public double getCPR(Date valDate)
{
Thirty360 dayCounter = new Thirty360();
int d = dayCounter.dayCount(_startDate, valDate) / 30 + 1;
return((d <= 30 ? 0.06 * (d / 30d) : 0.06) * _multi);
}
public CPILeg(Schedule schedule,
ZeroInflationIndex index,
double baseCPI,
Period observationLag)
{
schedule_ = schedule;
index_ = index;
baseCPI_ = baseCPI;
observationLag_ = observationLag;
paymentDayCounter_ = new Thirty360();
paymentAdjustment_ = BusinessDayConvention.ModifiedFollowing;
paymentCalendar_ = schedule.calendar();
fixingDays_ = new List <int>()
{
0
};
observationInterpolation_ = InterpolationType.AsIndex;
subtractInflationNominal_ = true;
spreads_ = new List <double>()
{
0
};
}