public Swaption value()
{
Date evaluationDate = Settings.evaluationDate();
Calendar fixingCalendar = swapIndex_.fixingCalendar();
fixingDate_ = fixingCalendar.advance(evaluationDate, optionTenor_, optionConvention_);
if (exerciseDate_ == null)
{
exercise_ = new EuropeanExercise(fixingDate_);
}
else
{
if (exerciseDate_ <= fixingDate_)
{
throw new ArgumentException(
"exercise date (" + exerciseDate_ + ") must be less " +
"than or equal to fixing date (" + fixingDate_ + ")");
}
exercise_ = new EuropeanExercise(exerciseDate_);
}
double usedStrike;
if (strike_ == null)
{
// ATM on the forecasting curve
if (!swapIndex_.forwardingTermStructure().empty())
{
throw new ArgumentException(
"no forecasting term structure set to " + swapIndex_.name());
}
VanillaSwap temp =
swapIndex_.underlyingSwap(fixingDate_);
temp.setPricingEngine(new DiscountingSwapEngine(
swapIndex_.forwardingTermStructure()));
usedStrike = temp.fairRate();
}
else
{
usedStrike = strike_.Value;
}
BusinessDayConvention bdc = swapIndex_.fixedLegConvention();
underlyingSwap_ = new MakeVanillaSwap(swapIndex_.tenor(),
swapIndex_.iborIndex(),
usedStrike)
.withEffectiveDate(swapIndex_.valueDate(fixingDate_))
.withFixedLegCalendar(swapIndex_.fixingCalendar())
.withFixedLegDayCount(swapIndex_.dayCounter())
.withFixedLegConvention(bdc)
.withFixedLegTerminationDateConvention(bdc);
Swaption swaption = new Swaption(underlyingSwap_, exercise_, delivery_);
swaption.setPricingEngine(engine_);
return(swaption);
}
public SwapSpreadIndex(String familyName,
SwapIndex swapIndex1,
SwapIndex swapIndex2,
double gearing1 = 1.0,
double gearing2 = -1.0)
: base(familyName, swapIndex1.tenor(), // does not make sense, but we have to provide one
swapIndex1.fixingDays(), swapIndex1.currency(), swapIndex1.fixingCalendar(), swapIndex1.dayCounter())
{
swapIndex1_ = swapIndex1;
swapIndex2_ = swapIndex2;
gearing1_ = gearing1;
gearing2_ = gearing2;
swapIndex1_.registerWith(update);
swapIndex2_.registerWith(update);
name_ = swapIndex1_.name() + "(" + gearing1 + ") + "
+ swapIndex2_.name() + "(" + gearing1 + ")";
Utils.QL_REQUIRE(swapIndex1_.fixingDays() == swapIndex2_.fixingDays(), () =>
"index1 fixing days ("
+ swapIndex1_.fixingDays() + ")"
+ "must be equal to index2 fixing days ("
+ swapIndex2_.fixingDays() + ")");
Utils.QL_REQUIRE(swapIndex1_.fixingCalendar() == swapIndex2_.fixingCalendar(), () =>
"index1 fixingCalendar ("
+ swapIndex1_.fixingCalendar() + ")"
+ "must be equal to index2 fixingCalendar ("
+ swapIndex2_.fixingCalendar() + ")");
Utils.QL_REQUIRE(swapIndex1_.currency() == swapIndex2_.currency(), () =>
"index1 currency (" + swapIndex1_.currency() + ")"
+ "must be equal to index2 currency ("
+ swapIndex2_.currency() + ")");
Utils.QL_REQUIRE(swapIndex1_.dayCounter() == swapIndex2_.dayCounter(), () =>
"index1 dayCounter ("
+ swapIndex1_.dayCounter() + ")"
+ "must be equal to index2 dayCounter ("
+ swapIndex2_.dayCounter() + ")");
Utils.QL_REQUIRE(swapIndex1_.fixedLegTenor() == swapIndex2_.fixedLegTenor(), () =>
"index1 fixedLegTenor ("
+ swapIndex1_.fixedLegTenor() + ")"
+ "must be equal to index2 fixedLegTenor ("
+ swapIndex2_.fixedLegTenor());
Utils.QL_REQUIRE(swapIndex1_.fixedLegConvention() == swapIndex2_.fixedLegConvention(), () =>
"index1 fixedLegConvention ("
+ swapIndex1_.fixedLegConvention() + ")"
+ "must be equal to index2 fixedLegConvention ("
+ swapIndex2_.fixedLegConvention());
}
