// Constructors
/*! If strike is given in the constructor, can calculate the
* NPV of the contract via NPV().
*
* If strike/forward price is desired, it can be obtained via
* forwardPrice(). In this case, the strike variable in the
* constructor is irrelevant and will be ignored.
*/
public FixedRateBondForward(Date valueDate, Date maturityDate, Position.Type type, double strike,
int settlementDays,
DayCounter dayCounter, Calendar calendar, BusinessDayConvention businessDayConvention,
FixedRateBond fixedCouponBond,
Handle <YieldTermStructure> discountCurve,
Handle <YieldTermStructure> incomeDiscountCurve)
: base(dayCounter, calendar, businessDayConvention, settlementDays, new ForwardTypePayoff(type, strike),
valueDate, maturityDate, discountCurve)
{
fixedCouponBond_ = fixedCouponBond;
incomeDiscountCurve_ = incomeDiscountCurve;
incomeDiscountCurve_.registerWith(update);
}
protected override void performCalculations()
{
List <BTP> btps = basket_.btps();
List <Handle <Quote> > quotes = basket_.cleanPriceQuotes();
Date bondSettlementDate = btps[0].settlementDate();
for (int i = 0; i < basket_.size(); ++i)
{
yields_[i] = BondFunctions.yield(btps[i], quotes[i].link.value(),
new ActualActual(ActualActual.Convention.ISMA),
Compounding.Compounded, Frequency.Annual,
bondSettlementDate,
// accuracy, maxIterations, guess
1.0e-10, 100, yields_[i]);
durations_[i] = BondFunctions.duration(btps[i], yields_[i], new ActualActual(ActualActual.Convention.ISMA),
Compounding.Compounded, Frequency.Annual, Duration.Type.Modified,
bondSettlementDate);
}
duration_ = 0;
basket_.weights().ForEach((ii, vv) => duration_ += vv * yields()[ii]);
int settlDays = 2;
DayCounter fixedDayCount = swaps_[0].fixedDayCount();
equivalentSwapIndex_ = nSwaps_ - 1;
swapRates_[0] = swaps_[0].fairRate();
FixedRateBond swapBond = new FixedRateBond(settlDays,
100.0, // faceAmount
swaps_[0].fixedSchedule(),
new List <double>()
{
swapRates_[0].Value
},
fixedDayCount,
BusinessDayConvention.Following, // paymentConvention
100.0); // redemption
swapBondYields_[0] = BondFunctions.yield(swapBond,
100.0, // floating leg NPV including end payment
new ActualActual(ActualActual.Convention.ISMA),
Compounding.Compounded, Frequency.Annual,
bondSettlementDate,
// accuracy, maxIterations, guess
1.0e-10, 100, swapBondYields_[0].Value);
swapBondDurations_[0] = BondFunctions.duration(swapBond, swapBondYields_[0].Value,
new ActualActual(ActualActual.Convention.ISMA),
Compounding.Compounded, Frequency.Annual,
Duration.Type.Modified, bondSettlementDate);
for (int i = 1; i < nSwaps_; ++i)
{
swapRates_[i] = swaps_[i].fairRate();
FixedRateBond swapBond2 = new FixedRateBond(settlDays,
100.0, // faceAmount
swaps_[i].fixedSchedule(),
new List <double>()
{
swapRates_[i].Value
},
fixedDayCount,
BusinessDayConvention.Following, // paymentConvention
100.0); // redemption
swapBondYields_[i] = BondFunctions.yield(swapBond2, 100.0, // floating leg NPV including end payment
new ActualActual(ActualActual.Convention.ISMA),
Compounding.Compounded, Frequency.Annual,
bondSettlementDate,
// accuracy, maxIterations, guess
1.0e-10, 100, swapBondYields_[i].Value);
swapBondDurations_[i] = BondFunctions.duration(swapBond2, swapBondYields_[i].Value,
new ActualActual(ActualActual.Convention.ISMA),
Compounding.Compounded, Frequency.Annual,
Duration.Type.Modified, bondSettlementDate);
if (swapBondDurations_[i] > duration_)
{
equivalentSwapIndex_ = i - 1;
break; // exit the loop
}
}
return;
}