Esempio n. 1
0
        public SwapSpreadIndex(String familyName,
                               SwapIndex swapIndex1,
                               SwapIndex swapIndex2,
                               double gearing1 = 1.0,
                               double gearing2 = -1.0)
            : base(familyName, swapIndex1.tenor(), // does not make sense, but we have to provide one
                   swapIndex1.fixingDays(), swapIndex1.currency(), swapIndex1.fixingCalendar(), swapIndex1.dayCounter())
        {
            swapIndex1_ = swapIndex1;
            swapIndex2_ = swapIndex2;
            gearing1_   = gearing1;
            gearing2_   = gearing2;

            swapIndex1_.registerWith(update);
            swapIndex2_.registerWith(update);

            name_ = swapIndex1_.name() + "(" + gearing1 + ") + "
                    + swapIndex2_.name() + "(" + gearing1 + ")";

            Utils.QL_REQUIRE(swapIndex1_.fixingDays() == swapIndex2_.fixingDays(), () =>
                             "index1 fixing days ("
                             + swapIndex1_.fixingDays() + ")"
                             + "must be equal to index2 fixing days ("
                             + swapIndex2_.fixingDays() + ")");

            Utils.QL_REQUIRE(swapIndex1_.fixingCalendar() == swapIndex2_.fixingCalendar(), () =>
                             "index1 fixingCalendar ("
                             + swapIndex1_.fixingCalendar() + ")"
                             + "must be equal to index2 fixingCalendar ("
                             + swapIndex2_.fixingCalendar() + ")");

            Utils.QL_REQUIRE(swapIndex1_.currency() == swapIndex2_.currency(), () =>
                             "index1 currency (" + swapIndex1_.currency() + ")"
                             + "must be equal to index2 currency ("
                             + swapIndex2_.currency() + ")");

            Utils.QL_REQUIRE(swapIndex1_.dayCounter() == swapIndex2_.dayCounter(), () =>
                             "index1 dayCounter ("
                             + swapIndex1_.dayCounter() + ")"
                             + "must be equal to index2 dayCounter ("
                             + swapIndex2_.dayCounter() + ")");

            Utils.QL_REQUIRE(swapIndex1_.fixedLegTenor() == swapIndex2_.fixedLegTenor(), () =>
                             "index1 fixedLegTenor ("
                             + swapIndex1_.fixedLegTenor() + ")"
                             + "must be equal to index2 fixedLegTenor ("
                             + swapIndex2_.fixedLegTenor());

            Utils.QL_REQUIRE(swapIndex1_.fixedLegConvention() == swapIndex2_.fixedLegConvention(), () =>
                             "index1 fixedLegConvention ("
                             + swapIndex1_.fixedLegConvention() + ")"
                             + "must be equal to index2 fixedLegConvention ("
                             + swapIndex2_.fixedLegConvention());
        }
Esempio n. 2
0
 public MakeCms(Period swapTenor,
                SwapIndex swapIndex,
                IborIndex iborIndex,
                double iborSpread   = 0.0,
                Period forwardStart = null,
                Date maturityDate   = null)
 {
     swapTenor_     = swapTenor;
     swapIndex_     = swapIndex;
     iborIndex_     = iborIndex;
     iborSpread_    = iborSpread;
     iborCap_       = null;
     iborFloor_     = null;
     useAtmSpread_  = false;
     forwardStart_  = forwardStart ?? new Period(0, TimeUnit.Days);
     cmsSpread_     = 0.0;
     cmsGearing_    = 1.0;
     cmsCap_        = null;
     cmsFloor_      = null;
     effectiveDate_ = null;
     cmsCalendar_   = swapIndex.fixingCalendar();
     floatCalendar_ = iborIndex.fixingCalendar();
     payCms_        = true;
     nominal_       = 1.0;
     maturityDate_  = maturityDate;
     cmsTenor_      = new Period(3, TimeUnit.Months);
     floatTenor_    = iborIndex.tenor();
     cmsConvention_ = BusinessDayConvention.ModifiedFollowing;
     cmsTerminationDateConvention_ = BusinessDayConvention.ModifiedFollowing;
     floatConvention_ = iborIndex.businessDayConvention();
     floatTerminationDateConvention_ = iborIndex.businessDayConvention();
     cmsRule_             = DateGeneration.Rule.Backward;
     floatRule_           = DateGeneration.Rule.Backward;
     cmsEndOfMonth_       = false;
     floatEndOfMonth_     = false;
     cmsFirstDate_        = null;
     cmsNextToLastDate_   = null;
     floatFirstDate_      = null;
     floatNextToLastDate_ = null;
     cmsDayCount_         = new Actual360();
     floatDayCount_       = iborIndex.dayCounter();
     engine_ = new DiscountingSwapEngine(swapIndex.forwardingTermStructure());
 }