private int bmaCutoffDays = 0; // to be verified
// double gearing = 1.0, double spread = 0.0,
// Date refPeriodStart = Date(), Date refPeriodEnd = Date(), DayCounter dayCounter = DayCounter());
public AverageBMACoupon(double nominal, Date paymentDate, Date startDate, Date endDate, BMAIndex index,
double gearing, double spread, Date refPeriodStart, Date refPeriodEnd, DayCounter dayCounter)
: base(nominal, paymentDate, startDate, endDate, index.fixingDays(), index, gearing, spread,
refPeriodStart, refPeriodEnd, dayCounter, false) {
fixingSchedule_ = index.fixingSchedule(
index.fixingCalendar()
.advance(startDate, new Period(-index.fixingDays() + bmaCutoffDays, TimeUnit.Days),
BusinessDayConvention.Preceding), endDate);
setPricer(new AverageBMACouponPricer());
}
private int bmaCutoffDays = 0; // to be verified
// double gearing = 1.0, double spread = 0.0,
// Date refPeriodStart = Date(), Date refPeriodEnd = Date(), DayCounter dayCounter = DayCounter());
public AverageBMACoupon(double nominal, Date paymentDate, Date startDate, Date endDate, BMAIndex index,
double gearing, double spread, Date refPeriodStart, Date refPeriodEnd, DayCounter dayCounter)
: base(nominal, paymentDate, startDate, endDate, index.fixingDays(), index, gearing, spread,
refPeriodStart, refPeriodEnd, dayCounter, false)
{
fixingSchedule_ = index.fixingSchedule(
index.fixingCalendar()
.advance(startDate, new Period(-index.fixingDays() + bmaCutoffDays, TimeUnit.Days),
BusinessDayConvention.Preceding), endDate);
setPricer(new AverageBMACouponPricer());
}
public AverageBMACoupon(Date paymentDate,
double nominal,
Date startDate,
Date endDate,
BMAIndex index,
double gearing = 1.0,
double spread = 0.0,
Date refPeriodStart = null,
Date refPeriodEnd = null,
DayCounter dayCounter = null)
: base(paymentDate, nominal, startDate, endDate, index.fixingDays(), index, gearing, spread,
refPeriodStart, refPeriodEnd, dayCounter)
{
fixingSchedule_ = index.fixingSchedule(
index.fixingCalendar()
.advance(startDate, new Period(-index.fixingDays(), TimeUnit.Days),
BusinessDayConvention.Preceding), endDate);
setPricer(new AverageBMACouponPricer());
}
protected override void initializeDates()
{
earliestDate_ = calendar_.advance(evaluationDate_, new Period(settlementDays_, TimeUnit.Days),
BusinessDayConvention.Following);
Date maturity = earliestDate_ + tenor_;
// dummy BMA index with curve/swap arguments
BMAIndex clonedIndex = new BMAIndex(termStructureHandle_);
Schedule bmaSchedule = new MakeSchedule().from(earliestDate_).to(maturity)
.withTenor(bmaPeriod_)
.withCalendar(bmaIndex_.fixingCalendar())
.withConvention(bmaConvention_)
.backwards()
.value();
Schedule liborSchedule = new MakeSchedule().from(earliestDate_).to(maturity)
.withTenor(iborIndex_.tenor())
.withCalendar(iborIndex_.fixingCalendar())
.withConvention(iborIndex_.businessDayConvention())
.endOfMonth(iborIndex_.endOfMonth())
.backwards()
.value();
swap_ = new BMASwap(BMASwap.Type.Payer, 100.0, liborSchedule, 0.75, // arbitrary
0.0, iborIndex_, iborIndex_.dayCounter(), bmaSchedule, clonedIndex, bmaDayCount_);
swap_.setPricingEngine(new DiscountingSwapEngine(iborIndex_.forwardingTermStructure()));
Date d = calendar_.adjust(swap_.maturityDate(), BusinessDayConvention.Following);
int w = d.weekday();
Date nextWednesday = (w >= 4) ? d + new Period((11 - w), TimeUnit.Days) :
d + new Period((4 - w), TimeUnit.Days);
latestDate_ = clonedIndex.valueDate(clonedIndex.fixingCalendar().adjust(nextWednesday));
}
protected override void initializeDates()
{
earliestDate_ = calendar_.advance(evaluationDate_, new Period(settlementDays_, TimeUnit.Days),
BusinessDayConvention.Following);
Date maturity = earliestDate_ + tenor_;
// dummy BMA index with curve/swap arguments
BMAIndex clonedIndex = new BMAIndex(termStructureHandle_);
Schedule bmaSchedule = new MakeSchedule().from(earliestDate_).to(maturity)
.withTenor(bmaPeriod_)
.withCalendar(bmaIndex_.fixingCalendar())
.withConvention(bmaConvention_)
.backwards()
.value();
Schedule liborSchedule = new MakeSchedule().from(earliestDate_).to(maturity)
.withTenor(iborIndex_.tenor())
.withCalendar(iborIndex_.fixingCalendar())
.withConvention(iborIndex_.businessDayConvention())
.endOfMonth(iborIndex_.endOfMonth())
.backwards()
.value();
swap_ = new BMASwap(BMASwap.Type.Payer, 100.0, liborSchedule, 0.75, // arbitrary
0.0, iborIndex_, iborIndex_.dayCounter(), bmaSchedule, clonedIndex, bmaDayCount_);
swap_.setPricingEngine(new DiscountingSwapEngine(iborIndex_.forwardingTermStructure()));
Date d = calendar_.adjust(swap_.maturityDate(), BusinessDayConvention.Following);
int w = d.weekday();
Date nextWednesday = (w >= 4) ? d + new Period((11 - w), TimeUnit.Days) :
d + new Period((4 - w), TimeUnit.Days);
latestDate_ = clonedIndex.valueDate(clonedIndex.fixingCalendar().adjust(nextWednesday));
}
