public override double yearFraction(Date d1, Date d2, Date d3, Date d4)
{
if (d1 == d2)
{
return(0.0);
}
if (d2 < d1)
{
return(-yearFraction(d2, d1, d3, d4));
}
List <Date> couponDates =
getListOfPeriodDatesIncludingQuasiPayments(schedule_);
double yearFractionSum = 0.0;
for (int i = 0; i < couponDates.Count - 1; i++)
{
Date startReferencePeriod = couponDates[i];
Date endReferencePeriod = couponDates[i + 1];
if (d1 < endReferencePeriod && d2 > startReferencePeriod)
{
yearFractionSum +=
yearFractionWithReferenceDates(this,
Date.Max(d1, startReferencePeriod),
Date.Min(d2, endReferencePeriod),
startReferencePeriod,
endReferencePeriod);
}
}
return(yearFractionSum);
}
public override Date maxDate()
{
Date maxDate = Date.Min(underlyingDividendTS_.currentLink().maxDate(),
riskFreeTS_.currentLink().maxDate());
maxDate = Date.Min(maxDate, foreignRiskFreeTS_.currentLink().maxDate());
maxDate = Date.Min(maxDate, underlyingBlackVolTS_.currentLink().maxDate());
maxDate = Date.Min(maxDate, exchRateBlackVolTS_.currentLink().maxDate());
return(maxDate);
}
public override double accruedAmount(Date d)
{
if (d <= accrualStartDate_ || d > paymentDate_)
{
return(0);
}
else
{
return(nominal() * rate() *
dayCounter().yearFraction(accrualStartDate_, Date.Min(d, accrualEndDate_), refPeriodStart_, refPeriodEnd_));
}
}
public override double accruedAmount(Date d)
{
if (d <= accrualStartDate_ || d > paymentDate_)
{
return(0);
}
else if (tradingExCoupon(d))
{
return(-nominal() * (rate_.compoundFactor(d,
accrualEndDate_,
refPeriodStart_,
refPeriodEnd_) - 1.0));
}
else
{
return(nominal() * (rate_.compoundFactor(accrualStartDate_, Date.Min(d, accrualEndDate_),
refPeriodStart_, refPeriodEnd_) - 1.0));
}
}
public static Date startDate(Leg leg)
{
Utils.QL_REQUIRE(!leg.empty(), () => "empty leg");
Date d = Date.maxDate();
for (int i = 0; i < leg.Count; ++i)
{
Coupon c = leg[i] as Coupon;
if (c != null)
{
d = Date.Min(d, c.accrualStartDate());
}
else
{
d = Date.Min(d, leg[i].date());
}
}
return(d);
}
public override double swapletRate()
{
List<Date> fixingDates = coupon_.fixingDates();
InterestRateIndex index = coupon_.index();
int cutoffDays = 0; // to be verified
Date startDate = coupon_.accrualStartDate() - cutoffDays,
endDate = coupon_.accrualEndDate() - cutoffDays,
d1 = startDate;
Utils.QL_REQUIRE(fixingDates.Count > 0, () => "fixing date list empty");
Utils.QL_REQUIRE(index.valueDate(fixingDates.First()) <= startDate, () => "first fixing date valid after period start");
Utils.QL_REQUIRE(index.valueDate(fixingDates.Last()) >= endDate, () => "last fixing date valid before period end");
double avgBMA = 0.0;
int days = 0;
for (int i = 0; i < fixingDates.Count - 1; ++i)
{
Date valueDate = index.valueDate(fixingDates[i]);
Date nextValueDate = index.valueDate(fixingDates[i + 1]);
if (fixingDates[i] >= endDate || valueDate >= endDate)
break;
if (fixingDates[i + 1] < startDate || nextValueDate <= startDate)
continue;
Date d2 = Date.Min(nextValueDate, endDate);
avgBMA += index.fixing(fixingDates[i]) * (d2 - d1);
days += d2 - d1;
d1 = d2;
}
avgBMA /= (endDate - startDate);
Utils.QL_REQUIRE(days == endDate - startDate, () =>
"averaging days " + days + " differ from " + "interest days " + (endDate - startDate));
return coupon_.gearing() * avgBMA + coupon_.spread();
}
