// Instrument interface
public override void calculate()
{
Utils.QL_REQUIRE(!discountCurve_.empty(), () => "discounting term structure handle is empty");
results_.value = results_.cash = 0;
results_.errorEstimate = null;
Date refDate = discountCurve_.link.referenceDate();
Date settlementDate = settlementDate_;
if (settlementDate_ == null)
{
settlementDate = refDate;
}
else
{
Utils.QL_REQUIRE(settlementDate >= refDate, () =>
"settlement date (" + settlementDate + ") before " +
"discount curve reference date (" + refDate + ")");
}
results_.valuationDate = npvDate_;
if (npvDate_ == null)
{
results_.valuationDate = refDate;
}
else
{
Utils.QL_REQUIRE(npvDate_ >= refDate, () =>
"npv date (" + npvDate_ + ") before " +
"discount curve reference date (" + refDate + ")");
}
results_.npvDateDiscount = discountCurve_.link.discount(results_.valuationDate);
int n = arguments_.legs.Count;
results_.legNPV = new InitializedList <double?>(n);
results_.legBPS = new InitializedList <double?>(n);
results_.startDiscounts = new InitializedList <double?>(n);
results_.endDiscounts = new InitializedList <double?>(n);
bool includeRefDateFlows =
includeSettlementDateFlows_.HasValue ?
includeSettlementDateFlows_.Value :
Settings.Instance.includeReferenceDateEvents;
for (int i = 0; i < n; ++i)
{
try
{
YieldTermStructure discount_ref = discountCurve_.currentLink();
double npv = 0, bps = 0;
CashFlows.npvbps(arguments_.legs[i],
discount_ref,
includeRefDateFlows,
settlementDate,
results_.valuationDate,
out npv,
out bps);
results_.legNPV[i] = npv * arguments_.payer[i];
results_.legBPS[i] = bps * arguments_.payer[i];
if (!arguments_.legs[i].empty())
{
Date d1 = CashFlows.startDate(arguments_.legs[i]);
if (d1 >= refDate)
{
results_.startDiscounts[i] = discountCurve_.link.discount(d1);
}
else
{
results_.startDiscounts[i] = null;
}
Date d2 = CashFlows.maturityDate(arguments_.legs[i]);
if (d2 >= refDate)
{
results_.endDiscounts[i] = discountCurve_.link.discount(d2);
}
else
{
results_.endDiscounts[i] = null;
}
}
else
{
results_.startDiscounts[i] = null;
results_.endDiscounts[i] = null;
}
}
catch (Exception e)
{
Utils.QL_FAIL((i + 1) + " leg: " + e.Message);
}
results_.value += results_.legNPV[i];
}
}
