Exemple #1
0
        // other
        public override void setupArguments(IPricingEngineArguments args)
        {
            base.setupArguments(args);

            YearOnYearInflationSwap.Arguments arguments = args as YearOnYearInflationSwap.Arguments;

            if (arguments == null) // it's a swap engine...
            {
                return;
            }

            arguments.type    = type_;
            arguments.nominal = nominal_;

            List <CashFlow> fixedCoupons = fixedLeg();

            arguments.fixedResetDates = arguments.fixedPayDates = new List <Date>(fixedCoupons.Count);
            arguments.fixedCoupons    = new List <double>(fixedCoupons.Count);

            for (int i = 0; i < fixedCoupons.Count; ++i)
            {
                FixedRateCoupon coupon = fixedCoupons[i] as FixedRateCoupon;

                arguments.fixedPayDates.Add(coupon.date());
                arguments.fixedResetDates.Add(coupon.accrualStartDate());
                arguments.fixedCoupons.Add(coupon.amount());
            }

            List <CashFlow> yoyCoupons = yoyLeg();

            arguments.yoyResetDates   = arguments.yoyPayDates = arguments.yoyFixingDates = new List <Date>(yoyCoupons.Count);
            arguments.yoyAccrualTimes = new List <double>(yoyCoupons.Count);
            arguments.yoySpreads      = new List <double>(yoyCoupons.Count);
            arguments.yoyCoupons      = new List <double?>(yoyCoupons.Count);
            for (int i = 0; i < yoyCoupons.Count; ++i)
            {
                YoYInflationCoupon coupon = yoyCoupons[i] as YoYInflationCoupon;

                arguments.yoyResetDates.Add(coupon.accrualStartDate());
                arguments.yoyPayDates.Add(coupon.date());

                arguments.yoyFixingDates.Add(coupon.fixingDate());
                arguments.yoyAccrualTimes.Add(coupon.accrualPeriod());
                arguments.yoySpreads.Add(coupon.spread());
                try
                {
                    arguments.yoyCoupons.Add(coupon.amount());
                }
                catch (Exception)
                {
                    arguments.yoyCoupons.Add(null);
                }
            }
        }