public BasisSwap value()
{
Date startDate;
if (effectiveDate_ != null)
{
startDate = effectiveDate_;
}
else
{
int fixingDays = iborIndex1_.fixingDays();
Date referenceDate = Settings.evaluationDate();
Date spotDate = float1Calendar_.advance(referenceDate, new Period(fixingDays, TimeUnit.Days));
startDate = spotDate + forwardStart_;
}
Date endDate;
if (terminationDate_ != null)
{
endDate = terminationDate_;
}
else
{
endDate = startDate + swapTenor_;
}
Schedule float1Schedule = new Schedule(startDate, endDate,
float1Tenor_, float1Calendar_,
float1Convention_, float1TerminationDateConvention_,
float1Rule_, float1EndOfMonth_,
float1FirstDate_, float1NextToLastDate_);
Schedule float2Schedule = new Schedule(startDate, endDate,
float2Tenor_, float2Calendar_,
float2Convention_, float2TerminationDateConvention_,
float2Rule_, float2EndOfMonth_,
float2FirstDate_, float2NextToLastDate_);
BasisSwap swap = new BasisSwap(type_, nominal_,
float1Schedule, iborIndex1_, float1Spread_, float1DayCount_,
float2Schedule, iborIndex2_, float2Spread_, float2DayCount_);
swap.setPricingEngine(engine_);
return(swap);
}
public MakeBasisSwap withType(BasisSwap.Type type)
{
type_ = type;
return this;
}
public BasisSwap value()
{
Date startDate;
if (effectiveDate_ != null)
startDate = effectiveDate_;
else
{
int fixingDays = iborIndex1_.fixingDays();
Date referenceDate = Settings.evaluationDate();
Date spotDate = float1Calendar_.advance(referenceDate, new Period(fixingDays, TimeUnit.Days));
startDate = spotDate + forwardStart_;
}
Date endDate;
if (terminationDate_ != null)
endDate = terminationDate_;
else
endDate = startDate + swapTenor_;
Schedule float1Schedule = new Schedule(startDate, endDate,
float1Tenor_, float1Calendar_,
float1Convention_, float1TerminationDateConvention_,
float1Rule_, float1EndOfMonth_,
float1FirstDate_, float1NextToLastDate_);
Schedule float2Schedule = new Schedule(startDate, endDate,
float2Tenor_, float2Calendar_,
float2Convention_, float2TerminationDateConvention_,
float2Rule_, float2EndOfMonth_,
float2FirstDate_, float2NextToLastDate_);
BasisSwap swap = new BasisSwap(type_, nominal_,
float1Schedule, iborIndex1_, float1Spread_,float1DayCount_,
float2Schedule, iborIndex2_, float2Spread_, float2DayCount_);
swap.setPricingEngine(engine_);
return swap;
}
