//-------------------------------------------------------------------------
public CurrencyParameterSensitivities parameterSensitivity(OvernightRateSensitivity pointSensitivity)
{
OvernightIndex index = pointSensitivity.Index;
LocalDate startDate = pointSensitivity.Observation.EffectiveDate;
LocalDate endDate = pointSensitivity.EndDate;
double accrualFactor = index.DayCount.yearFraction(startDate, endDate);
double forwardBar = pointSensitivity.Sensitivity;
double dfForwardStart = discountFactors.discountFactor(startDate);
double dfForwardEnd = discountFactors.discountFactor(endDate);
double dfStartBar = forwardBar / (accrualFactor * dfForwardEnd);
double dfEndBar = -forwardBar * dfForwardStart / (accrualFactor * dfForwardEnd * dfForwardEnd);
ZeroRateSensitivity zrsStart = discountFactors.zeroRatePointSensitivity(startDate, pointSensitivity.Currency);
ZeroRateSensitivity zrsEnd = discountFactors.zeroRatePointSensitivity(endDate, pointSensitivity.Currency);
CurrencyParameterSensitivities psStart = discountFactors.parameterSensitivity(zrsStart).multipliedBy(dfStartBar);
CurrencyParameterSensitivities psEnd = discountFactors.parameterSensitivity(zrsEnd).multipliedBy(dfEndBar);
return(psStart.combinedWith(psEnd));
}
private OvernightFutureSecurity(SecurityInfo info, double notional, double accrualFactor, LocalDate lastTradeDate, LocalDate startDate, LocalDate endDate, OvernightIndex index, OvernightAccrualMethod accrualMethod, Rounding rounding)
{
JodaBeanUtils.notNull(info, "info");
ArgChecker.notNegativeOrZero(notional, "notional");
ArgChecker.notNegativeOrZero(accrualFactor, "accrualFactor");
JodaBeanUtils.notNull(lastTradeDate, "lastTradeDate");
JodaBeanUtils.notNull(startDate, "startDate");
JodaBeanUtils.notNull(endDate, "endDate");
JodaBeanUtils.notNull(index, "index");
JodaBeanUtils.notNull(accrualMethod, "accrualMethod");
JodaBeanUtils.notNull(rounding, "rounding");
this.info = info;
this.notional = notional;
this.accrualFactor = accrualFactor;
this.lastTradeDate = lastTradeDate;
this.startDate = startDate;
this.endDate = endDate;
this.index = index;
this.accrualMethod = accrualMethod;
this.rounding = rounding;
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 100346066: // index
this.index = (OvernightIndex)newValue;
break;
case -91613053: // discountFactors
this.discountFactors = (DiscountFactors)newValue;
break;
case -843784602: // fixings
this.fixings = (LocalDateDoubleTimeSeries)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public virtual void test_usdFedFund_dates()
{
OvernightIndex test = OvernightIndex.of("USD-FED-FUND");
assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 28));
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 27));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 27), REF_DATA), date(2014, 10, 28));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 27), REF_DATA), date(2014, 10, 27));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 27), REF_DATA), date(2014, 10, 28));
// weekend and US holiday
assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 10), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 10), REF_DATA), date(2014, 10, 14));
// input date is Sunday, 13th is US holiday
assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 15));
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 15));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 15));
}
public virtual void test_gbpSonia_dates()
{
OvernightIndex test = OvernightIndex.of("GBP-SONIA");
assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 13), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 13), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 13), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 13), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 13), REF_DATA), date(2014, 10, 14));
// weekend
assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 10), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 10), REF_DATA), date(2014, 10, 10));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 10), REF_DATA), date(2014, 10, 13));
// input date is Sunday
assertEquals(test.calculatePublicationFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateEffectiveFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromFixing(date(2014, 10, 12), REF_DATA), date(2014, 10, 14));
