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());
}
}
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());
}
}
protected StochasticProcess(IDiscretization disc)
{
discretization_ = disc;
}
protected StochasticProcess(IDiscretization disc)
{
discretization_ = disc;
}
protected ForwardMeasureProcess(IDiscretization disc)
: base(disc)
{
}
