public FloatFloatSwap(VanillaSwap.Type type,
double nominal1,
double nominal2,
Schedule schedule1,
InterestRateIndex index1,
DayCounter dayCount1,
Schedule schedule2,
InterestRateIndex index2,
DayCounter dayCount2,
bool intermediateCapitalExchange = false,
bool finalCapitalExchange = false,
double gearing1 = 1.0,
double spread1 = 0.0,
double?cappedRate1 = null,
double?flooredRate1 = null,
double gearing2 = 1.0,
double spread2 = 0.0,
double?cappedRate2 = null,
double?flooredRate2 = null,
BusinessDayConvention?paymentConvention1 = null,
BusinessDayConvention?paymentConvention2 = null)
: base(2)
{
type_ = type;
nominal1_ = new InitializedList <double> (schedule1.size() - 1, nominal1);
nominal2_ = new InitializedList <double> (schedule2.size() - 1, nominal2);
schedule1_ = schedule1;
schedule2_ = schedule2;
index1_ = index1;
index2_ = index2;
gearing1_ = new InitializedList <double>(schedule1.size() - 1, gearing1);
gearing2_ = new InitializedList <double>(schedule2.size() - 1, gearing2);
spread1_ = new InitializedList <double>(schedule1.size() - 1, spread1);
spread2_ = new InitializedList <double>(schedule2.size() - 1, spread2);
cappedRate1_ = new InitializedList <double?>(schedule1.size() - 1, cappedRate1);
flooredRate1_ = new InitializedList <double?>(schedule1.size() - 1, flooredRate1);
cappedRate2_ = new InitializedList <double?>(schedule2.size() - 1, cappedRate2);
flooredRate2_ = new InitializedList <double?>(schedule2.size() - 1, flooredRate2);
dayCount1_ = dayCount1; dayCount2_ = dayCount2;
intermediateCapitalExchange_ = intermediateCapitalExchange;
finalCapitalExchange_ = finalCapitalExchange;
init(paymentConvention1, paymentConvention2);
}
