protected override void initializeDates()
{
// if the evaluation date is not a business day
// then move to the next business day
JointCalendar jc = new JointCalendar(calendar_, iborIndex_.fixingCalendar());
Date referenceDate = jc.adjust(evaluationDate_);
earliestDate_ = calendar_.advance(referenceDate, new Period(settlementDays_, TimeUnit.Days), BusinessDayConvention.Following);
Date maturity = earliestDate_ + tenor_;
// dummy BMA index with curve/swap arguments
BMAIndex clonedIndex = new BMAIndex(termStructureHandle_);
Schedule bmaSchedule = new MakeSchedule().from(earliestDate_).to(maturity)
.withTenor(bmaPeriod_)
.withCalendar(bmaIndex_.fixingCalendar())
.withConvention(bmaConvention_)
.backwards().value();
Schedule liborSchedule = new MakeSchedule().from(earliestDate_).to(maturity)
.withTenor(iborIndex_.tenor())
.withCalendar(iborIndex_.fixingCalendar())
.withConvention(iborIndex_.businessDayConvention())
.endOfMonth(iborIndex_.endOfMonth())
.backwards().value();
swap_ = new BMASwap(BMASwap.Type.Payer,
100.0, liborSchedule, 0.75, // arbitrary
0.0, iborIndex_, iborIndex_.dayCounter(), bmaSchedule, clonedIndex, bmaDayCount_);
swap_.setPricingEngine(new DiscountingSwapEngine(iborIndex_.forwardingTermStructure()));
Date d = calendar_.adjust(swap_.maturityDate(), BusinessDayConvention.Following);
int w = d.weekday();
Date nextWednesday = (w >= 4) ?
d + new Period((11 - w), TimeUnit.Days) :
d + new Period((4 - w), TimeUnit.Days);
latestDate_ = clonedIndex.valueDate(clonedIndex.fixingCalendar().adjust(nextWednesday));
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(JointCalendar obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(JointCalendar obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
