/// <summary>
/// Make a set of CDSCouponDes.
/// </summary>
/// <param name="leg"> the schedule of the accrual periods </param>
/// <param name="accrualDCC"> the day count used for the accrual </param>
/// <returns> a set of CDSCouponDes </returns>
public static CdsCouponDes[] makeCoupons(IsdaPremiumLegSchedule leg, Enums.DayCount accrualDCC)
{
int n = leg.NumPayments;
CdsCouponDes[] coupons = new CdsCouponDes[n];
for (int i = 0; i < n; i++)
{
coupons[i] = new CdsCouponDes(leg.getAccStartDate(i), leg.getAccEndDate(i), leg.getPaymentDate(i), accrualDCC);
}
return coupons;
}
/// <summary>
/// Turn a date based description of a CDS accrual period (<seealso cref="CdsCouponDes"/>) into an analytic description
/// (<seealso cref="CdsCoupon"/>). This uses ACT/360 for the accrual day count.
/// </summary>
/// <param name="tradeDate"> The trade date </param>
/// <param name="coupon"> A date based description of a CDS accrual period </param>
/// <param name="protectionFromStartOfDay"> If true the protection is from the start of day and the effective accrual
/// start and end dates are one day less. The exception is the accrual end date which should have one day
/// added (if protectionFromStartOfDay = true) in the CDSCouponDes to compensate for this, so the
/// accrual end date is just the CDS maturity.
/// The effect of having protectionFromStartOfDay = true is to add an extra day of protection. </param>
/// <param name="curveDCC"> Day count used on curve (NOTE ISDA uses ACT/365 (fixed) and it is not recommended to change this) </param>
public CdsCoupon(DateTime tradeDate, CdsCouponDes coupon, bool protectionFromStartOfDay, Enums.DayCount curveDCC)
{
DateTime effStart = protectionFromStartOfDay ? coupon.getAccStart().AddDays(1) : coupon.getAccStart();
DateTime effEnd = protectionFromStartOfDay ? coupon.getAccEnd().AddDays(-1) : coupon.getAccEnd();
Actual365 dc = new Actual365();
_effStart = DateTime.Compare(effStart, tradeDate) < 0 ? -dc.YearFraction(effStart, tradeDate) : dc.YearFraction(tradeDate, effStart);
_effEnd = dc.YearFraction(tradeDate, effEnd);
_paymentTime = dc.YearFraction(tradeDate, coupon.getPaymentDate());
_yearFrac = coupon.getYearFrac();
_ycRatio = _yearFrac / dc.YearFraction(coupon.getAccStart(), coupon.getAccEnd());
}
/// <summary>
/// Turn a date based description of a CDS accrual period (<seealso cref="CdsCouponDes"/>) into an analytic description
/// (<seealso cref="CdsCoupon"/>). This has protection from start of day and uses ACT/360 for the accrual day count.
/// </summary>
/// <param name="tradeDate"> The trade date </param>
/// <param name="coupon"> A date based description of a CDS accrual period </param>
public CdsCoupon(DateTime tradeDate, CdsCouponDes coupon, Boolean protectionFromStartOfDay) :
this(tradeDate, coupon, PROTECTION_FROM_START, ACT_360)
{
}
/// <summary>
/// Turn a date based description of a CDS accrual period (<seealso cref="CdsCouponDes"/>) into an analytic description
/// (<seealso cref="CdsCoupon"/>). This has protection from start of day and uses ACT/360 for the accrual day count.
/// </summary>
/// <param name="tradeDate"> The trade date </param>
/// <param name="coupon"> A date based description of a CDS accrual period </param>
/// <param name="curveDCC"> Day count used on curve (NOTE ISDA uses ACT/365 (fixed) and it is not recommended to change this) </param>
public CdsCoupon(DateTime tradeDate, CdsCouponDes coupon, Enums.DayCount curveDCC) :
this(tradeDate, coupon, PROTECTION_FROM_START, curveDCC)
{
}
