public GenericSwap(_GenericSwap.Type type, DoubleVector firstLegNominals, Schedule firstLegResetSchedule, Schedule firstLegPaymentSchedule, double firstLegRate, DayCounter firstLegDayCount, DoubleVector secondLegNominals, Schedule secondLegResetSchedule, Schedule secondLegPaymentSchedule, IborIndex secondLegIndex, DayCounter secondLegDayCount, double secondLegSpread, bool arithmeticAveragedCoupon) : this(NQuantLibcPINVOKE.new_GenericSwap__SWIG_0((int)type, DoubleVector.getCPtr(firstLegNominals), Schedule.getCPtr(firstLegResetSchedule), Schedule.getCPtr(firstLegPaymentSchedule), firstLegRate, DayCounter.getCPtr(firstLegDayCount), DoubleVector.getCPtr(secondLegNominals), Schedule.getCPtr(secondLegResetSchedule), Schedule.getCPtr(secondLegPaymentSchedule), IborIndex.getCPtr(secondLegIndex), DayCounter.getCPtr(secondLegDayCount), secondLegSpread, arithmeticAveragedCoupon), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public GenericSwap(_GenericSwap.Type type, DoubleVector firstLegNominals, Schedule firstLegResetSchedule, Schedule firstLegPaymentSchedule, IborIndex firstLegIndex, DayCounter firstLegDayCount, DoubleVector secondLegNominals, Schedule secondLegResetSchedule, Schedule secondLegPaymentSchedule, IborIndex secondLegIndex, DayCounter secondLegDayCount) : this(NQuantLibcPINVOKE.new_GenericSwap__SWIG_6((int)type, DoubleVector.getCPtr(firstLegNominals), Schedule.getCPtr(firstLegResetSchedule), Schedule.getCPtr(firstLegPaymentSchedule), IborIndex.getCPtr(firstLegIndex), DayCounter.getCPtr(firstLegDayCount), DoubleVector.getCPtr(secondLegNominals), Schedule.getCPtr(secondLegResetSchedule), Schedule.getCPtr(secondLegPaymentSchedule), IborIndex.getCPtr(secondLegIndex), DayCounter.getCPtr(secondLegDayCount)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public _GenericSwap.Type type()
{
_GenericSwap.Type ret = (_GenericSwap.Type)NQuantLibcPINVOKE.GenericSwap_type(swigCPtr);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public void ConstructSwap(IborIndex idx1 = null, IborIndex idx2 = null)
{
_GenericSwap.Type type = SwapType == "Payer" ? _GenericSwap.Type.Payer : _GenericSwap.Type.Receiver;
EliteQuant.Calendar cal_gbp = new EliteQuant.UnitedKingdom(EliteQuant.UnitedKingdom.Market.Exchange);
bool hasois = SecondLegIndex.Contains("OIS") ? true : false; // OIS is only in FIXED-OIS pair
if (IsScheduleGiven)
{
//************************** First Leg *******************************
DoubleVector notional1 = new DoubleVector();
foreach (var nl in FirstLegNotionals)
{
notional1.Add(nl);
}
DateVector sch1 = new DateVector();
foreach (var dt in FirstLegSchedules)
{
sch1.Add(EliteQuant.EQConverter.DateTimeToDate(EliteQuant.EQConverter.StringToDateTime(dt)));
}
Calendar cal1 = EliteQuant.EQConverter.ConvertObject <Calendar>(FirstLegCalendar);
if (!hasois)
{
cal1 = new EliteQuant.JointCalendar(cal_gbp, cal1, EliteQuant.JointCalendarRule.JoinHolidays);
}
DayCounter dc1 = EliteQuant.EQConverter.ConvertObject <DayCounter>(FirstLegDayCounter);
BusinessDayConvention bdc1 = EliteQuant.EQConverter.ConvertObject <BusinessDayConvention>(FirstLegConvention);
Schedule Schedule1 = new Schedule(sch1, cal1, bdc1);
//************************** Second Leg *******************************
DoubleVector notional2 = new DoubleVector();
foreach (var nl in SecondLegNotionals)
{
notional2.Add(nl);
}
DateVector sch2 = new DateVector();
foreach (var dt in SecondLegSchedules)
{
sch2.Add(EliteQuant.EQConverter.DateTimeToDate(EliteQuant.EQConverter.StringToDateTime(dt)));
}
Calendar cal2 = EliteQuant.EQConverter.ConvertObject <Calendar>(SecondLegCalendar);
if (!hasois)
{
cal2 = new EliteQuant.JointCalendar(cal_gbp, cal2, EliteQuant.JointCalendarRule.JoinHolidays);
}
DayCounter dc2 = EliteQuant.EQConverter.ConvertObject <DayCounter>(SecondLegDayCounter);
BusinessDayConvention bdc2 = EliteQuant.EQConverter.ConvertObject <BusinessDayConvention>(SecondLegConvention);
