public OvernightIndexedCoupon(
Date paymentDate,
double nominal,
Date startDate,
Date endDate,
OvernightIndex overnightIndex,
double gearing = 1.0,
double spread = 0.0,
Date refPeriodStart = null,
Date refPeriodEnd = null,
DayCounter dayCounter = null)
: base(nominal, paymentDate, startDate, endDate,
overnightIndex.fixingDays(), overnightIndex,
gearing, spread,
refPeriodStart, refPeriodEnd,
dayCounter, false)
{
// value dates
Schedule sch = new MakeSchedule()
.from(startDate)
.to(endDate)
.withTenor(new Period(1, TimeUnit.Days))
.withCalendar(overnightIndex.fixingCalendar())
.withConvention(overnightIndex.businessDayConvention())
.backwards()
.value();
valueDates_ = sch.dates();
if (valueDates_.Count < 2)
{
throw new ArgumentException("degenerate schedule");
}
// fixing dates
n_ = valueDates_.Count() - 1;
if (overnightIndex.fixingDays() == 0)
{
fixingDates_ = new List <Date>(valueDates_);
}
else
{
fixingDates_ = new List <Date>(n_);
for (int i = 0; i < n_; ++i)
{
fixingDates_[i] = overnightIndex.fixingDate(valueDates_[i]);
}
}
// accrual (compounding) periods
dt_ = new List <double>(n_);
DayCounter dc = overnightIndex.dayCounter();
for (int i = 0; i < n_; ++i)
{
dt_.Add(dc.yearFraction(valueDates_[i], valueDates_[i + 1]));
}
setPricer(new OvernightIndexedCouponPricer());
}
public OvernightIndexedSwap(Type type,
double fixedNominal,
Schedule fixedSchedule,
double fixedRate,
DayCounter fixedDC,
double overnightNominal,
Schedule overnightSchedule,
OvernightIndex overnightIndex,
double spread) :
base(2)
{
type_ = type;
fixedNominal_ = fixedNominal;
overnightNominal_ = overnightNominal;
fixedPaymentFrequency_ = fixedSchedule.tenor().frequency();
overnightPaymentFrequency_ = overnightSchedule.tenor().frequency();
fixedRate_ = fixedRate;
fixedDC_ = fixedDC;
overnightIndex_ = overnightIndex;
spread_ = spread;
if (fixedDC_ == null)
{
fixedDC_ = overnightIndex_.dayCounter();
}
legs_[0] = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate_, fixedDC_)
.withNotionals(fixedNominal_);
legs_[1] = new OvernightLeg(overnightSchedule, overnightIndex_)
.withNotionals(overnightNominal_)
.withSpreads(spread_);
for (int j = 0; j < 2; ++j)
{
for (int i = 0; i < legs_[j].Count; i++)
{
legs_[j][i].registerWith(update);
}
}
switch (type_)
{
case Type.Payer:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
case Type.Receiver:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
default:
Utils.QL_FAIL("Unknown overnight-swap type");
break;
}
}
public OvernightIndexedSwapIndex(
string familyName,
Period tenor,
int settlementDays,
Currency currency,
OvernightIndex overnightIndex)
: base(familyName, tenor, settlementDays,
currency, overnightIndex.fixingCalendar(),
new Period(1, TimeUnit.Years), BusinessDayConvention.ModifiedFollowing,
overnightIndex.dayCounter(), overnightIndex)
{
overnightIndex_ = overnightIndex;
}
public OvernightIndexedSwapIndex(
string familyName,
Period tenor,
int settlementDays,
Currency currency,
OvernightIndex overnightIndex)
: base(familyName, tenor, settlementDays,
currency, overnightIndex.fixingCalendar(),
new Period(1,TimeUnit.Years),BusinessDayConvention.ModifiedFollowing,
overnightIndex.dayCounter(),overnightIndex)
{
overnightIndex_ = overnightIndex;
}
public OvernightIndexedSwap(Type type,
double nominal,
Schedule schedule,
double fixedRate,
DayCounter fixedDC,
OvernightIndex overnightIndex,
double spread) :
base(2)
{
type_= type;
nominal_ = nominal;
paymentFrequency_ = schedule.tenor().frequency();
fixedRate_ = fixedRate;
fixedDC_ = fixedDC;
overnightIndex_ = overnightIndex;
spread_ = spread;
if (fixedDC_== null)
fixedDC_ = overnightIndex_.dayCounter();
legs_[0] = new FixedRateLeg(schedule)
.withCouponRates(fixedRate_, fixedDC_)
.withNotionals(nominal_);
legs_[1] = new OvernightLeg(schedule, overnightIndex_)
.withNotionals(nominal_)
.withSpreads(spread_);
for (int j = 0; j < 2; ++j)
{
for (int i = 0; i < legs_[j].Count; i++)
legs_[j][i].registerWith(update);
}
switch (type_)
{
case Type.Payer:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
