/// <summary>
/// Make a set of CDSCouponDes.
/// </summary>
/// <param name="leg"> the schedule of the accrual periods </param>
/// <param name="accrualDCC"> the day count used for the accrual </param>
/// <returns> a set of CDSCouponDes </returns>
public static CdsCouponDes[] makeCoupons(IsdaPremiumLegSchedule leg, Enums.DayCount accrualDCC)
{
int n = leg.NumPayments;
CdsCouponDes[] coupons = new CdsCouponDes[n];
for (int i = 0; i < n; i++)
{
coupons[i] = new CdsCouponDes(leg.getAccStartDate(i), leg.getAccEndDate(i), leg.getPaymentDate(i), accrualDCC);
}
return coupons;
}
/// <summary>
/// Make a set of CDSCoupon used by <seealso cref="CdsAnalytic"/> given a trade date and the schedule of the accrual periods.
/// </summary>
/// <param name="tradeDate"> The trade date </param>
/// <param name="leg"> schedule of the accrual periods </param>
/// <param name="protectionFromStartOfDay"> If true the protection is from the start of day and the effective accrual
/// start and end dates are one day less. The exception is the accrual end date which has one day
/// added (if protectionFromStartOfDay = true) in ISDAPremiumLegSchedule to compensate for this, so the
/// accrual end date is just the CDS maturity.
/// The effect of having protectionFromStartOfDay = true is to add an extra day of protection. </param>
/// <param name="accrualDCC"> The day count used to compute accrual periods </param>
/// <param name="curveDCC"> Day count used on curve (NOTE ISDA uses ACT/365 (fixed) and it is not recommended to change this) </param>
/// <seealso cref= CdsAnalytic </seealso>
/// <returns> A set of CDSCoupon </returns>
public static CdsCoupon[] makeCoupons(DateTime tradeDate, IsdaPremiumLegSchedule leg, bool protectionFromStartOfDay, Enums.DayCount accrualDCC, Enums.DayCount curveDCC)
{
int n = leg.NumPayments;
CdsCoupon[] res = new CdsCoupon[n];
for (int i = 0; i < n; i++)
{
DateTime[] dates = leg.getAccPaymentDateTriplet(i);
res[i] = new CdsCoupon(tradeDate, dates[0], dates[1], dates[2], protectionFromStartOfDay, accrualDCC, curveDCC);
}
return(res);
}
public static IsdaPremiumLegSchedule truncateSchedule(DateTime stepin, IsdaPremiumLegSchedule schedule)
{
return(schedule.truncateSchedule(stepin));
}
/// <summary>
/// Make a set of CDSCouponDes.
/// </summary>
/// <param name="leg"> the schedule of the accrual periods </param>
/// <returns> a set of CDSCouponDes </returns>
public static CdsCouponDes[] makeCoupons(IsdaPremiumLegSchedule leg)
{
return makeCoupons(leg, DEFAULT_ACCURAL_DCC);
}
