public OvernightIndexedSwap(OvernightIndexedSwap.Type type, DoubleVector nominals, Schedule schedule, double fixedRate, DayCounter fixedDC, OvernightIndex index, double spread, uint paymentLag, BusinessDayConvention paymentAdjustment, Calendar paymentCalendar) : this(NQuantLibcPINVOKE.new_OvernightIndexedSwap__SWIG_7((int)type, DoubleVector.getCPtr(nominals), Schedule.getCPtr(schedule), fixedRate, DayCounter.getCPtr(fixedDC), OvernightIndex.getCPtr(index), spread, paymentLag, (int)paymentAdjustment, Calendar.getCPtr(paymentCalendar)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public OvernightIndexedSwap(OvernightIndexedSwap.Type type, double nominal, Schedule schedule, double fixedRate, DayCounter fixedDC, OvernightIndex index) : this(NQuantLibcPINVOKE.new_OvernightIndexedSwap__SWIG_5((int)type, nominal, Schedule.getCPtr(schedule), fixedRate, DayCounter.getCPtr(fixedDC), OvernightIndex.getCPtr(index)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public OvernightIndexedSwap.Type type()
{
OvernightIndexedSwap.Type ret = (OvernightIndexedSwap.Type)NQuantLibcPINVOKE.OvernightIndexedSwap_type(swigCPtr);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public MakeOIS(Period swapTenor, OvernightIndex overnightIndex,
double?fixedRate, Period fwdStart)
{
swapTenor_ = swapTenor;
overnightIndex_ = overnightIndex;
fixedRate_ = fixedRate;
forwardStart_ = fwdStart;
fixingDays_ = 2;
paymentFrequency_ = Frequency.Annual;
rule_ = DateGeneration.Rule.Backward;
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 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, Period fwdStart)
{
swapTenor_=swapTenor;
overnightIndex_ = overnightIndex;
fixedRate_= fixedRate;
forwardStart_= fwdStart;
fixingDays_ = 2;
paymentFrequency_ = Frequency.Annual;
rule_ = DateGeneration.Rule.Backward;
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 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 CommonVars()
{
type = OvernightIndexedSwap.Type.Payer;
settlementDays = 2;
nominal = 100.0;
fixedEoniaConvention = BusinessDayConvention.ModifiedFollowing;
floatingEoniaConvention = BusinessDayConvention.ModifiedFollowing;
fixedEoniaPeriod = new Period(1, TimeUnit.Years);
floatingEoniaPeriod = new Period(1, TimeUnit.Years);
fixedEoniaDayCount = new Actual360();
eoniaIndex = new Eonia(eoniaTermStructure);
fixedSwapConvention = BusinessDayConvention.ModifiedFollowing;
fixedSwapFrequency = Frequency.Annual;
fixedSwapDayCount = new Thirty360();
swapIndex = (IborIndex) new Euribor3M(swapTermStructure);
calendar = eoniaIndex.fixingCalendar();
today = new Date(5, Month.February, 2009);
//today = calendar.adjust(Date::todaysDate());
Settings.setEvaluationDate(today);
settlement = calendar.advance(today, new Period(settlementDays, TimeUnit.Days), BusinessDayConvention.Following);
eoniaTermStructure.linkTo(Utilities.flatRate(settlement, 0.05, new Actual365Fixed()));
}
public MakeOIS withType(OvernightIndexedSwap.Type type)
{
type_ = type;
return(this);
}
public MakeOIS receiveFixed(bool flag = true)
{
type_ = flag ? OvernightIndexedSwap.Type.Receiver : OvernightIndexedSwap.Type.Payer;
return(this);
}
public MakeOIS withType(OvernightIndexedSwap.Type type)
{
type_ = type;
return this;
}
public MakeOIS receiveFixed(bool flag)
{
type_ = flag ? OvernightIndexedSwap.Type.Receiver : OvernightIndexedSwap.Type.Payer ;
return this;
}
public CommonVars()
{
type = OvernightIndexedSwap.Type.Payer;
settlementDays = 2;
nominal = 100.0;
fixedEoniaConvention = BusinessDayConvention.ModifiedFollowing;
floatingEoniaConvention = BusinessDayConvention.ModifiedFollowing;
fixedEoniaPeriod = new Period(1, TimeUnit.Years);
floatingEoniaPeriod = new Period(1, TimeUnit.Years);
fixedEoniaDayCount = new Actual360();
eoniaIndex = new Eonia(eoniaTermStructure);
fixedSwapConvention = BusinessDayConvention.ModifiedFollowing;
fixedSwapFrequency = Frequency.Annual;
fixedSwapDayCount = new Thirty360();
swapIndex = (IborIndex) new Euribor3M(swapTermStructure);
calendar = eoniaIndex.fixingCalendar();
today = new Date(5, Month.February, 2009);
//today = calendar.adjust(Date::todaysDate());
Settings.setEvaluationDate(today);
settlement = calendar.advance(today,new Period(settlementDays,TimeUnit.Days),BusinessDayConvention.Following);
eoniaTermStructure.linkTo(Utilities.flatRate(settlement, 0.05,new Actual365Fixed()));
}