assertEquals(test.calculateFixingFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 13));
assertEquals(test.calculateMaturityFromEffective(date(2014, 10, 12), REF_DATA), date(2014, 10, 14));
}
public override Builder set(string propertyName, object newValue)
{
switch (propertyName.GetHashCode())
{
case 1905311443: // dayCount
this.dayCount_Renamed = (DayCount)newValue;
break;
case 100346066: // index
this.index_Renamed = (OvernightIndex)newValue;
break;
case -1335729296: // accrualMethod
this.accrualMethod_Renamed = (OvernightAccrualMethod)newValue;
break;
case 1969081334: // negativeRateMethod
this.negativeRateMethod_Renamed = (NegativeRateMethod)newValue;
break;
case -92095804: // rateCutOffDays
this.rateCutOffDays_Renamed = (int?)newValue.Value;
break;
case -91774989: // gearing
this.gearing_Renamed = (ValueSchedule)newValue;
break;
case -895684237: // spread
this.spread_Renamed = (ValueSchedule)newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return(this);
}
public OvernightIndexRates overnightIndexRates(OvernightIndex index)
{
return(overnightRates);
}
public DatedOISRateHelper(Date startDate, Date endDate, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve) : this(NQuantLibcPINVOKE.new_DatedOISRateHelper__SWIG_0(Date.getCPtr(startDate), Date.getCPtr(endDate), QuoteHandle.getCPtr(rate), OvernightIndex.getCPtr(index), YieldTermStructureHandle.getCPtr(discountingCurve)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public DatedOISRateHelper(Date startDate, Date endDate, QuoteHandle rate, OvernightIndex index) : this(NQuantLibcPINVOKE.new_DatedOISRateHelper__SWIG_1(Date.getCPtr(startDate), Date.getCPtr(endDate), QuoteHandle.getCPtr(rate), OvernightIndex.getCPtr(index)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates an instance from an index and accrual period dates
/// <para>
/// The dates represent the accrual period.
/// </para>
/// <para>
/// No rate cut-off applies.
///
/// </para>
/// </summary>
/// <param name="index"> the index </param>
/// <param name="startDate"> the first date of the accrual period </param>
/// <param name="endDate"> the last date of the accrual period </param>
/// <param name="refData"> the reference data to use when resolving holiday calendars </param>
/// <returns> the rate computation </returns>
public static OvernightAveragedRateComputation of(OvernightIndex index, LocalDate startDate, LocalDate endDate, ReferenceData refData)
{
return(of(index, startDate, endDate, 0, refData));
}
//-------------------------------------------------------------------------
/// <summary>
/// Obtains a rate calculation for the specified index with accrual by compounding.
/// <para>
/// The calculation will use the day count of the index.
/// All optional fields will be set to their default values.
/// Thus, there will be no spread, gearing or rate cut-off.
/// If this method provides insufficient control, use the <seealso cref="#builder() builder"/>.
///
/// </para>
/// </summary>
/// <param name="index"> the index </param>
/// <returns> the calculation </returns>
public static OvernightRateCalculation of(OvernightIndex index)
{
return(OvernightRateCalculation.builder().index(index).build());
}
public OvernightIndexedSwap(_OvernightIndexedSwap.Type type, double nominal, Schedule schedule, double fixedRate, DayCounter fixedDC, OvernightIndex overnightIndex, double spread, uint paymentLag, BusinessDayConvention paymentAdjustment, Calendar paymentCalendar, bool telescopicValueDates) : this(NQuantLibcPINVOKE.new_OvernightIndexedSwap__SWIG_0((int)type, nominal, Schedule.getCPtr(schedule), fixedRate, DayCounter.getCPtr(fixedDC), OvernightIndex.getCPtr(overnightIndex), spread, paymentLag, (int)paymentAdjustment, Calendar.getCPtr(paymentCalendar), telescopicValueDates), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(OvernightIndex obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public OISRateHelper(uint settlementDays, Period tenor, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, bool telescopicValueDates, uint paymentLag, BusinessDayConvention paymentConvention, Frequency paymentFrequency) : this(NQuantLibcPINVOKE.new_OISRateHelper__SWIG_3(settlementDays, Period.getCPtr(tenor), QuoteHandle.getCPtr(rate), OvernightIndex.getCPtr(index), YieldTermStructureHandle.getCPtr(discountingCurve), telescopicValueDates, paymentLag, (int)paymentConvention, (int)paymentFrequency), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
