>(floating1Coupons.Count);
arguments.floating1Coupons = new InitializedList <double>(floating1Coupons.Count);
for (int i = 0; i < floating1Coupons.Count; ++i)
{
IborCoupon coupon = (IborCoupon)floating1Coupons[i];
arguments.floating1ResetDates[i] = coupon.accrualStartDate();
arguments.floating1PayDates[i] = coupon.date();
arguments.floating1FixingDates[i] = coupon.fixingDate();
arguments.floating1AccrualTimes[i] = coupon.accrualPeriod();
arguments.floating1Spreads[i] = coupon.spread();
try
{
arguments.floating1Coupons[i] = coupon.amount();
}
catch
{
arguments.floating1Coupons[i] = default(double);
}
}
List <CashFlow> floating2Coupons = floating2Leg();
arguments.floating2ResetDates = new InitializedList <Date>(floating2Coupons.Count);
arguments.floating2PayDates = new InitializedList <Date>(floating2Coupons.Count);
arguments.floating2FixingDates = new InitializedList <Date>(floating2Coupons.Count);
arguments.floating2AccrualTimes = new InitializedList <double>(floating2Coupons.Count);
arguments.floating2Spreads = new InitializedList <double>(floating2Coupons.Count);
arguments.floating2Coupons = new InitializedList <double>(floating2Coupons.Count);
for (int i = 0; i < floating2Coupons.Count; ++i)
{
IborCoupon coupon = (IborCoupon)floating2Coupons[i];
arguments.floating2ResetDates[i] = coupon.accrualStartDate();
arguments.floating2PayDates[i] = coupon.date();
arguments.floating2FixingDates[i] = coupon.fixingDate();
arguments.floating2AccrualTimes[i] = coupon.accrualPeriod();
arguments.floating2Spreads[i] = coupon.spread();
try
{
arguments.floating2Coupons[i] = coupon.amount();
}
catch
{
arguments.floating2Coupons[i] = default(double);
}
}
}