case Type.Receiver:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
default:
throw new ApplicationException("Unknown overnight-swap type");
}
}
public MakeOIS(Period swapTenor, OvernightIndex overnightIndex, double?fixedRate = null, Period fwdStart = null)
{
swapTenor_ = swapTenor;
overnightIndex_ = overnightIndex;
fixedRate_ = fixedRate;
forwardStart_ = fwdStart ?? new Period(0, TimeUnit.Days);
settlementDays_ = 2;
calendar_ = overnightIndex.fixingCalendar();
paymentFrequency_ = Frequency.Annual;
rule_ = DateGeneration.Rule.Backward;
// any value here for endOfMonth_ would not be actually used
isDefaultEOM_ = true;
type_ = OvernightIndexedSwap.Type.Payer;
nominal_ = 1.0;
overnightSpread_ = 0.0;
fixedDayCount_ = overnightIndex.dayCounter();
}
public MakeOIS(Period swapTenor, OvernightIndex overnightIndex,
double?fixedRate, Period fwdStart)
{
swapTenor_ = swapTenor;
overnightIndex_ = overnightIndex;
fixedRate_ = fixedRate;
forwardStart_ = fwdStart;
fixingDays_ = 2;
paymentFrequency_ = Frequency.Annual;
rule_ = DateGeneration.Rule.Backward;
endOfMonth_ = (new Period(1, TimeUnit.Months) <= swapTenor && swapTenor <= new Period(2, TimeUnit.Years) ? true : false);
type_ = OvernightIndexedSwap.Type.Payer;
nominal_ = 1.0;
overnightSpread_ = 0.0;
fixedDayCount_ = overnightIndex.dayCounter();
engine_ = new DiscountingSwapEngine(overnightIndex_.forwardingTermStructure());
}
public MakeOIS(Period swapTenor, OvernightIndex overnightIndex,
double? fixedRate, Period fwdStart)
{
swapTenor_=swapTenor;
overnightIndex_ = overnightIndex;
fixedRate_= fixedRate;
forwardStart_= fwdStart;
fixingDays_ = 2;
paymentFrequency_ = Frequency.Annual;
rule_ = DateGeneration.Rule.Backward;
endOfMonth_ = (new Period(1,TimeUnit.Months)<=swapTenor && swapTenor<=new Period(2,TimeUnit.Years) ? true : false);
type_ = OvernightIndexedSwap.Type.Payer;
nominal_ = 1.0;
overnightSpread_ = 0.0;
fixedDayCount_ = overnightIndex.dayCounter();
engine_ = new DiscountingSwapEngine(overnightIndex_.forwardingTermStructure());
}
public MakeOIS(Period swapTenor, OvernightIndex overnightIndex, double?fixedRate = null, Period fwdStart = null)
{
swapTenor_ = swapTenor;
overnightIndex_ = overnightIndex;
fixedRate_ = fixedRate;
forwardStart_ = fwdStart ?? new Period(0, TimeUnit.Days);
settlementDays_ = 2;
calendar_ = overnightIndex.fixingCalendar();
paymentFrequency_ = Frequency.Annual;
rule_ = DateGeneration.Rule.Backward;
// any value here for endOfMonth_ would not be actually used
isDefaultEOM_ = true;
//endOfMonth_ = (new Period(1,TimeUnit.Months)<=swapTenor && swapTenor<=new Period(2,TimeUnit.Years) ? true : false);
type_ = OvernightIndexedSwap.Type.Payer;
nominal_ = 1.0;
overnightSpread_ = 0.0;
fixedDayCount_ = overnightIndex.dayCounter();
//engine_ = new DiscountingSwapEngine(overnightIndex_.forwardingTermStructure());
}
public OvernightIndexedCoupon(
Date paymentDate,
double nominal,
Date startDate,
Date endDate,
OvernightIndex overnightIndex,
double gearing = 1.0,
double spread = 0.0,
Date refPeriodStart = null,
Date refPeriodEnd = null,
DayCounter dayCounter = null)
: base(nominal, paymentDate,startDate, endDate,
overnightIndex.fixingDays(), overnightIndex,
gearing, spread,
refPeriodStart, refPeriodEnd,
dayCounter, false)
{
// value dates
Schedule sch = new MakeSchedule()
.from(startDate)
.to(endDate)
.withTenor(new Period(1,TimeUnit.Days))
.withCalendar(overnightIndex.fixingCalendar())
.withConvention(overnightIndex.businessDayConvention())
.backwards()
.value();
valueDates_ = sch.dates();
if (valueDates_.Count < 2)
throw new ArgumentException("degenerate schedule");
// fixing dates
n_ = valueDates_.Count()-1;
if (overnightIndex.fixingDays()==0)
{
fixingDates_ = new List<Date>(valueDates_);
}
else
{
fixingDates_ = new List<Date>(n_);
for (int i=0; i<n_; ++i)
fixingDates_[i] = overnightIndex.fixingDate(valueDates_[i]);
}
// accrual (compounding) periods
dt_ = new List<double>(n_);
DayCounter dc = overnightIndex.dayCounter();
for (int i=0; i<n_; ++i)
dt_.Add(dc.yearFraction(valueDates_[i], valueDates_[i+1]));
setPricer(new OvernightIndexedCouponPricer());
}