public DiscretizedSwap(VanillaSwap.Arguments args,
Date referenceDate,
DayCounter dayCounter)
{
arguments_ = args;
fixedResetTimes_ = new InitializedList<double>(args.fixedResetDates.Count);
for (int i = 0; i < fixedResetTimes_.Count; ++i)
fixedResetTimes_[i] =
dayCounter.yearFraction(referenceDate,
args.fixedResetDates[i]);
fixedPayTimes_ = new InitializedList<double>(args.fixedPayDates.Count);
for (int i = 0; i < fixedPayTimes_.Count; ++i)
fixedPayTimes_[i] =
dayCounter.yearFraction(referenceDate,
args.fixedPayDates[i]);
floatingResetTimes_ = new InitializedList<double>(args.floatingResetDates.Count);
for (int i = 0; i < floatingResetTimes_.Count; ++i)
floatingResetTimes_[i] =
dayCounter.yearFraction(referenceDate,
args.floatingResetDates[i]);
floatingPayTimes_ = new InitializedList<double>(args.floatingPayDates.Count);
for (int i = 0; i < floatingPayTimes_.Count; ++i)
floatingPayTimes_[i] =
dayCounter.yearFraction(referenceDate,
args.floatingPayDates[i]);
}
public override void setupArguments(IPricingEngineArguments args)
{
base.setupArguments(args);
VanillaSwap.Arguments arguments = args as VanillaSwap.Arguments;
if (arguments == null) // it's a swap engine...
{
return;
}
arguments.type = type_;
arguments.nominal = nominal_;
List <CashFlow> fixedCoupons = fixedLeg();
arguments.fixedResetDates = new InitializedList <Date>(fixedCoupons.Count);
arguments.fixedPayDates = new InitializedList <Date>(fixedCoupons.Count);
arguments.fixedCoupons = new InitializedList <double>(fixedCoupons.Count);
for (int i = 0; i < fixedCoupons.Count; ++i)
{
FixedRateCoupon coupon = (FixedRateCoupon)fixedCoupons[i];
arguments.fixedPayDates[i] = coupon.date();
arguments.fixedResetDates[i] = coupon.accrualStartDate();
arguments.fixedCoupons[i] = coupon.amount();
}
List <CashFlow> floatingCoupons = floatingLeg();
arguments.floatingResetDates = new InitializedList <Date>(floatingCoupons.Count);
arguments.floatingPayDates = new InitializedList <Date>(floatingCoupons.Count);
arguments.floatingFixingDates = new InitializedList <Date>(floatingCoupons.Count);
arguments.floatingAccrualTimes = new InitializedList <double>(floatingCoupons.Count);
arguments.floatingSpreads = new InitializedList <double>(floatingCoupons.Count);
arguments.floatingCoupons = new InitializedList <double>(floatingCoupons.Count);
for (int i = 0; i < floatingCoupons.Count; ++i)
{
IborCoupon coupon = (IborCoupon)floatingCoupons[i];
arguments.floatingResetDates[i] = coupon.accrualStartDate();
arguments.floatingPayDates[i] = coupon.date();
arguments.floatingFixingDates[i] = coupon.fixingDate();
arguments.floatingAccrualTimes[i] = coupon.accrualPeriod();
arguments.floatingSpreads[i] = coupon.spread();
try
{
arguments.floatingCoupons[i] = coupon.amount();
}
catch
{
arguments.floatingCoupons[i] = default(double);
}
}
}
public DiscretizedSwap(VanillaSwap.Arguments args,
Date referenceDate,
DayCounter dayCounter)
{
arguments_ = args;
fixedResetTimes_ = new InitializedList <double>(args.fixedResetDates.Count);
for (int i = 0; i < fixedResetTimes_.Count; ++i)
{
fixedResetTimes_[i] =
dayCounter.yearFraction(referenceDate,
args.fixedResetDates[i]);
}
fixedPayTimes_ = new InitializedList <double>(args.fixedPayDates.Count);
for (int i = 0; i < fixedPayTimes_.Count; ++i)
{
fixedPayTimes_[i] =
dayCounter.yearFraction(referenceDate,
args.fixedPayDates[i]);
}
floatingResetTimes_ = new InitializedList <double>(args.floatingResetDates.Count);
for (int i = 0; i < floatingResetTimes_.Count; ++i)
{
floatingResetTimes_[i] =
dayCounter.yearFraction(referenceDate,
args.floatingResetDates[i]);
}
floatingPayTimes_ = new InitializedList <double>(args.floatingPayDates.Count);
for (int i = 0; i < floatingPayTimes_.Count; ++i)
{
floatingPayTimes_[i] =
dayCounter.yearFraction(referenceDate,
args.floatingPayDates[i]);
}
}