public override void setupArguments(IPricingEngineArguments args)
{
YoYInflationCapFloor.Arguments arguments = args as YoYInflationCapFloor.Arguments;
Utils.QL_REQUIRE(arguments != null, () => "wrong argument type");
int n = yoyLeg_.Count;
arguments.startDates = new List <Date>(n);
arguments.fixingDates = new List <Date>(n);
arguments.payDates = new List <Date>(n);
arguments.accrualTimes = new List <double>(n);
arguments.nominals = new List <double>(n);
arguments.gearings = new List <double>(n);
arguments.capRates = new List <double?>(n);
arguments.floorRates = new List <double?>(n);
arguments.spreads = new List <double>(n);
arguments.type = type_;
for (int i = 0; i < n; ++i)
{
YoYInflationCoupon coupon = yoyLeg_[i] as YoYInflationCoupon;
Utils.QL_REQUIRE(coupon != null, () => "non-YoYInflationCoupon given");
arguments.startDates.Add(coupon.accrualStartDate());
arguments.fixingDates.Add(coupon.fixingDate());
arguments.payDates.Add(coupon.date());
// this is passed explicitly for precision
arguments.accrualTimes.Add(coupon.accrualPeriod());
arguments.nominals.Add(coupon.nominal());
double spread = coupon.spread();
double gearing = coupon.gearing();
arguments.gearings.Add(gearing);
arguments.spreads.Add(spread);
if (type_ == CapFloorType.Cap || type_ == CapFloorType.Collar)
{
arguments.capRates.Add((capRates_[i] - spread) / gearing);
}
else
{
arguments.capRates.Add(null);
}
if (type_ == CapFloorType.Floor || type_ == CapFloorType.Collar)
{
arguments.floorRates.Add((floorRates_[i] - spread) / gearing);
}
else
{
arguments.floorRates.Add(null);
}
}
}
// other
public override void setupArguments(IPricingEngineArguments args)
{
base.setupArguments(args);
YearOnYearInflationSwap.Arguments arguments = args as YearOnYearInflationSwap.Arguments;
if (arguments == null) // it's a swap engine...
{
return;
}
arguments.type = type_;
arguments.nominal = nominal_;
List <CashFlow> fixedCoupons = fixedLeg();
arguments.fixedResetDates = arguments.fixedPayDates = new List <Date>(fixedCoupons.Count);
arguments.fixedCoupons = new List <double>(fixedCoupons.Count);
for (int i = 0; i < fixedCoupons.Count; ++i)
{
FixedRateCoupon coupon = fixedCoupons[i] as FixedRateCoupon;
arguments.fixedPayDates.Add(coupon.date());
arguments.fixedResetDates.Add(coupon.accrualStartDate());
arguments.fixedCoupons.Add(coupon.amount());
}
List <CashFlow> yoyCoupons = yoyLeg();
arguments.yoyResetDates = arguments.yoyPayDates = arguments.yoyFixingDates = new List <Date>(yoyCoupons.Count);
arguments.yoyAccrualTimes = new List <double>(yoyCoupons.Count);
arguments.yoySpreads = new List <double>(yoyCoupons.Count);
arguments.yoyCoupons = new List <double?>(yoyCoupons.Count);
for (int i = 0; i < yoyCoupons.Count; ++i)
{
YoYInflationCoupon coupon = yoyCoupons[i] as YoYInflationCoupon;
arguments.yoyResetDates.Add(coupon.accrualStartDate());
arguments.yoyPayDates.Add(coupon.date());
arguments.yoyFixingDates.Add(coupon.fixingDate());
arguments.yoyAccrualTimes.Add(coupon.accrualPeriod());
arguments.yoySpreads.Add(coupon.spread());
try
{
arguments.yoyCoupons.Add(coupon.amount());
}
catch (Exception)
{
arguments.yoyCoupons.Add(null);
}
}
}