public override void initialize(InflationCoupon coupon)
{
coupon_ = coupon as YoYInflationCoupon;
gearing_ = coupon_.gearing();
spread_ = coupon_.spread();
PaymentDate = coupon_.Date;
YoYInflationIndex y = (YoYInflationIndex)(coupon.index());
RateCurve = y.yoyInflationTermStructure().link.nominalTermStructure();
// past or future fixing is managed in YoYInflationIndex::fixing()
// use yield curve from index (which sets discount)
discount_ = 1.0;
if (PaymentDate > RateCurve.link.referenceDate())
discount_ = RateCurve.link.discount(PaymentDate);
spreadLegValue_ = spread_ * coupon_.accrualPeriod() * discount_;
}
public override void initialize(InflationCoupon coupon)
{
coupon_ = coupon as YoYInflationCoupon;
gearing_ = coupon_.gearing();
spread_ = coupon_.spread();
paymentDate_ = coupon_.date();
YoYInflationIndex y = (YoYInflationIndex)(coupon.index());
rateCurve_ = y.yoyInflationTermStructure().link.nominalTermStructure();
// past or future fixing is managed in YoYInflationIndex::fixing()
// use yield curve from index (which sets discount)
discount_ = 1.0;
if (paymentDate_ > rateCurve_.link.referenceDate())
{
discount_ = rateCurve_.link.discount(paymentDate_);
}
spreadLegValue_ = spread_ * coupon_.accrualPeriod() * discount_;
}
public virtual void initialize(InflationCoupon i)
{
}
public override void initialize( InflationCoupon coupon)
{
coupon_ = coupon as CPICoupon;
gearing_ = coupon_.fixedRate();
spread_ = coupon_.spread();
paymentDate_ = coupon_.date();
rateCurve_ = ((ZeroInflationIndex)coupon.index())
.zeroInflationTermStructure().link
.nominalTermStructure();
// past or future fixing is managed in YoYInflationIndex::fixing()
// use yield curve from index (which sets discount)
discount_ = 1.0;
if (paymentDate_ > rateCurve_.link.referenceDate())
discount_ = rateCurve_.link.discount(paymentDate_);
spreadLegValue_ = spread_ * coupon_.accrualPeriod()* discount_;
}
public virtual void initialize(InflationCoupon i) {}
