public VanillaSwap value()
{
Date startDate;
if (effectiveDate_ != null)
{
startDate = effectiveDate_;
}
else
{
Date refDate = Settings.evaluationDate();
// if the evaluation date is not a business day
// then move to the next business day
refDate = floatCalendar_.adjust(refDate);
Date spotDate = floatCalendar_.advance(refDate, new Period(settlementDays_, TimeUnit.Days));
startDate = spotDate + forwardStart_;
if (forwardStart_.length() < 0)
{
startDate = floatCalendar_.adjust(startDate, BusinessDayConvention.Preceding);
}
else
{
startDate = floatCalendar_.adjust(startDate, BusinessDayConvention.Following);
}
}
Date endDate = terminationDate_;
if (endDate == null)
{
if (floatEndOfMonth_)
{
endDate = floatCalendar_.advance(startDate,
swapTenor_,
BusinessDayConvention.ModifiedFollowing,
floatEndOfMonth_);
}
else
{
endDate = startDate + swapTenor_;
}
}
Currency curr = iborIndex_.currency();
Period fixedTenor = null;
if (fixedTenor_ != null)
{
fixedTenor = fixedTenor_;
}
else
{
if ((curr == new EURCurrency()) ||
(curr == new USDCurrency()) ||
(curr == new CHFCurrency()) ||
(curr == new SEKCurrency()) ||
(curr == new GBPCurrency() && swapTenor_ <= new Period(1, TimeUnit.Years)))
{
fixedTenor = new Period(1, TimeUnit.Years);
}
else if ((curr == new GBPCurrency() && swapTenor_ > new Period(1, TimeUnit.Years) ||
(curr == new JPYCurrency()) ||
(curr == new AUDCurrency() && swapTenor_ >= new Period(4, TimeUnit.Years))))
{
fixedTenor = new Period(6, TimeUnit.Months);
}
else if ((curr == new HKDCurrency() ||
(curr == new AUDCurrency() && swapTenor_ < new Period(4, TimeUnit.Years))))
{
fixedTenor = new Period(3, TimeUnit.Months);
}
else
{
Utils.QL_FAIL("unknown fixed leg default tenor for " + curr);
}
}
Schedule fixedSchedule = new Schedule(startDate, endDate,
fixedTenor, fixedCalendar_,
fixedConvention_, fixedTerminationDateConvention_,
fixedRule_, fixedEndOfMonth_,
fixedFirstDate_, fixedNextToLastDate_);
Schedule floatSchedule = new Schedule(startDate, endDate,
floatTenor_, floatCalendar_,
floatConvention_, floatTerminationDateConvention_,
floatRule_, floatEndOfMonth_,
floatFirstDate_, floatNextToLastDate_);
DayCounter fixedDayCount = null;
if (fixedDayCount_ != null)
{
fixedDayCount = fixedDayCount_;
}
else
{
if (curr == new USDCurrency())
{
fixedDayCount = new Actual360();
}
else if (curr == new EURCurrency() || curr == new CHFCurrency() || curr == new SEKCurrency())
{
fixedDayCount = new Thirty360(Thirty360.Thirty360Convention.BondBasis);
}
else if (curr == new GBPCurrency() || curr == new JPYCurrency() || curr == new AUDCurrency() ||
curr == new HKDCurrency())
{
fixedDayCount = new Actual365Fixed();
}
else
{
Utils.QL_FAIL("unknown fixed leg day counter for " + curr);
}
}
double?usedFixedRate = fixedRate_;
if (fixedRate_ == null)
{
VanillaSwap temp = new VanillaSwap(type_, nominal_, fixedSchedule, 0.0, fixedDayCount,
floatSchedule, iborIndex_, floatSpread_, floatDayCount_);
if (engine_ == null)
{
Handle <YieldTermStructure> disc = iborIndex_.forwardingTermStructure();
Utils.QL_REQUIRE(!disc.empty(), () =>
"null term structure set to this instance of " + iborIndex_.name());
bool includeSettlementDateFlows = false;
IPricingEngine engine = new DiscountingSwapEngine(disc, includeSettlementDateFlows);
temp.setPricingEngine(engine);
}
else
{
temp.setPricingEngine(engine_);
}
usedFixedRate = temp.fairRate();
}
VanillaSwap swap = new VanillaSwap(type_, nominal_, fixedSchedule, usedFixedRate.Value, fixedDayCount,
floatSchedule, iborIndex_, floatSpread_, floatDayCount_);
if (engine_ == null)
{
Handle <YieldTermStructure> disc = iborIndex_.forwardingTermStructure();
bool includeSettlementDateFlows = false;
IPricingEngine engine = new DiscountingSwapEngine(disc, includeSettlementDateFlows);
swap.setPricingEngine(engine);
}
else
{
swap.setPricingEngine(engine_);
}
return(swap);
}
