public OvernightIndexedCoupon(
Date paymentDate,
double nominal,
Date startDate,
Date endDate,
OvernightIndex overnightIndex,
double gearing = 1.0,
double spread = 0.0,
Date refPeriodStart = null,
Date refPeriodEnd = null,
DayCounter dayCounter = null)
: base(nominal, paymentDate, startDate, endDate,
overnightIndex.fixingDays(), overnightIndex,
gearing, spread,
refPeriodStart, refPeriodEnd,
dayCounter, false)
{
// value dates
Schedule sch = new MakeSchedule()
.from(startDate)
.to(endDate)
.withTenor(new Period(1, TimeUnit.Days))
.withCalendar(overnightIndex.fixingCalendar())
.withConvention(overnightIndex.businessDayConvention())
.backwards()
.value();
valueDates_ = sch.dates();
if (valueDates_.Count < 2)
{
throw new ArgumentException("degenerate schedule");
}
// fixing dates
n_ = valueDates_.Count() - 1;
if (overnightIndex.fixingDays() == 0)
{
fixingDates_ = new List <Date>(valueDates_);
}
else
{
fixingDates_ = new List <Date>(n_);
for (int i = 0; i < n_; ++i)
{
fixingDates_[i] = overnightIndex.fixingDate(valueDates_[i]);
}
}
// accrual (compounding) periods
dt_ = new List <double>(n_);
DayCounter dc = overnightIndex.dayCounter();
for (int i = 0; i < n_; ++i)
{
dt_.Add(dc.yearFraction(valueDates_[i], valueDates_[i + 1]));
}
setPricer(new OvernightIndexedCouponPricer());
}
public OvernightIndexedCoupon(
Date paymentDate,
double nominal,
Date startDate,
Date endDate,
OvernightIndex overnightIndex,
double gearing = 1.0,
double spread = 0.0,
Date refPeriodStart = null,
Date refPeriodEnd = null,
DayCounter dayCounter = null)
: base(nominal, paymentDate,startDate, endDate,
overnightIndex.fixingDays(), overnightIndex,
gearing, spread,
refPeriodStart, refPeriodEnd,
dayCounter, false)
{
// value dates
Schedule sch = new MakeSchedule()
.from(startDate)
.to(endDate)
.withTenor(new Period(1,TimeUnit.Days))
.withCalendar(overnightIndex.fixingCalendar())
.withConvention(overnightIndex.businessDayConvention())
.backwards()
.value();
valueDates_ = sch.dates();
if (valueDates_.Count < 2)
throw new ArgumentException("degenerate schedule");
// fixing dates
n_ = valueDates_.Count()-1;
if (overnightIndex.fixingDays()==0)
{
fixingDates_ = new List<Date>(valueDates_);
}
else
{
fixingDates_ = new List<Date>(n_);
for (int i=0; i<n_; ++i)
fixingDates_[i] = overnightIndex.fixingDate(valueDates_[i]);
}
// accrual (compounding) periods
dt_ = new List<double>(n_);
DayCounter dc = overnightIndex.dayCounter();
for (int i=0; i<n_; ++i)
dt_.Add(dc.yearFraction(valueDates_[i], valueDates_[i+1]));
setPricer(new OvernightIndexedCouponPricer());
}
public OvernightIndexedSwapIndex(
string familyName,
Period tenor,
int settlementDays,
Currency currency,
OvernightIndex overnightIndex)
: base(familyName, tenor, settlementDays,
currency, overnightIndex.fixingCalendar(),
new Period(1, TimeUnit.Years), BusinessDayConvention.ModifiedFollowing,
overnightIndex.dayCounter(), overnightIndex)
{
overnightIndex_ = overnightIndex;
}
public OvernightIndexedSwapIndex(
string familyName,
Period tenor,
int settlementDays,
Currency currency,
OvernightIndex overnightIndex)
: base(familyName, tenor, settlementDays,
currency, overnightIndex.fixingCalendar(),
