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.evaluationDate();
}
if (npvDate == null)
{
npvDate_ = settlementDate_;
}
// if the discount curve allows extrapolation, let's
// the spreaded curve do too.
curve_.enableExtrapolation(discountCurve.allowsExtrapolation());
}
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.evaluationDate();
if (npvDate == null)
npvDate = settlementDate;
// if the discount curve allows extrapolation, let's
// the spreaded curve do too.
curve_.enableExtrapolation(discountCurve.allowsExtrapolation());
}
