// Instrument interface
public override void calculate()
{
if (discountCurve_.empty())
{
throw new ArgumentException("no discounting term structure set");
}
if (discountCurve_.Count != arguments_.legs.Count)
{
throw new ArgumentException("no discounting term structure set for all legs");
}
results_.value = results_.cash = 0;
results_.errorEstimate = null;
results_.legNPV = new InitializedList <double?>(arguments_.legs.Count);
results_.legBPS = new InitializedList <double?>(arguments_.legs.Count);
List <double?> startDiscounts = new InitializedList <double?>(arguments_.legs.Count);
for (int i = 0; i < arguments_.legs.Count; ++i)
{
results_.value += results_.legNPV[i];
results_.cash += arguments_.payer[i] * CashFlows.cash(arguments_.legs[i]);
try
{
Date d = CashFlows.startDate(arguments_.legs[i]);
startDiscounts[i] = discountCurve_[i].link.discount(d);
}
catch
{
startDiscounts[i] = null;
}
}
results_.additionalResults.Add("startDiscounts", startDiscounts);
}
public override void calculate()
{
List <CashFlow> cashflows = arguments_.cashflows;
Date settlementDate = arguments_.settlementDate;
Date valuationDate = discountCurve().link.referenceDate();
if (discountCurve().empty())
{
throw new ApplicationException("no discounting term structure set");
}
results_.value = CashFlows.npv(cashflows, discountCurve().link, valuationDate, valuationDate);
results_.cash = CashFlows.cash(cashflows, settlementDate);
results_.settlementValue = CashFlows.npv(cashflows, discountCurve().link, settlementDate, settlementDate);
}
public override void calculate()
{
if (discountCurve_.empty())
{
throw new ArgumentException("no discounting term structure set");
}
results_.value = results_.cash = 0;
results_.errorEstimate = null;
results_.legNPV = new InitializedList <double?>(arguments_.legs.Count);
for (int i = 0; i < arguments_.legs.Count; ++i)
{
results_.legNPV[i] = arguments_.payer[i] * CashFlows.npv(arguments_.legs[i], discountCurve_);
results_.value += results_.legNPV[i];
results_.cash += arguments_.payer[i] * CashFlows.cash(arguments_.legs[i]);
}
}
public override void calculate()
{
if (_discountCurve.IsEmpty)
{
throw new ArgumentException("no discounting term structure set");
}
results_.value = 0;
results_.cash = 0;
results_.errorEstimate = null;
results_.legNPV.Clear();
for (int i = 0; i < arguments_.legs.Count; ++i)
{
results_.legNPV[i] = arguments_.payer[i] * CashFlows.npv(arguments_.legs[i], _discountCurve);
results_.value += results_.legNPV[i];
results_.cash += arguments_.payer[i] * CashFlows.cash(arguments_.legs[i]);
}
}
public override void calculate()
{
Utils.QL_REQUIRE(!discountCurve_.empty(), "discounting term structure handle is empty");
results_.valuationDate = discountCurve_.link.referenceDate();
bool includeRefDateFlows =
includeSettlementDateFlows_.HasValue ?
includeSettlementDateFlows_.Value :
Settings.includeReferenceDateEvents;
results_.value = CashFlows.npv(arguments_.cashflows,
discountCurve_,
includeRefDateFlows,
results_.valuationDate,
results_.valuationDate);
results_.cash = CashFlows.cash(arguments_.cashflows, arguments_.settlementDate);
// a bond's cashflow on settlement date is never taken into
// account, so we might have to play it safe and recalculate
if (!includeRefDateFlows && results_.valuationDate == arguments_.settlementDate)
{
// same parameters as above, we can avoid another call
results_.settlementValue = results_.value;
}
else
{
// no such luck
results_.settlementValue =
CashFlows.npv(arguments_.cashflows,
discountCurve_,
false,
arguments_.settlementDate,
arguments_.settlementDate);
}
}