// Factory - for Leg generators
public override CashFlow factory(double nominal, Date paymentDate, Date startDate, Date endDate, int fixingDays,
InterestRateIndex index, double gearing, double spread,
Date refPeriodStart, Date refPeriodEnd, DayCounter dayCounter, bool isInArrears)
{
return(new IborCoupon(paymentDate, nominal, startDate, endDate, fixingDays,
(IborIndex)index, gearing, spread, refPeriodStart, refPeriodEnd, dayCounter, isInArrears));
}
// constructors
public FloatingRateCoupon(Date paymentDate,
double nominal,
Date startDate,
Date endDate,
int fixingDays,
InterestRateIndex index,
double gearing = 1.0,
double spread = 0.0,
Date refPeriodStart = null,
Date refPeriodEnd = null,
DayCounter dayCounter = null,
bool isInArrears = false)
: base(paymentDate, nominal, startDate, endDate, refPeriodStart, refPeriodEnd)
{
index_ = index;
dayCounter_ = dayCounter ?? new DayCounter();
fixingDays_ = fixingDays == default(int) ? index.fixingDays() : fixingDays;
gearing_ = gearing;
spread_ = spread;
isInArrears_ = isInArrears;
if (gearing_.IsEqual(0))
{
throw new ArgumentException("Null gearing not allowed");
}
if (dayCounter_.empty())
{
dayCounter_ = index_.dayCounter();
}
// add as observer
index_.registerWith(update);
Settings.Instance.registerWith(update);
}
public FloatFloatSwap(VanillaSwap.Type type,
List <double> nominal1,
List <double> nominal2,
Schedule schedule1,
InterestRateIndex index1,
DayCounter dayCount1,
Schedule schedule2,
InterestRateIndex index2,
DayCounter dayCount2,
bool intermediateCapitalExchange = false,
bool finalCapitalExchange = false,
List <double> gearing1 = null,
List <double> spread1 = null,
List <double?> cappedRate1 = null,
List <double?> flooredRate1 = null,
List <double> gearing2 = null,
List <double> spread2 = null,
List <double?> cappedRate2 = null,
List <double?> flooredRate2 = null,
BusinessDayConvention?paymentConvention1 = null,
BusinessDayConvention?paymentConvention2 = null)
: base(2)
{
type_ = type;
nominal1_ = nominal1;
nominal2_ = nominal2;
schedule1_ = schedule1;
schedule2_ = schedule2;
index1_ = index1;
index2_ = index2;
gearing1_ = gearing1;
gearing2_ = gearing2;
spread1_ = spread1;
spread2_ = spread2;
cappedRate1_ = cappedRate1;
flooredRate1_ = flooredRate1;
cappedRate2_ = cappedRate2;
flooredRate2_ = flooredRate2;
dayCount1_ = dayCount1;
dayCount2_ = dayCount2;
intermediateCapitalExchange_ = intermediateCapitalExchange;
finalCapitalExchange_ = finalCapitalExchange;
init(paymentConvention1, paymentConvention2);
}
public FloatFloatSwap(VanillaSwap.Type type,
double nominal1,
double nominal2,
Schedule schedule1,
InterestRateIndex index1,
DayCounter dayCount1,
Schedule schedule2,
InterestRateIndex index2,
DayCounter dayCount2,
bool intermediateCapitalExchange = false,
bool finalCapitalExchange = false,
double gearing1 = 1.0,
double spread1 = 0.0,
double?cappedRate1 = null,
double?flooredRate1 = null,
double gearing2 = 1.0,
double spread2 = 0.0,
double?cappedRate2 = null,
double?flooredRate2 = null,
BusinessDayConvention?paymentConvention1 = null,
BusinessDayConvention?paymentConvention2 = null)
: base(2)
{
type_ = type;
nominal1_ = new InitializedList <double> (schedule1.size() - 1, nominal1);
nominal2_ = new InitializedList <double> (schedule2.size() - 1, nominal2);
schedule1_ = schedule1;
schedule2_ = schedule2;
index1_ = index1;
index2_ = index2;
gearing1_ = new InitializedList <double>(schedule1.size() - 1, gearing1);
gearing2_ = new InitializedList <double>(schedule2.size() - 1, gearing2);
spread1_ = new InitializedList <double>(schedule1.size() - 1, spread1);
spread2_ = new InitializedList <double>(schedule2.size() - 1, spread2);
cappedRate1_ = new InitializedList <double?>(schedule1.size() - 1, cappedRate1);
flooredRate1_ = new InitializedList <double?>(schedule1.size() - 1, flooredRate1);
cappedRate2_ = new InitializedList <double?>(schedule2.size() - 1, cappedRate2);
flooredRate2_ = new InitializedList <double?>(schedule2.size() - 1, flooredRate2);
dayCount1_ = dayCount1; dayCount2_ = dayCount2;
intermediateCapitalExchange_ = intermediateCapitalExchange;
finalCapitalExchange_ = finalCapitalExchange;
init(paymentConvention1, paymentConvention2);
}
public override double swapletRate()
{
List<Date> fixingDates = coupon_.fixingDates();
InterestRateIndex index = coupon_.index();
int cutoffDays = 0; // to be verified
Date startDate = coupon_.accrualStartDate() - cutoffDays,
endDate = coupon_.accrualEndDate() - cutoffDays,
d1 = startDate;
Utils.QL_REQUIRE(fixingDates.Count > 0, () => "fixing date list empty");
Utils.QL_REQUIRE(index.valueDate(fixingDates.First()) <= startDate, () => "first fixing date valid after period start");
Utils.QL_REQUIRE(index.valueDate(fixingDates.Last()) >= endDate, () => "last fixing date valid before period end");
double avgBMA = 0.0;
int days = 0;
for (int i = 0; i < fixingDates.Count - 1; ++i)
{
Date valueDate = index.valueDate(fixingDates[i]);
Date nextValueDate = index.valueDate(fixingDates[i + 1]);
if (fixingDates[i] >= endDate || valueDate >= endDate)
break;
if (fixingDates[i + 1] < startDate || nextValueDate <= startDate)
continue;
Date d2 = Date.Min(nextValueDate, endDate);
avgBMA += index.fixing(fixingDates[i]) * (d2 - d1);
days += d2 - d1;
d1 = d2;
}
avgBMA /= (endDate - startDate);
Utils.QL_REQUIRE(days == endDate - startDate, () =>
"averaging days " + days + " differ from " + "interest days " + (endDate - startDate));
return coupon_.gearing() * avgBMA + coupon_.spread();
}
