public Date previousCashFlowDate(Date settlement = null)
{
return(BondFunctions.previousCashFlowDate(this, settlement));
}
protected override void performCalculations()
{
List <BTP> btps = basket_.btps();
List <Handle <Quote> > quotes = basket_.cleanPriceQuotes();
Date bondSettlementDate = btps[0].settlementDate();
for (int i = 0; i < basket_.size(); ++i)
{
yields_[i] = BondFunctions.yield(btps[i], quotes[i].link.value(),
new ActualActual(ActualActual.Convention.ISMA),
Compounding.Compounded, Frequency.Annual,
bondSettlementDate,
// accuracy, maxIterations, guess
1.0e-10, 100, yields_[i]);
durations_[i] = BondFunctions.duration(btps[i], yields_[i], new ActualActual(ActualActual.Convention.ISMA),
Compounding.Compounded, Frequency.Annual, Duration.Type.Modified,
bondSettlementDate);
}
duration_ = 0;
basket_.weights().ForEach((ii, vv) => duration_ += vv * yields()[ii]);
int settlDays = 2;
DayCounter fixedDayCount = swaps_[0].fixedDayCount();
equivalentSwapIndex_ = nSwaps_ - 1;
swapRates_[0] = swaps_[0].fairRate();
FixedRateBond swapBond = new FixedRateBond(settlDays,
100.0, // faceAmount
swaps_[0].fixedSchedule(),
new List <double>()
{
swapRates_[0].Value
},
fixedDayCount,
BusinessDayConvention.Following, // paymentConvention
100.0); // redemption
swapBondYields_[0] = BondFunctions.yield(swapBond,
100.0, // floating leg NPV including end payment
new ActualActual(ActualActual.Convention.ISMA),
Compounding.Compounded, Frequency.Annual,
bondSettlementDate,
// accuracy, maxIterations, guess
1.0e-10, 100, swapBondYields_[0].Value);
swapBondDurations_[0] = BondFunctions.duration(swapBond, swapBondYields_[0].Value,
new ActualActual(ActualActual.Convention.ISMA),
Compounding.Compounded, Frequency.Annual,
Duration.Type.Modified, bondSettlementDate);
for (int i = 1; i < nSwaps_; ++i)
{
swapRates_[i] = swaps_[i].fairRate();
FixedRateBond swapBond2 = new FixedRateBond(settlDays,
100.0, // faceAmount
swaps_[i].fixedSchedule(),
new List <double>()
{
swapRates_[i].Value
},
fixedDayCount,
BusinessDayConvention.Following, // paymentConvention
100.0); // redemption
swapBondYields_[i] = BondFunctions.yield(swapBond2, 100.0, // floating leg NPV including end payment
new ActualActual(ActualActual.Convention.ISMA),
Compounding.Compounded, Frequency.Annual,
bondSettlementDate,
// accuracy, maxIterations, guess
1.0e-10, 100, swapBondYields_[i].Value);
swapBondDurations_[i] = BondFunctions.duration(swapBond2, swapBondYields_[i].Value,
new ActualActual(ActualActual.Convention.ISMA),
Compounding.Compounded, Frequency.Annual,
Duration.Type.Modified, bondSettlementDate);
if (swapBondDurations_[i] > duration_)
{
equivalentSwapIndex_ = i - 1;
break; // exit the loop
}
}
return;
}
//! Previous coupon already paid at a given date
/*! Expected previous coupon: depending on (the bond and) the given
* date the coupon can be historic, deterministic or expected in a
* stochastic sense. When the bond settlement date is used the coupon
* is the last paid one.
*
* The current bond settlement is used if no date is given.
*/
public double previousCouponRate(Date settlement = null)
{
return(BondFunctions.previousCouponRate(this, settlement));
}
public Date nextCashFlowDate(Date settlement = null)
{
return(BondFunctions.nextCashFlowDate(this, settlement));
}
/*! Expected next coupon: depending on (the bond and) the given date
* the coupon can be historic, deterministic or expected in a
* stochastic sense. When the bond settlement date is used the coupon
* is the already-fixed not-yet-paid one.
*
* The current bond settlement is used if no date is given.
*/
public virtual double nextCouponRate(Date settlement = null)
{
return(BondFunctions.nextCouponRate(this, settlement));
}
//! clean price given a yield and settlement date
/*! The default bond settlement is used if no date is given. */
public double cleanPrice(double yield, DayCounter dc, Compounding comp, Frequency freq, Date settlement = null)
{
return(BondFunctions.cleanPrice(this, yield, dc, comp, freq, settlement));
}
public bool isTradable(Date d = null)
{
return(BondFunctions.isTradable(this, d));
}
public Date maturityDate()
{
return(maturityDate_ ?? BondFunctions.maturityDate(this));
}
public Date startDate()
{
return(BondFunctions.startDate(this));
}
