public BMASwapRateHelper(Handle <Quote> liborFraction,
Period tenor,
int settlementDays,
Calendar calendar,
Period bmaPeriod,
BusinessDayConvention bmaConvention,
DayCounter bmaDayCount,
BMAIndex bmaIndex,
IborIndex iborIndex)
: base(liborFraction)
{
tenor_ = tenor;
settlementDays_ = settlementDays;
calendar_ = calendar;
bmaPeriod_ = bmaPeriod;
bmaConvention_ = bmaConvention;
bmaDayCount_ = bmaDayCount;
bmaIndex_ = bmaIndex;
iborIndex_ = iborIndex;
iborIndex_.registerWith(update);
bmaIndex_.registerWith(update);
initializeDates();
}
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;
Utils.QL_REQUIRE(notionalAmount > 0.0, () => "notional Amount must be positive");
// do I adjust this ?
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);
}
public BasisSwapHelper(Handle <Quote> spreadQuote,
int settlementDays,
Period swapTenor,
Calendar settlementCalendar,
BusinessDayConvention rollConvention,
IborIndex shortIndex,
IborIndex longIndex,
Handle <YieldTermStructure> discount = null,
bool eom = true,
bool spreadOnShort = true)
: base(spreadQuote)
{
settlementDays_ = settlementDays;
settlementCalendar_ = settlementCalendar;
swapTenor_ = swapTenor;
rollConvention_ = rollConvention;
shortIndex_ = shortIndex;
longIndex_ = longIndex;
spreadOnShort_ = spreadOnShort;
eom_ = eom;
discountHandle_ = discount ?? new Handle <YieldTermStructure>();
bool shortIndexHasCurve = !shortIndex_.forwardingTermStructure().empty();
bool longIndexHasCurve = !longIndex_.forwardingTermStructure().empty();
Utils.QL_REQUIRE(!(shortIndexHasCurve && longIndexHasCurve), () => "Have all curves, nothing to solve for.");
/* Link the curve being bootstrapped to the index if the index has
* no projection curve */
if (!shortIndexHasCurve)
{
shortIndex_ = shortIndex_.clone(termStructureHandle_);
//shortIndex_.unregisterWith(termStructureHandle_.link.update);
}
else if (!longIndexHasCurve)
{
longIndex_ = longIndex_.clone(termStructureHandle_);
//longIndex_.unregisterWith(termStructureHandle_.link.update);
}
else
{
Utils.QL_FAIL("Need one leg of the basis swap to have its forward curve.");
}
shortIndex_.registerWith(update);
longIndex_.registerWith(update);
discountHandle_.registerWith(update);
initializeDates();
}
public SwapIndex(string familyName, Period tenor, int settlementDays, Currency currency,
Calendar calendar, Period fixedLegTenor, BusinessDayConvention fixedLegConvention,
DayCounter fixedLegDayCounter, IborIndex iborIndex) :
base(familyName, tenor, settlementDays, currency, calendar, fixedLegDayCounter)
{
tenor_ = tenor;
iborIndex_ = iborIndex;
fixedLegTenor_ = fixedLegTenor;
fixedLegConvention_ = fixedLegConvention;
exogenousDiscount_ = false;
discount_ = new Handle <YieldTermStructure>();
iborIndex_.registerWith(update);
}