//@}
protected override void initializeDates()
{
Date settlementDate = settlementCalendar_.advance(evaluationDate_, settlementDays_, TimeUnit.Days);
Date maturityDate = settlementDate + swapTenor_;
Period shortLegTenor = shortIndex_.tenor();
Schedule shortLegSchedule = new MakeSchedule()
.from(settlementDate)
.to(maturityDate)
.withTenor(shortLegTenor)
.withCalendar(settlementCalendar_)
.withConvention(rollConvention_)
.endOfMonth(eom_)
.value();
Period longLegTenor = longIndex_.tenor();
Schedule longLegSchedule = new MakeSchedule()
.from(settlementDate)
.to(maturityDate)
.withTenor(longLegTenor)
.withCalendar(settlementCalendar_)
.withConvention(rollConvention_)
.endOfMonth(eom_)
.value();
double nominal = 1.0;
double shortLegSpread = 0.0;
double longLegSpread = 0.0;
if (spreadOnShort_)
{
shortLegSpread = quote_.link.value();
}
else
{
longLegSpread = quote_.link.value();
}
/* Arbitrarily set the swap as paying the long index */
swap_ = new BasisSwap(BasisSwap.Type.Payer, nominal,
shortLegSchedule, shortIndex_, shortLegSpread, shortIndex_.dayCounter(),
longLegSchedule, longIndex_, longLegSpread, longIndex_.dayCounter(),
BusinessDayConvention.Following);
IPricingEngine engine;
engine = new DiscountingSwapEngine(discountHandle_, false, settlementDate, settlementDate);
engine.reset();
swap_.setPricingEngine(engine);
earliestDate_ = swap_.startDate();
latestDate_ = swap_.maturityDate();
maturityDate_ = latestRelevantDate_ = swap_.maturityDate();
}
public BasisSwap value()
{
Date startDate;
if (effectiveDate_ != null)
{
startDate = effectiveDate_;
}
else
{
int fixingDays = iborIndex1_.fixingDays();
Date referenceDate = Settings.evaluationDate();
Date spotDate = float1Calendar_.advance(referenceDate, new Period(fixingDays, TimeUnit.Days));
startDate = spotDate + forwardStart_;
}
Date endDate;
if (terminationDate_ != null)
{
endDate = terminationDate_;
}
else
{
endDate = startDate + swapTenor_;
}
Schedule float1Schedule = new Schedule(startDate, endDate,
float1Tenor_, float1Calendar_,
float1Convention_, float1TerminationDateConvention_,
float1Rule_, float1EndOfMonth_,
float1FirstDate_, float1NextToLastDate_);
Schedule float2Schedule = new Schedule(startDate, endDate,
float2Tenor_, float2Calendar_,
float2Convention_, float2TerminationDateConvention_,
float2Rule_, float2EndOfMonth_,
float2FirstDate_, float2NextToLastDate_);
BasisSwap swap = new BasisSwap(type_, nominal_,
float1Schedule, iborIndex1_, float1Spread_, float1DayCount_,
float2Schedule, iborIndex2_, float2Spread_, float2DayCount_);
swap.setPricingEngine(engine_);
return(swap);
}
