public BasicFixedLeg(IsdaCompliantDiscountCurveCalibrator outerInstance, LocalDate curveSpotDate, LocalDate maturityDate, Period swapInterval, DayCount swapDCC, DayCount curveDcc, BusinessDayAdjustment busAdj, ReferenceData refData)
{
this.outerInstance = outerInstance;
IList <LocalDate> list = new List <LocalDate>();
LocalDate tDate = maturityDate;
int step = 1;
while (tDate.isAfter(curveSpotDate))
{
list.Add(tDate);
tDate = maturityDate.minus(swapInterval.multipliedBy(step++));
}
// remove spotDate from list, if it ends up there
list.Remove(curveSpotDate);
nPayment = list.Count;
swapPaymentTime = new double[nPayment];
yearFraction = new double[nPayment];
LocalDate prev = curveSpotDate;
int j = nPayment - 1;
for (int i = 0; i < nPayment; i++, j--)
{
LocalDate current = list[j];
LocalDate adjCurr = busAdj.adjust(current, refData);
yearFraction[i] = swapDCC.relativeYearFraction(prev, adjCurr);
swapPaymentTime[i] = curveDcc.relativeYearFraction(curveSpotDate, adjCurr); // Payment times always good business days
prev = adjCurr;
}
}
//-------------------------------------------------------------------------
private static ImmutableCreditRatesProvider createRatesProvider(LocalDate tradeDate, LocalDate snapDate, double rateScale, double recoveryRate)
{
ImmutableMarketDataBuilder builder = ImmutableMarketData.builder(snapDate);
for (int j = 0; j < NUM_INSTRUMENTS; j++)
{
builder.addValue(QuoteId.of(StandardId.of("OG", ID_VALUES[j])), RATES[j] * rateScale);
}
ImmutableMarketData quotes = builder.build();
IsdaCreditCurveDefinition curveDefinition = IsdaCreditCurveDefinition.of(CurveName.of("yield"), EUR, tradeDate, ACT_365F, DSC_NODES, false, false);
IsdaCreditDiscountFactors yc = IsdaCompliantDiscountCurveCalibrator.standard().calibrate(curveDefinition, quotes, REF_DATA);
return(ImmutableCreditRatesProvider.builder().valuationDate(tradeDate).discountCurves(ImmutableMap.of(EUR, yc)).recoveryRateCurves(ImmutableMap.of(LEGAL_ENTITY, ConstantRecoveryRates.of(LEGAL_ENTITY, tradeDate, recoveryRate))).creditCurves(ImmutableMap.of()).build());
}
