public DatedOISRateHelper(Date startDate,
Date endDate,
Handle<Quote> fixedRate,
OvernightIndex overnightIndex)
: base(fixedRate)
{
overnightIndex.registerWith(update);
// dummy OvernightIndex with curve/swap arguments
// review here
IborIndex clonedIborIndex = overnightIndex.clone(termStructureHandle_);
OvernightIndex clonedOvernightIndex = clonedIborIndex as OvernightIndex;
swap_ = new MakeOIS(new Period(), clonedOvernightIndex, 0.0)
.withEffectiveDate(startDate)
.withTerminationDate(endDate)
.withDiscountingTermStructure(termStructureHandle_);
earliestDate_ = swap_.startDate();
latestDate_ = swap_.maturityDate();
}
public OvernightIndexedSwap value()
{
Date startDate;
if (effectiveDate_ != null)
{
startDate = effectiveDate_;
}
else
{
Date refDate = Settings.evaluationDate();
// if the evaluation date is not a business day
// then move to the next business day
refDate = calendar_.adjust(refDate);
Date spotDate = calendar_.advance(refDate, new Period(settlementDays_, TimeUnit.Days));
startDate = spotDate + forwardStart_;
if (forwardStart_.length() < 0)
{
startDate = calendar_.adjust(startDate, BusinessDayConvention.Preceding);
}
else
{
startDate = calendar_.adjust(startDate, BusinessDayConvention.Following);
}
}
// OIS end of month default
bool usedEndOfMonth =
isDefaultEOM_ ? calendar_.isEndOfMonth(startDate) : endOfMonth_;
Date endDate = terminationDate_;
if (endDate == null)
{
if (usedEndOfMonth)
{
endDate = calendar_.advance(startDate,
swapTenor_,
BusinessDayConvention.ModifiedFollowing,
usedEndOfMonth);
}
else
{
endDate = startDate + swapTenor_;
}
}
Schedule schedule = new Schedule(startDate, endDate,
new Period(paymentFrequency_),
calendar_,
BusinessDayConvention.ModifiedFollowing,
BusinessDayConvention.ModifiedFollowing,
rule_,
usedEndOfMonth);
double?usedFixedRate = fixedRate_;
if (fixedRate_ == null)
{
OvernightIndexedSwap temp = new OvernightIndexedSwap(type_, nominal_,
schedule,
0.0, // fixed rate
fixedDayCount_,
overnightIndex_, overnightSpread_);
if (engine_ == null)
{
Handle <YieldTermStructure> disc = overnightIndex_.forwardingTermStructure();
Utils.QL_REQUIRE(!disc.empty(), () => "null term structure set to this instance of " +
overnightIndex_.name());
bool includeSettlementDateFlows = false;
IPricingEngine engine = new DiscountingSwapEngine(disc, includeSettlementDateFlows);
temp.setPricingEngine(engine);
}
else
{
temp.setPricingEngine(engine_);
}
usedFixedRate = temp.fairRate();
}
OvernightIndexedSwap ois = new OvernightIndexedSwap(type_, nominal_,
schedule,
usedFixedRate.Value, fixedDayCount_,
overnightIndex_, overnightSpread_);
if (engine_ == null)
{
Handle <YieldTermStructure> disc = overnightIndex_.forwardingTermStructure();
bool includeSettlementDateFlows = false;
IPricingEngine engine = new DiscountingSwapEngine(disc, includeSettlementDateFlows);
ois.setPricingEngine(engine);
}
else
{
ois.setPricingEngine(engine_);
}
return(ois);
}
public OvernightIndexedSwap value()
{
Calendar calendar = overnightIndex_.fixingCalendar();
Date startDate;
if (effectiveDate_ != null)
{
startDate = effectiveDate_;
}
else
{
Date referenceDate = Settings.evaluationDate();
Date spotDate = calendar.advance(referenceDate,
new Period(fixingDays_, TimeUnit.Days));
startDate = spotDate + forwardStart_;
}
Date endDate;
if (terminationDate_ != null)
{
