public CapFloor value()
{
VanillaSwap swap = makeVanillaSwap_;
List <CashFlow> leg = swap.floatingLeg();
if (firstCapletExcluded_)
{
leg.RemoveAt(0);
}
// only leaves the last coupon
if (asOptionlet_ && leg.Count > 1)
{
leg.RemoveRange(0, leg.Count - 2); // Sun Studio needs an lvalue
}
List <double> strikeVector;
if (strike_ == null)
{
// temporary patch...
// should be fixed for every CapFloor::Engine
BlackCapFloorEngine temp = engine_ as BlackCapFloorEngine;
Utils.QL_REQUIRE(temp != null, () => "cannot calculate ATM without a BlackCapFloorEngine");
Handle <YieldTermStructure> discountCurve = temp.termStructure();
strikeVector = new InitializedList <double>(1, CashFlows.atmRate(leg, discountCurve, false, discountCurve.link.referenceDate()));
}
else
{
strikeVector = new InitializedList <double>(1, strike_.Value);
}
CapFloor capFloor = new CapFloor(capFloorType_, leg, strikeVector);
capFloor.setPricingEngine(engine_);
return(capFloor);
}
