protected override void initializeDates() { // dummy ibor index with curve/swap arguments IborIndex clonedIborIndex = iborIndex_.clone(termStructureHandle_); // do not pass the spread here, as it might be a Quote i.e. it can dinamically change swap_ = new MakeVanillaSwap(tenor_, clonedIborIndex, 0.0, fwdStart_) .withFixedLegDayCount(fixedDayCount_) .withFixedLegTenor(new Period(fixedFrequency_)) .withFixedLegConvention(fixedConvention_) .withFixedLegTerminationDateConvention(fixedConvention_) .withFixedLegCalendar(calendar_) .withFloatingLegCalendar(calendar_); earliestDate_ = swap_.startDate(); // Usually... latestDate_ = swap_.maturityDate(); // ...but due to adjustments, the last floating coupon might // need a later date for fixing #if QL_USE_INDEXED_COUPON FloatingRateCoupon lastFloating = (FloatingRateCoupon)swap_.floatingLeg()[swap_.floatingLeg().Count - 1]; Date fixingValueDate = iborIndex_.valueDate(lastFloating.fixingDate()); Date endValueDate = iborIndex_.maturityDate(fixingValueDate); latestDate_ = Date.Max(latestDate_, endValueDate); #endif }
protected override void initializeDates() { // dummy ibor index with curve/swap arguments IborIndex clonedIborIndex = iborIndex_.clone(termStructureHandle_); // do not pass the spread here, as it might be a Quote i.e. it can dinamically change swap_ = new MakeVanillaSwap(tenor_, clonedIborIndex, 0.0, fwdStart_) .withFixedLegDayCount(fixedDayCount_) .withFixedLegTenor(new Period(fixedFrequency_)) .withFixedLegConvention(fixedConvention_) .withFixedLegTerminationDateConvention(fixedConvention_) .withFixedLegCalendar(calendar_) .withFloatingLegCalendar(calendar_); earliestDate_ = swap_.startDate(); // Usually... latestDate_ = swap_.maturityDate(); // ...but due to adjustments, the last floating coupon might // need a later date for fixing #if QL_USE_INDEXED_COUPON FloatingRateCoupon lastFloating = (FloatingRateCoupon)swap_.floatingLeg()[swap_.floatingLeg().Count - 1]; Date fixingValueDate = iborIndex_.valueDate(lastFloating.fixingDate()); Date endValueDate = iborIndex_.maturityDate(fixingValueDate); latestDate_ = Date.Max(latestDate_, endValueDate); #endif }