Schedule Schedule2 = new Schedule(sch2, cal2, bdc2);
//************************** swap ******************************
if (FirstLegIndex == "FIXED")
{
if (hasois)
{
eqswap_ = new GenericSwap(type, notional2, Schedule2, Schedule2, FirstLegSpread, dc2,
notional2, Schedule2, Schedule2, idx2, dc2, SecondLegSpread, hasois);
}
else
{
eqswap_ = new GenericSwap(type, notional1, Schedule1, Schedule1, FirstLegSpread, dc1,
notional2, Schedule2, Schedule2, idx2, dc2, SecondLegSpread, hasois);
}
}
else
{
eqswap_ = new GenericSwap(type, notional1, Schedule1, Schedule1, idx1, dc1,
notional2, Schedule2, Schedule2, idx2, dc2, 0.0, SecondLegSpread, hasois);
}
} // end of schedule given swap construction
else
{
//************************** First Leg *******************************
Calendar cal1 = EliteQuant.EQConverter.ConvertObject <Calendar>(FirstLegCalendar);
if (!hasois)
{
cal1 = new EliteQuant.JointCalendar(cal_gbp, cal1, EliteQuant.JointCalendarRule.JoinHolidays);
}
DayCounter dc1 = EliteQuant.EQConverter.ConvertObject <DayCounter>(FirstLegDayCounter);
BusinessDayConvention bdc1 = EliteQuant.EQConverter.ConvertObject <BusinessDayConvention>(FirstLegConvention);
Date tradedate = EliteQuant.EQConverter.DateTimeToDate(EliteQuant.EQConverter.StringToDateTime(TradeDate));
tradedate = cal1.adjust(tradedate);
Date startdate;
if (string.IsNullOrEmpty(SettlementDate))
{
startdate = cal1.advance(tradedate, FixingDays, TimeUnit.Days);
}
else
{
startdate = EliteQuant.EQConverter.DateTimeToDate(EliteQuant.EQConverter.StringToDateTime(SettlementDate));
}
Date terminatedate;
if (string.IsNullOrEmpty(MaturityDate))
{
// then tenor should not be zero
Period tenor = EliteQuant.EQConverter.ConvertObject <Period>(Tenor);
//Calendar nullcal = new NullCalendar();
terminatedate = cal1.advance(startdate, tenor);
}
else
{
terminatedate = EliteQuant.EQConverter.DateTimeToDate(EliteQuant.EQConverter.StringToDateTime(MaturityDate));
}
DateGeneration.Rule dgr1 = EliteQuant.EQConverter.ConvertObject <DateGeneration.Rule>(FirstLegDateGenerationRule);
Frequency freq1 = EliteQuant.EQConverter.ConvertObject <Frequency>(FirstLegFrequency);
Schedule schedule1 = new Schedule(startdate, terminatedate, new Period(freq1), cal1,
bdc1, bdc1, dgr1, FirstLegEOM);
//************************** Second Leg *******************************
Calendar cal2 = EliteQuant.EQConverter.ConvertObject <Calendar>(SecondLegCalendar);
if (!hasois)
{
cal2 = new EliteQuant.JointCalendar(cal_gbp, cal2, EliteQuant.JointCalendarRule.JoinHolidays);
}
DayCounter dc2 = EliteQuant.EQConverter.ConvertObject <DayCounter>(SecondLegDayCounter);
BusinessDayConvention bdc2 = EliteQuant.EQConverter.ConvertObject <BusinessDayConvention>(SecondLegConvention);
DateGeneration.Rule dgr2 = EliteQuant.EQConverter.ConvertObject <DateGeneration.Rule>(SecondLegDateGenerationRule);
Frequency freq2 = EliteQuant.EQConverter.ConvertObject <Frequency>(SecondLegFrequency);
Schedule schedule2 = new Schedule(startdate, terminatedate, new Period(freq2), cal2,
bdc2, bdc2, dgr2, SecondLegEOM);
//************************** swap ******************************
DoubleVector notional1 = new DoubleVector();
DoubleVector notional2 = new DoubleVector();
foreach (var nl in FirstLegNotionals)
{
notional1.Add(nl);
}
foreach (var nl in SecondLegNotionals)
{
notional2.Add(nl);
}
if (FirstLegIndex == "FIXED")
{
if (hasois)
{
eqswap_ = new GenericSwap(type, notional2, schedule2, schedule2, FirstLegSpread, dc2,
notional2, schedule2, schedule2, idx2, dc2, SecondLegSpread, hasois);
}
else
{
eqswap_ = new GenericSwap(type, notional1, schedule1, schedule1, FirstLegSpread, dc1,
notional2, schedule2, schedule2, idx2, dc2, SecondLegSpread, hasois);
}
}
else
{
eqswap_ = new GenericSwap(type, notional1, schedule1, schedule1, idx1, dc1,
notional2, schedule2, schedule2, idx2, dc2, 0.0, SecondLegSpread, hasois);
}
} // end of schedule not given swap construction
}