// checks that the index on a stub matches the main index (this is handling bad FpML)
private void checkStubForOvernightIndex(XmlElement baseEl, FpmlDocument document, OvernightIndex index)
{
document.validateNotPresent(baseEl, "stubAmount");
document.validateNotPresent(baseEl, "stubRate");
IList <XmlElement> indicesEls = baseEl.getChildren("floatingRate");
if (indicesEls.Count == 1)
{
XmlElement indexEl = indicesEls[0];
document.validateNotPresent(indexEl, "floatingRateMultiplierSchedule");
document.validateNotPresent(indexEl, "spreadSchedule");
document.validateNotPresent(indexEl, "rateTreatment");
document.validateNotPresent(indexEl, "capRateSchedule");
document.validateNotPresent(indexEl, "floorRateSchedule");
Index parsed = document.parseIndex(indexEl);
if (parsed.Equals(index))
{
return;
}
throw new FpmlParseException("OvernightIndex swap cannot have a different index in the stub: " + baseEl);
}
throw new FpmlParseException("Unknown stub structure: " + baseEl);
}
public virtual void test_serialization()
{
OvernightIndex index = ImmutableOvernightIndex.builder().name("Test").currency(Currency.GBP).fixingCalendar(GBLO).publicationDateOffset(0).effectiveDateOffset(0).dayCount(ACT_360).build();
assertSerialization(index);
}
public virtual void test_of_lookup_null()
{
assertThrowsIllegalArg(() => OvernightIndex.of(null));
}
public IBOROISBasisSwap(_IBOROISBasisSwap.Type type, double nominal, Schedule floatingSchedule, IborIndex iborIndex, DayCounter floatingDC, Schedule fixedSchedule, OvernightIndex overnightIndex, double spread, DayCounter fixedDC) : this(NQuantLibcPINVOKE.new_IBOROISBasisSwap__SWIG_2((int)type, nominal, Schedule.getCPtr(floatingSchedule), IborIndex.getCPtr(iborIndex), DayCounter.getCPtr(floatingDC), Schedule.getCPtr(fixedSchedule), OvernightIndex.getCPtr(overnightIndex), spread, DayCounter.getCPtr(fixedDC)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public OISRateHelper(uint settlementDays, Period tenor, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve, bool telescopicValueDates) : this(NQuantLibcPINVOKE.new_OISRateHelper__SWIG_6(settlementDays, Period.getCPtr(tenor), QuoteHandle.getCPtr(rate), OvernightIndex.getCPtr(index), YieldTermStructureHandle.getCPtr(discountingCurve), telescopicValueDates), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public OvernightIndexedSwap(_OvernightIndexedSwap.Type type, DoubleVector nominals, Schedule schedule, double fixedRate, DayCounter fixedDC, OvernightIndex overnightIndex, double spread) : this(NQuantLibcPINVOKE.new_OvernightIndexedSwap__SWIG_10((int)type, DoubleVector.getCPtr(nominals), Schedule.getCPtr(schedule), fixedRate, DayCounter.getCPtr(fixedDC), OvernightIndex.getCPtr(overnightIndex), spread), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public OISRateHelper(uint settlementDays, Period tenor, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve) : this(NQuantLibcPINVOKE.new_OISRateHelper__SWIG_0(settlementDays, Period.getCPtr(tenor), QuoteHandle.getCPtr(rate), OvernightIndex.getCPtr(index), YieldTermStructureHandle.getCPtr(discountingCurve)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public IBOROISBasisRateHelper(int settlementDays, Period tenor, QuoteHandle overnightSpread, IborIndex iborIndex, OvernightIndex overnightIndex) : this(NQuantLibcPINVOKE.new_IBOROISBasisRateHelper__SWIG_1(settlementDays, Period.getCPtr(tenor), QuoteHandle.getCPtr(overnightSpread), IborIndex.getCPtr(iborIndex), OvernightIndex.getCPtr(overnightIndex)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public OISRateHelper(uint settlementDays, Period tenor, QuoteHandle rate, OvernightIndex index) : this(NQuantLibcPINVOKE.new_OISRateHelper__SWIG_1(settlementDays, Period.getCPtr(tenor), QuoteHandle.getCPtr(rate), OvernightIndex.getCPtr(index)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
//-----------------------------------------------------------------------
/// <summary>
/// Sets the Overnight index.