endDate = terminationDate_;
}
else
{
if (endOfMonth_)
{
endDate = calendar.advance(startDate, swapTenor_,
BusinessDayConvention.ModifiedFollowing,
endOfMonth_);
}
else
{
endDate = startDate + swapTenor_;
}
}
Schedule schedule = new Schedule(startDate, endDate,
new Period(paymentFrequency_),
calendar,
BusinessDayConvention.ModifiedFollowing,
BusinessDayConvention.ModifiedFollowing,
rule_,
endOfMonth_);
double?usedFixedRate = fixedRate_;
if (fixedRate_ == null)
{
if (overnightIndex_.forwardingTermStructure().empty())
{
throw new ApplicationException("null term structure set to this instance of "
+ overnightIndex_.name());
}
OvernightIndexedSwap temp = new OvernightIndexedSwap(type_, nominal_,
schedule,
0.0, // fixed rate
fixedDayCount_,
overnightIndex_, overnightSpread_);
// ATM on the forecasting curve
//bool includeSettlementDateFlows = false;
temp.setPricingEngine(new DiscountingSwapEngine(
overnightIndex_.forwardingTermStructure()));
usedFixedRate = temp.fairRate();
}
OvernightIndexedSwap ois = new OvernightIndexedSwap(type_, nominal_,
schedule,
usedFixedRate.Value, fixedDayCount_,
overnightIndex_, overnightSpread_);
ois.setPricingEngine(engine_);
return(ois);
}
public MakeOIS withType(OvernightIndexedSwap.Type type)
{
type_ = type;
return this;
}
public OvernightIndexedSwap value()
{
Calendar calendar = overnightIndex_.fixingCalendar();
Date startDate;
if (effectiveDate_ != null)
startDate = effectiveDate_;
else
{
Date referenceDate = Settings.evaluationDate();
Date spotDate = calendar.advance(referenceDate,
new Period(fixingDays_,TimeUnit.Days));
startDate = spotDate+forwardStart_;
}
Date endDate;
if (terminationDate_ != null)
endDate = terminationDate_;
else
{
if (endOfMonth_)
{
endDate = calendar.advance(startDate, swapTenor_,
BusinessDayConvention.ModifiedFollowing,
endOfMonth_);
}
else
{
endDate = startDate + swapTenor_;
}
}
Schedule schedule = new Schedule(startDate, endDate,
new Period(paymentFrequency_),
calendar,
BusinessDayConvention.ModifiedFollowing,
BusinessDayConvention.ModifiedFollowing,
rule_,
endOfMonth_);
double? usedFixedRate = fixedRate_;
if (fixedRate_ == null)
{
if (overnightIndex_.forwardingTermStructure().empty())
{
throw new ApplicationException("null term structure set to this instance of "
+ overnightIndex_.name());
}
OvernightIndexedSwap temp = new OvernightIndexedSwap(type_, nominal_,
schedule,
0.0, // fixed rate
fixedDayCount_,
overnightIndex_, overnightSpread_);
// ATM on the forecasting curve
//bool includeSettlementDateFlows = false;
temp.setPricingEngine(new DiscountingSwapEngine(
overnightIndex_.forwardingTermStructure()));
usedFixedRate = temp.fairRate();
}
OvernightIndexedSwap ois = new OvernightIndexedSwap(type_, nominal_,
schedule,
usedFixedRate.Value, fixedDayCount_,
overnightIndex_, overnightSpread_);
ois.setPricingEngine(engine_);
return ois;
}
protected override void initializeDates()
{
// dummy OvernightIndex with curve/swap arguments
// review here
IborIndex clonedIborIndex = overnightIndex_.clone(termStructureHandle_);
OvernightIndex clonedOvernightIndex = clonedIborIndex as OvernightIndex;
swap_ = new MakeOIS(tenor_, clonedOvernightIndex, 0.0)
.withSettlementDays(settlementDays_)
.withDiscountingTermStructure(termStructureHandle_);
earliestDate_ = swap_.startDate();
latestDate_ = swap_.maturityDate();
}
