//! Implemented in order to manage the case of par coupon
public override double indexFixing()
{
#if QL_USE_INDEXED_COUPON
return(index_.fixing(fixingDate()));
#else
if (isInArrears())
{
return(index_.fixing(fixingDate()));
}
else
{
Date today = Settings.evaluationDate();
Date fixingDate = this.fixingDate();
TimeSeries <double> fixings = IndexManager.instance().getHistory(index_.name()).value();
if (fixings.ContainsKey(fixingDate))
{
return(fixings[fixingDate]);
}
else
{
if (fixingDate < today)
{
// must have been fixed
if (IndexManager.MissingPastFixingCallBack == null)
{
throw new ArgumentException("Missing " + index_.name() + " fixing for " + fixingDate);
}
else
{
// try to load missing fixing from external source
double fixing = IndexManager.MissingPastFixingCallBack(index_, fixingDate);
// add to history
index_.addFixing(fixingDate, fixing);
return(fixing);
}
}
if (fixingDate == today)
{
// might have been fixed
// fall through and forecast
}
}
// forecast: 0) forecasting curve
Handle <YieldTermStructure> termStructure = iborIndex_.forwardingTermStructure();
if (termStructure.empty())
{
throw new ApplicationException("null term structure set to this instance of " +
index_.name());
}
// forecast: 1) startDiscount
Date fixingValueDate = index_.fixingCalendar().advance(fixingDate, index_.fixingDays(), TimeUnit.Days);
double startDiscount = termStructure.link.discount(fixingValueDate);
// forecast: 2) endDiscount
Date nextFixingDate = index_.fixingCalendar().advance(accrualEndDate_, -fixingDays, TimeUnit.Days);
Date nextFixingValueDate = index_.fixingCalendar().advance(nextFixingDate, index_.fixingDays(), TimeUnit.Days);
double endDiscount = termStructure.link.discount(nextFixingValueDate);
// forecast: 3) spanningTime
double spanningTime = index_.dayCounter().yearFraction(fixingValueDate, nextFixingValueDate);
if (!(spanningTime > 0.0))
{
throw new ApplicationException("cannot calculate forward rate between " +
fixingValueDate + " and " + nextFixingValueDate +
": non positive time using " + index_.dayCounter().name());
}
// forecast: 4) implied fixing
return((startDiscount / endDiscount - 1.0) / spanningTime);
}
#endif
}
/// <summary>
/// stores the historical fixings of the index
/// </summary>
/// <param name="name"></param>
/// <param name="history"></param>
public void setHistory(string name, TimeSeries <double?> history)
{
checkExists(name);
data_[name.ToUpper()].Assign(history);
}
