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());
}
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());
}