/// <para>
/// The rate to be paid is based on this index.
/// It will be a well known market index such as 'GBP-SONIA'.
/// </para>
/// </summary>
/// <param name="index"> the new value, not null </param>
/// <returns> this, for chaining, not null </returns>
public Builder index(OvernightIndex index)
{
JodaBeanUtils.notNull(index, "index");
this.index_Renamed = index;
return(this);
}
public OvernightIndexedSwap(OvernightIndexedSwap.Type type, DoubleVector nominals, Schedule schedule, double fixedRate, DayCounter fixedDC, OvernightIndex index, double spread, uint paymentLag, BusinessDayConvention paymentAdjustment, Calendar paymentCalendar) : this(NQuantLibcPINVOKE.new_OvernightIndexedSwap__SWIG_7((int)type, DoubleVector.getCPtr(nominals), Schedule.getCPtr(schedule), fixedRate, DayCounter.getCPtr(fixedDC), OvernightIndex.getCPtr(index), spread, paymentLag, (int)paymentAdjustment, Calendar.getCPtr(paymentCalendar)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
/// <summary>
/// Creates an instance from an index, accrual period dates and rate cut-off.
/// <para>
/// Rate cut-off applies if the cut-off is 2 or greater.
/// A value of 0 or 1 should be used if no cut-off applies.
///
/// </para>
/// </summary>
/// <param name="index"> the index </param>
/// <param name="startDate"> the first date of the accrual period </param>
/// <param name="endDate"> the last date of the accrual period </param>
/// <param name="rateCutOffDays"> the rate cut-off days offset, not negative or zero </param>
/// <param name="refData"> the reference data to use when resolving holiday calendars </param>
/// <returns> the rate computation </returns>
public static OvernightAveragedRateComputation of(OvernightIndex index, LocalDate startDate, LocalDate endDate, int rateCutOffDays, ReferenceData refData)
{
return(OvernightAveragedRateComputation.builder().index(index).fixingCalendar(index.FixingCalendar.resolve(refData)).startDate(index.calculateFixingFromEffective(startDate, refData)).endDate(index.calculateFixingFromEffective(endDate, refData)).rateCutOffDays(rateCutOffDays).build());
}
public DatedOISRateHelper(Date startDate, Date endDate, QuoteHandle rate, OvernightIndex index, YieldTermStructureHandle discountingCurve) : this(NQuantLibcPINVOKE.new_DatedOISRateHelper__SWIG_0(Date.getCPtr(startDate), Date.getCPtr(endDate), QuoteHandle.getCPtr(rate), OvernightIndex.getCPtr(index), YieldTermStructureHandle.getCPtr(discountingCurve)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public OvernightIndexedSwap(OvernightIndexedSwap.Type type, double nominal, Schedule schedule, double fixedRate, DayCounter fixedDC, OvernightIndex index) : this(NQuantLibcPINVOKE.new_OvernightIndexedSwap__SWIG_5((int)type, nominal, Schedule.getCPtr(schedule), fixedRate, DayCounter.getCPtr(fixedDC), OvernightIndex.getCPtr(index)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public OISRateHelper(uint settlementDays, Period tenor, QuoteHandle rate, OvernightIndex index) : this(NQuantLibcPINVOKE.new_OISRateHelper__SWIG_1(settlementDays, Period.getCPtr(tenor), QuoteHandle.getCPtr(rate), OvernightIndex.getCPtr(index)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
//-------------------------------------------------------------------------
// overnight rate calculation
