// Stores historical fixings from a TimeSeries
// The dates in the TimeSeries must be the actual calendar dates of the fixings; no settlement days must be used.
public void addFixings(TimeSeries <double?> source, bool forceOverwrite = false)
{
checkNativeFixingsAllowed();
TimeSeries <double?> target = IndexManager.instance().getHistory(name());
foreach (Date d in source.Keys)
{
if (isValidFixingDate(d))
{
if (!target.ContainsKey(d))
{
target.Add(d, source[d]);
}
else if (forceOverwrite)
{
target[d] = source[d];
}
else if (Utils.close(target[d].GetValueOrDefault(), source[d].GetValueOrDefault()))
{
continue;
}
else
{
throw new ArgumentException("Duplicated fixing provided: " + d + ", " + source[d] +
" while " + target[d] + " value is already present");
}
}
else
{
throw new ArgumentException("Invalid fixing provided: " + d.DayOfWeek + " " + d + ", " + source[d]);
}
}
IndexManager.instance().setHistory(name(), target);
}
public override double fixing(Date fixingDate, bool forecastTodaysFixing)
{
if (!isValidFixingDate(fixingDate))
{
throw new ArgumentException("Fixing date " + fixingDate + " is not valid");
}
TimeSeries <double> fixings = IndexManager.instance().getHistory(name()).value();
if (fixings.ContainsKey(fixingDate))
{
return(fixings[fixingDate]);
}
else
{
Date today = Settings.evaluationDate();
if (fixingDate < today ||
(fixingDate == today && !forecastTodaysFixing && Settings.enforcesTodaysHistoricFixings))
{
// must have been fixed
if (IndexManager.MissingPastFixingCallBack == null)
{
throw new ArgumentException("Missing " + name() + " fixing for " + fixingDate);
}
else
{
// try to load missing fixing from external source
double fixing = IndexManager.MissingPastFixingCallBack(this, fixingDate);
// add to history
addFixing(fixingDate, fixing);
return(fixing);
}
}
if ((fixingDate == today) && !forecastTodaysFixing)
{
// might have been fixed but forecast since it does not exist
// so fall through and forecast
}
// forecast
return(forecastFixing(fixingDate));
}
}
//! 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
}
