public MakeBasisSwap(Period swapTenor, IborIndex index1, IborIndex index2, Period forwardStart)
{
swapTenor_ = swapTenor;
iborIndex1_ = index1;
iborIndex2_ = index2;
forwardStart_ = forwardStart;
effectiveDate_ = null;
float1Calendar_ = float2Calendar_ = index1.fixingCalendar();
type_ = BasisSwap.Type.Payer;
nominal_ = 1.0;
float1Tenor_ = index1.tenor();
float2Tenor_ = index2.tenor();
float1Convention_ = float1TerminationDateConvention_ = index1.businessDayConvention();
float2Convention_ = float2TerminationDateConvention_ = index2.businessDayConvention();
float1Rule_ = float2Rule_ = DateGeneration.Rule.Backward;
float1EndOfMonth_ = float2EndOfMonth_ = false;
float1FirstDate_ = float1NextToLastDate_ = float2FirstDate_ = float2NextToLastDate_ = null;
float1Spread_ = float2Spread_ = 0.0;
float1DayCount_ = index1.dayCounter();
float2DayCount_ = index2.dayCounter();
engine_ = new DiscountingBasisSwapEngine(index1.forwardingTermStructure(), index2.forwardingTermStructure());
}
public MakeBasisSwap(Period swapTenor, IborIndex index1, IborIndex index2, Period forwardStart)
{
swapTenor_ = swapTenor;
iborIndex1_ = index1;
iborIndex2_ = index2;
forwardStart_ = forwardStart;
effectiveDate_ = null;
float1Calendar_ = float2Calendar_ = index1.fixingCalendar();
type_ = BasisSwap.Type.Payer;
nominal_ = 1.0;
float1Tenor_ = index1.tenor();
float2Tenor_ = index2.tenor();
float1Convention_ = float1TerminationDateConvention_ = index1.businessDayConvention();
float2Convention_ = float2TerminationDateConvention_ = index2.businessDayConvention();
float1Rule_ = float2Rule_ = DateGeneration.Rule.Backward;
float1EndOfMonth_ = float2EndOfMonth_ = false;
float1FirstDate_ = float1NextToLastDate_ = float2FirstDate_ = float2NextToLastDate_ = null;
float1Spread_ = float2Spread_ = 0.0;
float1DayCount_ = index1.dayCounter();
float2DayCount_ = index2.dayCounter();
engine_ = new DiscountingBasisSwapEngine(index1.forwardingTermStructure(), index2.forwardingTermStructure());
}
public MakeBasisSwap withType(BasisSwap.Type type)
{
type_ = type;
return this;
}
public MakeBasisSwap receiveFixed(bool flag)
{
type_ = flag ? BasisSwap.Type.Receiver : BasisSwap.Type.Payer;
return this;
}
public MakeBasisSwap withType(BasisSwap.Type type)
{
type_ = type;
return(this);
}
public MakeBasisSwap receiveFixed(bool flag)
{
type_ = flag ? BasisSwap.Type.Receiver : BasisSwap.Type.Payer;
return(this);
}
