// Handle<YieldTermStructure> discountCurve = Handle<YieldTermStructure>());
public ForwardRateAgreement(Date valueDate, Date maturityDate, Position.Type type, double strikeForwardRate,
double notionalAmount, IborIndex index, Handle <YieldTermStructure> discountCurve)
: base(index.dayCounter(), index.fixingCalendar(), index.businessDayConvention(), index.fixingDays(), new Payoff(),
valueDate, maturityDate, discountCurve)
{
fraType_ = type;
notionalAmount_ = notionalAmount;
index_ = index;
if (notionalAmount <= 0.0)
{
throw new ApplicationException("notional Amount must be positive");
}
// do I adjust this ?
// valueDate_ = calendar_.adjust(valueDate_,businessDayConvention_);
Date fixingDate = calendar_.advance(valueDate_, -settlementDays_, TimeUnit.Days);
forwardRate_ = new InterestRate(index.fixing(fixingDate), index.dayCounter(), Compounding.Simple, Frequency.Once);
strikeForwardRate_ = new InterestRate(strikeForwardRate, index.dayCounter(), Compounding.Simple, Frequency.Once);
double strike = notionalAmount_ * strikeForwardRate_.compoundFactor(valueDate_, maturityDate_);
payoff_ = new ForwardTypePayoff(fraType_, strike);
// incomeDiscountCurve_ is irrelevant to an FRA
incomeDiscountCurve_ = discountCurve_;
// income is irrelevant to FRA - set it to zero
underlyingIncome_ = 0.0;
index_.registerWith(update);
}
/////////////////////////////////////////////////////////
//! RateHelper interface
public override double impliedQuote()
{
if (termStructure_ == null)
{
throw new ArgumentException("term structure not set");
}
return(iborIndex_.fixing(fixingDate_, true));
}
protected override void performCalculations()
{
Date fixingDate = calendar_.advance(valueDate_, -settlementDays_, TimeUnit.Days);
forwardRate_ = new InterestRate(index_.fixing(fixingDate), index_.dayCounter(),
Compounding.Simple, Frequency.Once);
underlyingSpotValue_ = spotValue();
underlyingIncome_ = 0.0;
base.performCalculations();
}
public override void initialize(FloatingRateCoupon coupon)
{
coupon_ = coupon as RangeAccrualFloatersCoupon;
Utils.QL_REQUIRE(coupon_ != null, () => "range-accrual coupon required");
gearing_ = coupon_.gearing();
spread_ = coupon_.spread();
Date paymentDate = coupon_.date();
IborIndex index = coupon_.index() as IborIndex;
Utils.QL_REQUIRE(index != null, () => "invalid index");
Handle <YieldTermStructure> rateCurve = index.forwardingTermStructure();
discount_ = rateCurve.link.discount(paymentDate);
accrualFactor_ = coupon_.accrualPeriod();
spreadLegValue_ = spread_ * accrualFactor_ * discount_;
startTime_ = coupon_.startTime();
endTime_ = coupon_.endTime();
observationTimes_ = coupon_.observationTimes();
lowerTrigger_ = coupon_.lowerTrigger();
upperTrigger_ = coupon_.upperTrigger();
observationsNo_ = coupon_.observationsNo();
List <Date> observationDates = coupon_.observationsSchedule().dates();
Utils.QL_REQUIRE(observationDates.Count == observationsNo_ + 2, () => "incompatible size of initialValues vector");
initialValues_ = new InitializedList <double>(observationDates.Count, 0.0);
Calendar calendar = index.fixingCalendar();
for (int i = 0; i < observationDates.Count; i++)
{
initialValues_[i] = index.fixing(
calendar.advance(observationDates[i], -coupon_.fixingDays, TimeUnit.Days));
}
}
// Handle<YieldTermStructure> discountCurve = Handle<YieldTermStructure>());
public ForwardRateAgreement(Date valueDate, Date maturityDate, Position.Type type, double strikeForwardRate,
double notionalAmount, IborIndex index, Handle<YieldTermStructure> discountCurve)
: base(index.dayCounter(), index.fixingCalendar(), index.businessDayConvention(), index.fixingDays(), new Payoff(),
valueDate, maturityDate, discountCurve)
{
fraType_ = type;
notionalAmount_ = notionalAmount;
index_ = index;
if (notionalAmount <= 0.0)
throw new ApplicationException("notional Amount must be positive");
// do I adjust this ?
// valueDate_ = calendar_.adjust(valueDate_,businessDayConvention_);
Date fixingDate = calendar_.advance(valueDate_, -settlementDays_, TimeUnit.Days);
forwardRate_ = new InterestRate(index.fixing(fixingDate), index.dayCounter(), Compounding.Simple, Frequency.Once);
strikeForwardRate_ = new InterestRate(strikeForwardRate, index.dayCounter(), Compounding.Simple, Frequency.Once);
double strike = notionalAmount_ * strikeForwardRate_.compoundFactor(valueDate_, maturityDate_);
payoff_ = new ForwardTypePayoff(fraType_, strike);
// incomeDiscountCurve_ is irrelevant to an FRA
incomeDiscountCurve_ = discountCurve_;
// income is irrelevant to FRA - set it to zero
underlyingIncome_ = 0.0;
index_.registerWith(update);
}
