public FloatingCoupon(IIndex index,
ICalendar calendar,
IDayCount dayCount,
double couponSpread,
ITerm resetTerm,
Stub resetStub,
BusinessDayConvention bda,
DayGap resetToFixingGap = null,
DayGap initialResetToFixingGap = null,
double floorRate = -100,
double capRate = 100,
FloatingCouponCalcType frnCalc = FloatingCouponCalcType.SimpleFrn,
double multiplier = 1.0)
{
Index = index;
Calendar = calendar;
DayCount = dayCount;
CouponSpread = couponSpread;
ResetTerm = resetTerm;
ResetStub = resetStub;
Bda = bda;
ResetToFixingGap = resetToFixingGap;
InitialResetToFixingGap = initialResetToFixingGap;
FloorRate = floorRate;
CapRate = capRate;
FrnCalc = frnCalc;
Multiplier = multiplier;
}
public double GetFixingRate(IYieldCurve fixingCurve,
ICalendar resetCalendar,
IDayCount dayCount,
Date accStartDate,
Date accEndDate,
ITerm resetTerm,
ITerm fixingTenor,
DayGap fixingToResetGap,
Stub resetStub,
BusinessDayConvention resetBda,
double couponSpread,
double capRate,
double floorRate,
out CfCalculationDetail[] resetDetails,
IDictionary <Date, double> historicalRate = null,
FloatingCouponCalcType frnCalc = FloatingCouponCalcType.SimpleFrn,
double stepWiseCompensationCoupon = 0.0,
double multiplier = 1.0)
{
var details = new List <CfCalculationDetail>();
var resetPriods = resetTerm == null
? new List <Date> {
accStartDate, accEndDate
}
: new Schedule(accStartDate, accEndDate, resetTerm, resetStub, resetCalendar, resetBda).ToList();
for (var i = 0; i < resetPriods.Count - 1; ++i)
{
var resetStartDate = resetPriods[i];
var resetEndDate = resetPriods[i + 1];
if (resetEndDate > accEndDate)
{
resetEndDate = accEndDate;
}
var fixingStartDate = fixingToResetGap.Get(resetCalendar, resetStartDate);
var forwardCompound = frnCalc == FloatingCouponCalcType.ZzFrn ? Compound.Continuous : IndexType.ForwardCompound();
details.Add(new CfCalculationDetail(
resetStartDate,
resetEndDate,
fixingStartDate,
multiplier * GetResetRate(fixingCurve, fixingStartDate, resetCalendar, fixingTenor, AverageDays, historicalRate, forwardCompound, IndexType.DayCount()) + stepWiseCompensationCoupon,
dayCount.CalcDayCountFraction(resetStartDate, resetEndDate, accStartDate, accEndDate),
resetStartDate < (fixingCurve == null ? fixingStartDate : fixingCurve.ReferenceDate)));
}
resetDetails = details.ToArray();
var totalDcf = resetDetails.Sum(x => x.FixingDcf);
double couponRate;
switch (CouponCompound)
{
case CouponCompound.Compounded:
couponRate =
(resetDetails.Select(x =>
{
var coupon = FilterRate(x.FixingRate + couponSpread, capRate, floorRate);
return(1.0 + coupon * x.FixingDcf);
})
.Aggregate(1.0, (current, v) => current * v) - 1.0) / totalDcf;
return(couponRate);
case CouponCompound.Simple:
couponRate =
resetDetails.Select(x =>
{
var coupon = FilterRate(x.FixingRate + couponSpread, capRate, floorRate);
return(coupon * x.FixingDcf);
}).Sum() / totalDcf;
return(couponRate);
default:
throw new PricingLibraryException("Unknow type of coupon compund type" + CouponCompound);
}
}
