protected void calculateNotionalsFromCashflows()
{
notionalSchedule_.Clear();
notionals_.Clear();
Date lastPaymentDate = new Date();
//notionalSchedule_.Add((Coupon)(cashflows_[0])accrualStartDate());
for (int i = 0; i < cashflows_.Count; ++i)
{
Coupon coupon = cashflows_[i] as Coupon;
if (coupon == null)
{
continue;
}
if (i == 0)
{
notionalSchedule_.Add(coupon.accrualStartDate());
}
double notional = coupon.nominal();
// we add the notional only if it is the first one...
if (notionals_.empty())
{
notionals_.Add(coupon.nominal());
lastPaymentDate = coupon.date();
}
else if (!Utils.close(notional, notionals_.Last()))
{
// ...or if it has changed.
if (!(notional < notionals_.Last()))
{
throw new ApplicationException("increasing coupon notionals");
}
notionals_.Add(coupon.nominal());
// in this case, we also add the last valid date for
// the previous one...
notionalSchedule_.Add(lastPaymentDate);
// ...and store the candidate for this one.
lastPaymentDate = coupon.date();
}
else
{
// otherwise, we just extend the valid range of dates
// for the current notional.
lastPaymentDate = coupon.date();
}
}
if (notionals_.empty())
{
throw new ApplicationException("no coupons provided");
}
notionals_.Add(0.0);
notionalSchedule_.Add(lastPaymentDate);
}
// helper function used to calculate Time-To-Discount for each stage when calculating discount factor stepwisely
public static double getStepwiseDiscountTime(CashFlow cashFlow, DayCounter dc, Date npvDate, Date lastDate)
{
Date cashFlowDate = cashFlow.date();
Date refStartDate, refEndDate;
Coupon coupon = cashFlow as Coupon;
if (coupon != null)
{
refStartDate = coupon.referencePeriodStart;
refEndDate = coupon.referencePeriodEnd;
}
else
{
if (lastDate == npvDate)
{
// we don't have a previous coupon date,
// so we fake it
refStartDate = cashFlowDate - new Period(1, TimeUnit.Years);
}
else
{
refStartDate = lastDate;
}
refEndDate = cashFlowDate;
}
if (coupon != null && lastDate != coupon.accrualStartDate())
{
double couponPeriod = dc.yearFraction(coupon.accrualStartDate(), cashFlowDate, refStartDate, refEndDate);
double accruedPeriod = dc.yearFraction(coupon.accrualStartDate(), lastDate, refStartDate, refEndDate);
return(couponPeriod - accruedPeriod);
}
else
{
return(dc.yearFraction(lastDate, cashFlowDate, refStartDate, refEndDate));
}
}
public static Date startDate(Leg leg)
{
Utils.QL_REQUIRE(!leg.empty(), () => "empty leg");
Date d = Date.maxDate();
for (int i = 0; i < leg.Count; ++i)
{
Coupon c = leg[i] as Coupon;
if (c != null)
{
d = Date.Min(d, c.accrualStartDate());
}
else
{
d = Date.Min(d, leg[i].date());
}
}
return(d);
}
public static Date accrualStartDate(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.accrualStartDate());
}
}
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);
}
