public ZSpreadFinder(Leg leg, YieldTermStructure discountCurve, double npv, DayCounter dc, Compounding comp, Frequency freq,
bool includeSettlementDateFlows, Date settlementDate, Date npvDate)
{
leg_ = leg;
npv_ = npv;
zSpread_ = new SimpleQuote(0.0);
curve_ = new ZeroSpreadedTermStructure(new Handle <YieldTermStructure>(discountCurve),
new Handle <Quote>(zSpread_), comp, freq, dc);
includeSettlementDateFlows_ = includeSettlementDateFlows;
settlementDate_ = settlementDate;
npvDate_ = npvDate;
if (settlementDate == null)
{
settlementDate_ = Settings.Instance.evaluationDate();
}
if (npvDate == null)
{
npvDate_ = settlementDate_;
}
// if the discount curve allows extrapolation, let's
// the spreaded curve do too.
curve_.enableExtrapolation(discountCurve.allowsExtrapolation());
}
// NPV of the cash flows.
// The NPV is the sum of the cash flows, each discounted
// according to the z-spreaded term structure. The result
// is affected by the choice of the z-spread compounding
// and the relative frequency and day counter.
public static double npv(Leg leg, YieldTermStructure discountCurve, double zSpread, DayCounter dc, Compounding comp,
Frequency freq, bool includeSettlementDateFlows,
Date settlementDate = null, Date npvDate = null)
{
if (leg.empty())
{
return(0.0);
}
if (settlementDate == null)
{
settlementDate = Settings.Instance.evaluationDate();
}
if (npvDate == null)
{
npvDate = settlementDate;
}
Handle <YieldTermStructure> discountCurveHandle = new Handle <YieldTermStructure>(discountCurve);
Handle <Quote> zSpreadQuoteHandle = new Handle <Quote>(new SimpleQuote(zSpread));
ZeroSpreadedTermStructure spreadedCurve = new ZeroSpreadedTermStructure(discountCurveHandle, zSpreadQuoteHandle,
comp, freq, dc);
spreadedCurve.enableExtrapolation(discountCurveHandle.link.allowsExtrapolation());
return(npv(leg, spreadedCurve, includeSettlementDateFlows, settlementDate, npvDate));
}