public Swaption value()
{
Date evaluationDate = Settings.evaluationDate();
Calendar fixingCalendar = swapIndex_.fixingCalendar();
fixingDate_ = fixingCalendar.advance(evaluationDate, optionTenor_, optionConvention_);
if (exerciseDate_ == null)
{
exercise_ = new EuropeanExercise(fixingDate_);
}
else
{
if (exerciseDate_ <= fixingDate_)
{
throw new ArgumentException(
"exercise date (" + exerciseDate_ + ") must be less " +
"than or equal to fixing date (" + fixingDate_ + ")");
}
exercise_ = new EuropeanExercise(exerciseDate_);
}
double usedStrike;
if (strike_ == null)
{
// ATM on the forecasting curve
if (!swapIndex_.forwardingTermStructure().empty())
{
throw new ArgumentException(
"no forecasting term structure set to " + swapIndex_.name());
}
VanillaSwap temp =
swapIndex_.underlyingSwap(fixingDate_);
temp.setPricingEngine(new DiscountingSwapEngine(
swapIndex_.forwardingTermStructure()));
usedStrike = temp.fairRate();
}
else
{
usedStrike = strike_.Value;
}
BusinessDayConvention bdc = swapIndex_.fixedLegConvention();
underlyingSwap_ = new MakeVanillaSwap(swapIndex_.tenor(),
swapIndex_.iborIndex(),
usedStrike)
.withEffectiveDate(swapIndex_.valueDate(fixingDate_))
.withFixedLegCalendar(swapIndex_.fixingCalendar())
.withFixedLegDayCount(swapIndex_.dayCounter())
.withFixedLegConvention(bdc)
.withFixedLegTerminationDateConvention(bdc);
Swaption swaption = new Swaption(underlyingSwap_, exercise_, delivery_);
swaption.setPricingEngine(engine_);
return(swaption);
}
//public SwapRateHelper(Quote rate, SwapIndex swapIndex) :
// this(rate, swapIndex, new SimpleQuote(), new Period(0, TimeUnit.Days)) { }
//public SwapRateHelper(Quote rate, SwapIndex swapIndex, Quote spread) :
// this(rate, swapIndex, spread, new Period(0, TimeUnit.Days)) { }
public SwapRateHelper(Handle<Quote> rate, SwapIndex swapIndex, Handle<Quote> spread, Period fwdStart)
: base(rate)
{
tenor_ = swapIndex.tenor();
calendar_ = swapIndex.fixingCalendar();
fixedConvention_ = swapIndex.fixedLegConvention();
fixedFrequency_ = swapIndex.fixedLegTenor().frequency();
fixedDayCount_ = swapIndex.dayCounter();
iborIndex_ = swapIndex.iborIndex();
spread_ = spread;
fwdStart_ = fwdStart;
// add observers
iborIndex_.registerWith(update);
spread_.registerWith(update);
initializeDates();
}
//public SwapRateHelper(double rate, SwapIndex swapIndex)
// : this(rate, swapIndex, new SimpleQuote()) { }
//public SwapRateHelper(double rate, SwapIndex swapIndex, Quote spread)
// : this(rate, swapIndex, spread, new Period(0, TimeUnit.Days)) { }
public SwapRateHelper(double rate, SwapIndex swapIndex, Handle <Quote> spread, Period fwdStart)
: base(rate)
{
tenor_ = swapIndex.tenor();
calendar_ = swapIndex.fixingCalendar();
fixedConvention_ = swapIndex.fixedLegConvention();
fixedFrequency_ = swapIndex.fixedLegTenor().frequency();
fixedDayCount_ = swapIndex.dayCounter();
iborIndex_ = swapIndex.iborIndex();
spread_ = spread;
fwdStart_ = fwdStart;
// add observers
iborIndex_.registerWith(update);
spread_.registerWith(update);
initializeDates();
}
public MakeCms(Period swapTenor,
SwapIndex swapIndex,
double iborSpread = 0.0,
Period forwardStart = null,
Date maturityDate = null)
{
swapTenor_ = swapTenor;
swapIndex_ = swapIndex;
iborIndex_ = swapIndex.iborIndex();
iborSpread_ = iborSpread;
iborCap_ = null;
iborFloor_ = null;
useAtmSpread_ = false;
forwardStart_ = forwardStart ?? new Period(0, TimeUnit.Days);
cmsSpread_ = 0.0;
cmsGearing_ = 1.0;
cmsCap_ = null;
cmsFloor_ = null;
effectiveDate_ = null;
cmsCalendar_ = swapIndex.fixingCalendar();
floatCalendar_ = iborIndex_.fixingCalendar();
payCms_ = true;
nominal_ = 1.0;
maturityDate_ = maturityDate;
cmsTenor_ = new Period(3, TimeUnit.Months);
floatTenor_ = iborIndex_.tenor();
cmsConvention_ = BusinessDayConvention.ModifiedFollowing;
cmsTerminationDateConvention_ = BusinessDayConvention.ModifiedFollowing;
floatConvention_ = iborIndex_.businessDayConvention();
floatTerminationDateConvention_ = iborIndex_.businessDayConvention();
cmsRule_ = DateGeneration.Rule.Backward;
floatRule_ = DateGeneration.Rule.Backward;
cmsEndOfMonth_ = false;
floatEndOfMonth_ = false;
cmsFirstDate_ = null;
cmsNextToLastDate_ = null;
floatFirstDate_ = null;
floatNextToLastDate_ = null;
cmsDayCount_ = new Actual360();
floatDayCount_ = iborIndex_.dayCounter();
engine_ = new DiscountingSwapEngine(swapIndex.forwardingTermStructure());
}