private static RateCalculation parseOvernightRateCalculation(CsvRow row, string leg, OvernightIndex overnightIndex, OvernightAccrualMethod accrualMethod)
{
OvernightRateCalculation.Builder builder = OvernightRateCalculation.builder();
// basics
builder.index(overnightIndex);
builder.accrualMethod(findValue(row, leg, ACCRUAL_METHOD_FIELD).map(s => OvernightAccrualMethod.of(s)).orElse(accrualMethod));
// optionals
findValue(row, leg, DAY_COUNT_FIELD).map(s => LoaderUtils.parseDayCount(s)).ifPresent(v => builder.dayCount(v));
findValue(row, leg, RATE_CUT_OFF_DAYS_FIELD).map(s => Convert.ToInt32(s)).ifPresent(v => builder.rateCutOffDays(v));
findValue(row, leg, NEGATIVE_RATE_METHOD_FIELD).map(s => NegativeRateMethod.of(s)).ifPresent(v => builder.negativeRateMethod(v));
findValue(row, leg, GEARING_FIELD).map(s => LoaderUtils.parseDouble(s)).ifPresent(v => builder.gearing(ValueSchedule.of(v)));
findValue(row, leg, SPREAD_FIELD).map(s => LoaderUtils.parseDoublePercent(s)).ifPresent(v => builder.spread(ValueSchedule.of(v)));
return(builder.build());
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(OvernightIndex obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
public DatedOISRateHelper(Date startDate, Date endDate, QuoteHandle rate, OvernightIndex index) : this(NQuantLibcPINVOKE.new_DatedOISRateHelper__SWIG_1(Date.getCPtr(startDate), Date.getCPtr(endDate), QuoteHandle.getCPtr(rate), OvernightIndex.getCPtr(index)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates an instance from an index and accrual period dates
/// <para>
/// The dates represent the accrual period.
///
/// </para>
/// </summary>
/// <param name="index"> the index </param>
/// <param name="startDate"> the first date of the accrual period </param>
/// <param name="endDate"> the last date of the accrual period </param>
/// <param name="refData"> the reference data to use when resolving holiday calendars </param>
/// <returns> the rate computation </returns>
public static OvernightAveragedDailyRateComputation of(OvernightIndex index, LocalDate startDate, LocalDate endDate, ReferenceData refData)
{
return(OvernightAveragedDailyRateComputation.builder().index(index).fixingCalendar(index.FixingCalendar.resolve(refData)).startDate(startDate).endDate(endDate).build());
}
// Check that the fixing is present. Throws an exception if not and return the rate as double.
internal static double checkedFixing(LocalDate currentFixingTs, LocalDateDoubleTimeSeries indexFixingDateSeries, OvernightIndex index)
{
double?fixedRate = indexFixingDateSeries.get(currentFixingTs);
return(fixedRate.orElseThrow(() => new PricingException("Could not get fixing value of index " + index.Name + " for date " + currentFixingTs)));
}
public IBOROISBasisSwap(_IBOROISBasisSwap.Type type, double nominal, Schedule floatingSchedule, IborIndex iborIndex, DayCounter floatingDC, Schedule fixedSchedule, OvernightIndex overnightIndex, double spread, DayCounter fixedDC, BusinessDayConvention paymentConvention, bool arithmeticAveragedCoupon) : this(NQuantLibcPINVOKE.new_IBOROISBasisSwap__SWIG_0((int)type, nominal, Schedule.getCPtr(floatingSchedule), IborIndex.getCPtr(iborIndex), DayCounter.getCPtr(floatingDC), Schedule.getCPtr(fixedSchedule), OvernightIndex.getCPtr(overnightIndex), spread, DayCounter.getCPtr(fixedDC), (int)paymentConvention, arithmeticAveragedCoupon), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
