| public maturityDate ( Date valueDate ) : Date | ||
| valueDate | Date | |
| return | Date | |
protected override void initializeDates()
{
// dummy ibor index with curve/swap arguments
IborIndex clonedIborIndex = iborIndex_.clone(termStructureHandle_);
// do not pass the spread here, as it might be a Quote i.e. it can dinamically change
swap_ = new MakeVanillaSwap(tenor_, clonedIborIndex, 0.0, fwdStart_)
.withFixedLegDayCount(fixedDayCount_)
.withFixedLegTenor(new Period(fixedFrequency_))
.withFixedLegConvention(fixedConvention_)
.withFixedLegTerminationDateConvention(fixedConvention_)
.withFixedLegCalendar(calendar_)
.withFloatingLegCalendar(calendar_);
earliestDate_ = swap_.startDate();
// Usually...
latestDate_ = swap_.maturityDate();
// ...but due to adjustments, the last floating coupon might
// need a later date for fixing
#if QL_USE_INDEXED_COUPON
FloatingRateCoupon lastFloating = (FloatingRateCoupon)swap_.floatingLeg()[swap_.floatingLeg().Count - 1];
Date fixingValueDate = iborIndex_.valueDate(lastFloating.fixingDate());
Date endValueDate = iborIndex_.maturityDate(fixingValueDate);
latestDate_ = Date.Max(latestDate_, endValueDate);
#endif
}
protected override void initializeDates()
{
// why not using index_->fixingDays instead of settlementDays_
Date settlement = iborIndex_.fixingCalendar().advance(evaluationDate_, iborIndex_.fixingDays(), TimeUnit.Days);
earliestDate_ = iborIndex_.fixingCalendar().advance(settlement, periodToStart_,
iborIndex_.businessDayConvention(), iborIndex_.endOfMonth());
latestDate_ = iborIndex_.maturityDate(earliestDate_);
fixingDate_ = iborIndex_.fixingDate(earliestDate_);
}
protected override void initializeDates()
{
earliestDate_ = iborIndex_.fixingCalendar().advance(evaluationDate_, iborIndex_.fixingDays(), TimeUnit.Days);
latestDate_ = iborIndex_.maturityDate(earliestDate_);
fixingDate_ = iborIndex_.fixingCalendar().advance(earliestDate_, -iborIndex_.fixingDays(), TimeUnit.Days);
}