new Period(1,TimeUnit.Years),BusinessDayConvention.ModifiedFollowing,
overnightIndex.dayCounter(),overnightIndex)
{
overnightIndex_ = overnightIndex;
}
public MakeOIS(Period swapTenor, OvernightIndex overnightIndex, double?fixedRate = null, Period fwdStart = null)
{
swapTenor_ = swapTenor;
overnightIndex_ = overnightIndex;
fixedRate_ = fixedRate;
forwardStart_ = fwdStart ?? new Period(0, TimeUnit.Days);
settlementDays_ = 2;
calendar_ = overnightIndex.fixingCalendar();
paymentFrequency_ = Frequency.Annual;
rule_ = DateGeneration.Rule.Backward;
// any value here for endOfMonth_ would not be actually used
isDefaultEOM_ = true;
type_ = OvernightIndexedSwap.Type.Payer;
nominal_ = 1.0;
overnightSpread_ = 0.0;
fixedDayCount_ = overnightIndex.dayCounter();
}
public MakeOIS(Period swapTenor, OvernightIndex overnightIndex, double?fixedRate = null, Period fwdStart = null)
{
swapTenor_ = swapTenor;
overnightIndex_ = overnightIndex;
fixedRate_ = fixedRate;
forwardStart_ = fwdStart ?? new Period(0, TimeUnit.Days);
settlementDays_ = 2;
calendar_ = overnightIndex.fixingCalendar();
paymentFrequency_ = Frequency.Annual;
rule_ = DateGeneration.Rule.Backward;
// any value here for endOfMonth_ would not be actually used
isDefaultEOM_ = true;
//endOfMonth_ = (new Period(1,TimeUnit.Months)<=swapTenor && swapTenor<=new Period(2,TimeUnit.Years) ? true : false);
type_ = OvernightIndexedSwap.Type.Payer;
nominal_ = 1.0;
overnightSpread_ = 0.0;
fixedDayCount_ = overnightIndex.dayCounter();
//engine_ = new DiscountingSwapEngine(overnightIndex_.forwardingTermStructure());
}
public OvernightIndexedSwap value()
{
Calendar calendar = overnightIndex_.fixingCalendar();
Date startDate;
if (effectiveDate_ != null)
{
startDate = effectiveDate_;
}
else
{
Date referenceDate = Settings.evaluationDate();
Date spotDate = calendar.advance(referenceDate,
new Period(fixingDays_, TimeUnit.Days));
startDate = spotDate + forwardStart_;
}
Date endDate;
if (terminationDate_ != null)
{
endDate = terminationDate_;
}
else
{
if (endOfMonth_)
{
endDate = calendar.advance(startDate, swapTenor_,
BusinessDayConvention.ModifiedFollowing,
endOfMonth_);
}
else
{
endDate = startDate + swapTenor_;
}
}
Schedule schedule = new Schedule(startDate, endDate,
new Period(paymentFrequency_),
calendar,
BusinessDayConvention.ModifiedFollowing,
BusinessDayConvention.ModifiedFollowing,
rule_,
endOfMonth_);
double?usedFixedRate = fixedRate_;
if (fixedRate_ == null)
{
if (overnightIndex_.forwardingTermStructure().empty())
{
throw new ApplicationException("null term structure set to this instance of "
+ overnightIndex_.name());
}
OvernightIndexedSwap temp = new OvernightIndexedSwap(type_, nominal_,
schedule,
0.0, // fixed rate
fixedDayCount_,
overnightIndex_, overnightSpread_);
// ATM on the forecasting curve
//bool includeSettlementDateFlows = false;
temp.setPricingEngine(new DiscountingSwapEngine(
overnightIndex_.forwardingTermStructure()));
usedFixedRate = temp.fairRate();
}
OvernightIndexedSwap ois = new OvernightIndexedSwap(type_, nominal_,
schedule,
usedFixedRate.Value, fixedDayCount_,
overnightIndex_, overnightSpread_);
ois.setPricingEngine(engine_);
return(ois);
}
