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); }