protected override void initializeDates()
{
// dummy ibor index with curve/swap arguments
IborIndex clonedIborIndex = iborIndex_.clone(termStructureHandle_);
// do not pass the spread here, as it might be a Quote i.e. it can dinamically change
swap_ = new MakeVanillaSwap(tenor_, clonedIborIndex, 0.0, fwdStart_)
.withFixedLegDayCount(fixedDayCount_)
.withFixedLegTenor(new Period(fixedFrequency_))
.withFixedLegConvention(fixedConvention_)
.withFixedLegTerminationDateConvention(fixedConvention_)
.withFixedLegCalendar(calendar_)
.withFloatingLegCalendar(calendar_);
earliestDate_ = swap_.startDate();
// Usually...
latestDate_ = swap_.maturityDate();
// ...but due to adjustments, the last floating coupon might
// need a later date for fixing
#if QL_USE_INDEXED_COUPON
FloatingRateCoupon lastFloating = (FloatingRateCoupon)swap_.floatingLeg()[swap_.floatingLeg().Count - 1];
Date fixingValueDate = iborIndex_.valueDate(lastFloating.fixingDate());
Date endValueDate = iborIndex_.maturityDate(fixingValueDate);
latestDate_ = Date.Max(latestDate_, endValueDate);
#endif
}
public CapFloor value()
{
VanillaSwap swap = makeVanillaSwap_;
List <CashFlow> leg = swap.floatingLeg();
if (firstCapletExcluded_)
{
leg.RemoveAt(0);
}
// only leaves the last coupon
if (asOptionlet_ && leg.Count > 1)
{
leg.RemoveRange(0, leg.Count - 2); // Sun Studio needs an lvalue
}
List <double> strikeVector;
if (strike_ == null)
{
// temporary patch...
// should be fixed for every CapFloor::Engine
BlackCapFloorEngine temp = engine_ as BlackCapFloorEngine;
Utils.QL_REQUIRE(temp != null, () => "cannot calculate ATM without a BlackCapFloorEngine");
Handle <YieldTermStructure> discountCurve = temp.termStructure();
strikeVector = new InitializedList <double>(1, CashFlows.atmRate(leg, discountCurve, false, discountCurve.link.referenceDate()));
//strikeVector[0] = CashFlows.atmRate(leg,discountCurve,false,discountCurve.link.referenceDate());
}
else
{
strikeVector = new InitializedList <double>(1, strike_.Value);
}
CapFloor capFloor = new CapFloor(capFloorType_, leg, strikeVector);
capFloor.setPricingEngine(engine_);
return(capFloor);
}
protected override void initializeDates()
{
// dummy ibor index with curve/swap arguments
IborIndex clonedIborIndex = iborIndex_.clone(termStructureHandle_);
// do not pass the spread here, as it might be a Quote i.e. it can dinamically change
swap_ = new MakeVanillaSwap(tenor_, clonedIborIndex, 0.0, fwdStart_)
.withFixedLegDayCount(fixedDayCount_)
.withFixedLegTenor(new Period(fixedFrequency_))
.withFixedLegConvention(fixedConvention_)
.withFixedLegTerminationDateConvention(fixedConvention_)
.withFixedLegCalendar(calendar_)
.withFloatingLegCalendar(calendar_);
earliestDate_ = swap_.startDate();
// Usually...
latestDate_ = swap_.maturityDate();
// ...but due to adjustments, the last floating coupon might
// need a later date for fixing
#if QL_USE_INDEXED_COUPON
FloatingRateCoupon lastFloating = (FloatingRateCoupon)swap_.floatingLeg()[swap_.floatingLeg().Count - 1];
Date fixingValueDate = iborIndex_.valueDate(lastFloating.fixingDate());
Date endValueDate = iborIndex_.maturityDate(fixingValueDate);
latestDate_ = Date.Max(latestDate_, endValueDate);
#endif
}