public OvernightIndexedCoupon(
Date paymentDate,
double nominal,
Date startDate,
Date endDate,
OvernightIndex overnightIndex,
double gearing = 1.0,
double spread = 0.0,
Date refPeriodStart = null,
Date refPeriodEnd = null,
DayCounter dayCounter = null)
: base(paymentDate, nominal, startDate, endDate,
overnightIndex.fixingDays(), overnightIndex,
gearing, spread,
refPeriodStart, refPeriodEnd,
dayCounter, false)
{
// value dates
Schedule sch = new MakeSchedule()
.from(startDate)
.to(endDate)
.withTenor(new Period(1, TimeUnit.Days))
.withCalendar(overnightIndex.fixingCalendar())
.withConvention(overnightIndex.businessDayConvention())
.backwards()
.value();
valueDates_ = sch.dates();
Utils.QL_REQUIRE(valueDates_.Count >= 2, () => "degenerate schedule");
// fixing dates
n_ = valueDates_.Count - 1;
if (overnightIndex.fixingDays() == 0)
{
fixingDates_ = new List <Date>(valueDates_);
}
else
{
fixingDates_ = new InitializedList <Date>(n_);
for (int i = 0; i < n_; ++i)
{
fixingDates_[i] = overnightIndex.fixingDate(valueDates_[i]);
}
}
// accrual (compounding) periods
dt_ = new List <double>(n_);
DayCounter dc = overnightIndex.dayCounter();
for (int i = 0; i < n_; ++i)
{
dt_.Add(dc.yearFraction(valueDates_[i], valueDates_[i + 1]));
}
setPricer(new OvernightIndexedCouponPricer());
}
public MakeOIS(Period swapTenor, OvernightIndex overnightIndex, double?fixedRate = null, Period fwdStart = null)
{
swapTenor_ = swapTenor;
overnightIndex_ = overnightIndex;
fixedRate_ = fixedRate;
forwardStart_ = fwdStart ?? new Period(0, TimeUnit.Days);
settlementDays_ = 2;
calendar_ = overnightIndex.fixingCalendar();
paymentFrequency_ = Frequency.Annual;
rule_ = DateGeneration.Rule.Backward;
// any value here for endOfMonth_ would not be actually used
isDefaultEOM_ = true;
type_ = OvernightIndexedSwap.Type.Payer;
nominal_ = 1.0;
overnightSpread_ = 0.0;
fixedDayCount_ = overnightIndex.dayCounter();
}