private int bmaCutoffDays = 0; // to be verified // double gearing = 1.0, double spread = 0.0, // Date refPeriodStart = Date(), Date refPeriodEnd = Date(), DayCounter dayCounter = DayCounter()); public AverageBMACoupon(double nominal, Date paymentDate, Date startDate, Date endDate, BMAIndex index, double gearing, double spread, Date refPeriodStart, Date refPeriodEnd, DayCounter dayCounter) : base(nominal, paymentDate, startDate, endDate, index.fixingDays(), index, gearing, spread, refPeriodStart, refPeriodEnd, dayCounter, false) { fixingSchedule_ = index.fixingSchedule( index.fixingCalendar() .advance(startDate, new Period(-index.fixingDays() + bmaCutoffDays, TimeUnit.Days), BusinessDayConvention.Preceding), endDate); setPricer(new AverageBMACouponPricer()); }
private int bmaCutoffDays = 0; // to be verified // double gearing = 1.0, double spread = 0.0, // Date refPeriodStart = Date(), Date refPeriodEnd = Date(), DayCounter dayCounter = DayCounter()); public AverageBMACoupon(double nominal, Date paymentDate, Date startDate, Date endDate, BMAIndex index, double gearing, double spread, Date refPeriodStart, Date refPeriodEnd, DayCounter dayCounter) : base(nominal, paymentDate, startDate, endDate, index.fixingDays(), index, gearing, spread, refPeriodStart, refPeriodEnd, dayCounter, false) { fixingSchedule_ = index.fixingSchedule( index.fixingCalendar() .advance(startDate, new Period(-index.fixingDays() + bmaCutoffDays, TimeUnit.Days), BusinessDayConvention.Preceding), endDate); setPricer(new AverageBMACouponPricer()); }
public AverageBMACoupon(Date paymentDate, double nominal, Date startDate, Date endDate, BMAIndex index, double gearing = 1.0, double spread = 0.0, Date refPeriodStart = null, Date refPeriodEnd = null, DayCounter dayCounter = null) : base(paymentDate, nominal, startDate, endDate, index.fixingDays(), index, gearing, spread, refPeriodStart, refPeriodEnd, dayCounter) { fixingSchedule_ = index.fixingSchedule( index.fixingCalendar() .advance(startDate, new Period(-index.fixingDays(), TimeUnit.Days), BusinessDayConvention.Preceding), endDate); setPricer(new AverageBMACouponPricer()); }
protected override void initializeDates() { earliestDate_ = calendar_.advance(evaluationDate_, new Period(settlementDays_, TimeUnit.Days), BusinessDayConvention.Following); Date maturity = earliestDate_ + tenor_; // dummy BMA index with curve/swap arguments BMAIndex clonedIndex = new BMAIndex(termStructureHandle_); Schedule bmaSchedule = new MakeSchedule().from(earliestDate_).to(maturity) .withTenor(bmaPeriod_) .withCalendar(bmaIndex_.fixingCalendar()) .withConvention(bmaConvention_) .backwards() .value(); Schedule liborSchedule = new MakeSchedule().from(earliestDate_).to(maturity) .withTenor(iborIndex_.tenor()) .withCalendar(iborIndex_.fixingCalendar()) .withConvention(iborIndex_.businessDayConvention()) .endOfMonth(iborIndex_.endOfMonth()) .backwards() .value(); swap_ = new BMASwap(BMASwap.Type.Payer, 100.0, liborSchedule, 0.75, // arbitrary 0.0, iborIndex_, iborIndex_.dayCounter(), bmaSchedule, clonedIndex, bmaDayCount_); swap_.setPricingEngine(new DiscountingSwapEngine(iborIndex_.forwardingTermStructure())); Date d = calendar_.adjust(swap_.maturityDate(), BusinessDayConvention.Following); int w = d.weekday(); Date nextWednesday = (w >= 4) ? d + new Period((11 - w), TimeUnit.Days) : d + new Period((4 - w), TimeUnit.Days); latestDate_ = clonedIndex.valueDate(clonedIndex.fixingCalendar().adjust(nextWednesday)); }
protected override void initializeDates() { earliestDate_ = calendar_.advance(evaluationDate_, new Period(settlementDays_, TimeUnit.Days), BusinessDayConvention.Following); Date maturity = earliestDate_ + tenor_; // dummy BMA index with curve/swap arguments BMAIndex clonedIndex = new BMAIndex(termStructureHandle_); Schedule bmaSchedule = new MakeSchedule().from(earliestDate_).to(maturity) .withTenor(bmaPeriod_) .withCalendar(bmaIndex_.fixingCalendar()) .withConvention(bmaConvention_) .backwards() .value(); Schedule liborSchedule = new MakeSchedule().from(earliestDate_).to(maturity) .withTenor(iborIndex_.tenor()) .withCalendar(iborIndex_.fixingCalendar()) .withConvention(iborIndex_.businessDayConvention()) .endOfMonth(iborIndex_.endOfMonth()) .backwards() .value(); swap_ = new BMASwap(BMASwap.Type.Payer, 100.0, liborSchedule, 0.75, // arbitrary 0.0, iborIndex_, iborIndex_.dayCounter(), bmaSchedule, clonedIndex, bmaDayCount_); swap_.setPricingEngine(new DiscountingSwapEngine(iborIndex_.forwardingTermStructure())); Date d = calendar_.adjust(swap_.maturityDate(), BusinessDayConvention.Following); int w = d.weekday(); Date nextWednesday = (w >= 4) ? d + new Period((11 - w), TimeUnit.Days) : d + new Period((4 - w), TimeUnit.Days); latestDate_ = clonedIndex.valueDate(clonedIndex.fixingCalendar().adjust(nextWednesday)); }