// Composition - publication strictly before valuation date: try accessing fixing time-series
internal double pastCompositionFactor()
{
double compositionFactor = 1.0d;
LocalDate currentFixing = firstFixing;
LocalDate currentPublication = computation.calculatePublicationFromFixing(currentFixing);
while ((currentFixing.isBefore(lastFixingNonCutoff)) && rates.ValuationDate.isAfter(currentPublication))
{ // publication before valuation
LocalDate effectiveDate = computation.calculateEffectiveFromFixing(currentFixing);
LocalDate maturityDate = computation.calculateMaturityFromEffective(effectiveDate);
double accrualFactor = dayCount.yearFraction(effectiveDate, maturityDate);
compositionFactor *= 1.0d + accrualFactor * checkedFixing(currentFixing, indexFixingDateSeries, computation.Index);
currentFixing = computation.FixingCalendar.next(currentFixing);
currentPublication = computation.calculatePublicationFromFixing(currentFixing);
}
if (currentFixing.Equals(lastFixingNonCutoff) && rates.ValuationDate.isAfter(currentPublication))
{ // publication before valuation
double rate = checkedFixing(currentFixing, indexFixingDateSeries, computation.Index);
LocalDate effectiveDate = computation.calculateEffectiveFromFixing(currentFixing);
LocalDate maturityDate = computation.calculateMaturityFromEffective(effectiveDate);
double accrualFactor = dayCount.yearFraction(effectiveDate, maturityDate);
compositionFactor *= 1.0d + accrualFactor * rate;
for (int i = 0; i < cutoffOffset - 1; i++)
{
compositionFactor *= 1.0d + accrualFactorCutoff[i] * rate;
}
currentFixing = computation.FixingCalendar.next(currentFixing);
}
nextFixing = currentFixing;
return(compositionFactor);
}
internal LocalDate nextFixing; // Running variable through the different methods: next fixing date to be analyzed
internal ObservationDetails(OvernightCompoundedRateComputation computation, OvernightIndexRates rates)
{
this.computation = computation;
this.rates = rates;
this.indexFixingDateSeries = rates.Fixings;
this.dayCount = computation.Index.DayCount;
// Details of the cutoff period
this.firstFixing = computation.StartDate;
this.lastFixingP1 = computation.EndDate;
this.lastFixing = computation.FixingCalendar.previous(lastFixingP1);
this.cutoffOffset = Math.Max(computation.RateCutOffDays, 1);
this.accrualFactorCutoff = new double[cutoffOffset - 1];
LocalDate currentFixing = lastFixing;
for (int i = 0; i < cutoffOffset - 1; i++)
{
currentFixing = computation.FixingCalendar.previous(currentFixing);
LocalDate effectiveDate = computation.calculateEffectiveFromFixing(currentFixing);
LocalDate maturityDate = computation.calculateMaturityFromEffective(effectiveDate);
accrualFactorCutoff[i] = dayCount.yearFraction(effectiveDate, maturityDate);
}
this.lastFixingNonCutoff = currentFixing;
LocalDate startUnderlyingPeriod = computation.calculateEffectiveFromFixing(firstFixing);
LocalDate endUnderlyingPeriod = computation.calculateMaturityFromFixing(lastFixing);
this.accrualFactorTotal = dayCount.yearFraction(startUnderlyingPeriod, endUnderlyingPeriod);
}
