public void testFairRate()
{
Calendar calendar = new TARGET();
Date settlementDate = new Date(10, Month.Mar, 2010);
/*********************
* LOAN TO BE PRICED *
**********************/
// constant nominal 1,000,000 Euro
double nominal = 1000000.0;
// fixed leg
Frequency fixedLegFrequency = Frequency.Monthly;
BusinessDayConvention fixedLegConvention = BusinessDayConvention.Unadjusted;
BusinessDayConvention principalLegConvention = BusinessDayConvention.ModifiedFollowing;
DayCounter fixedLegDayCounter = new Thirty360(Thirty360.Thirty360Convention.European);
double fixedRate = 0.04;
// Principal leg
Frequency pricipalLegFrequency = Frequency.Annual;
int lenghtInMonths = 3;
Loan.Type loanType = Loan.Type.Payer;
Date maturity = settlementDate + new Period(lenghtInMonths, TimeUnit.Years);
Schedule fixedSchedule = new Schedule(settlementDate, maturity, new Period(fixedLegFrequency),
calendar, fixedLegConvention, fixedLegConvention, DateGeneration.Rule.Forward, false);
Schedule principalSchedule = new Schedule(settlementDate, maturity, new Period(pricipalLegFrequency),
calendar, principalLegConvention, principalLegConvention, DateGeneration.Rule.Forward, false);
Loan testLoan = new FixedLoan(loanType, nominal, fixedSchedule, fixedRate, fixedLegDayCounter,
principalSchedule, principalLegConvention);
}
public FixedLoan value()
{
Schedule fixedSchedule = new Schedule(startDate_, endDate_, new Period(frequency_),
calendar_, convention_, convention_, rule_, endOfMonth_);
Period principalPeriod = amortising_ == Loan.Amortising.Bullet ?
new Period(Frequency.Once) :
new Period(frequency_);
Schedule principalSchedule = new Schedule(startDate_, endDate_, principalPeriod,
calendar_, convention_, convention_, rule_, endOfMonth_);
FixedLoan fl = new FixedLoan(type_, nominal_, fixedSchedule, fixedRate_, dayCounter_,
principalSchedule, convention_);
return fl;
}