protected SwapLeg(DateTime asOf, DateTime startDate, DateTime endDate, CurveTenor referenceTenor, DayCount dayCount, DayRule dayRule, double notional)
{
Schedule = new MasterThesis.SwapSchedule(asOf, startDate, endDate, dayCount, dayRule, referenceTenor);
this.Tenor = referenceTenor;
this.DayRule = dayRule;
this.DayCount = dayCount;
this.Notional = notional;
this.AsOf = asOf;
this.StartDate = startDate;
this.EndDate = endDate;
}
public ADouble AnnuityAD(DateTime asOf, DateTime startDate, DateTime endDate, CurveTenor tenor, DayCount dayCount, DayRule dayRule, InterpMethod interpolation)
{
SwapSchedule annuitySchedule = new SwapSchedule(asOf, startDate, endDate, dayCount, dayRule, tenor);
ADouble result = 0.0;
for (int i = 0; i < annuitySchedule.AdjEndDates.Count; i++)
{
result = result + annuitySchedule.Coverages[i] * ADDiscCurve.DiscFactor(asOf, annuitySchedule.AdjEndDates[i], dayCount, interpolation);
}
return(result);
}
public ADouble AnnuityAD(SwapSchedule Schedule, InterpMethod Method)
{
return(AnnuityAD(Schedule.AsOf, Schedule.StartDate, Schedule.EndDate, Schedule.Frequency, Schedule.DayCount, Schedule.DayRule, Method));
}
