public static Date maturityDate(Leg leg)
{
Utils.QL_REQUIRE(!leg.empty(), () => "empty leg");
Date d = Date.minDate();
for (int i = 0; i < leg.Count; ++i)
{
Coupon c = leg[i] as Coupon;
if (c != null)
{
d = Date.Max(d, c.accrualEndDate());
}
else
{
d = Date.Max(d, leg[i].date());
}
}
return(d);
}
public static Date accrualEndDate(List <CashFlow> leg, bool includeSettlementDateFlows, Date settlementDate = null)
{
CashFlow cf = nextCashFlow(leg, includeSettlementDateFlows, settlementDate);
if (cf == null)
{
return(null);
}
Date paymentDate = cf.date();
foreach (CashFlow x in leg.Where(x => x.date() == paymentDate))
{
Coupon cp = x as Coupon;
if (cp != null)
{
return(cp.accrualEndDate());
}
}
return(null);
}
public static double npv(List <CashFlow> leg, InterestRate y, bool includeSettlementDateFlows,
Date settlementDate = null, Date npvDate = null)
{
if (leg == null || leg.empty())
{
return(0.0);
}
if (settlementDate == null)
{
settlementDate = Settings.evaluationDate();
}
if (npvDate == null)
{
npvDate = settlementDate;
}
double npv = 0.0;
double discount = 1.0;
Date lastDate = npvDate;
Date refStartDate, refEndDate;
for (int i = 0; i < leg.Count; ++i)
{
if (leg[i].hasOccurred(settlementDate, includeSettlementDateFlows))
{
continue;
}
Date couponDate = leg[i].date();
double amount = leg[i].amount();
Coupon coupon = leg[i] as Coupon;
if (coupon != null)
{
refStartDate = coupon.accrualStartDate();
refEndDate = coupon.accrualEndDate();
}
else
{
if (lastDate == npvDate)
{
// we don't have a previous coupon date,
// so we fake it
refStartDate = couponDate - new Period(1, TimeUnit.Years);
}
else
{
refStartDate = lastDate;
}
refEndDate = couponDate;
}
double b = y.discountFactor(lastDate, couponDate, refStartDate, refEndDate);
discount *= b;
lastDate = couponDate;
npv += amount * discount;
}
return(npv);
}
