| public fixing ( Date fixingDate, bool forecastTodaysFixing ) : double | ||
| fixingDate | Date | |
| forecastTodaysFixing | bool | |
| Результат | double | |
public override double swapletRate()
{
List <Date> fixingDates = coupon_.fixingDates();
InterestRateIndex index = coupon_.index();
int cutoffDays = 0; // to be verified
Date startDate = coupon_.accrualStartDate() - cutoffDays,
endDate = coupon_.accrualEndDate() - cutoffDays,
d1 = startDate,
d2 = startDate;
if (!(fixingDates.Count > 0))
{
throw new ApplicationException("fixing date list empty");
}
if (!(index.valueDate(fixingDates.First()) <= startDate))
{
throw new ApplicationException("first fixing date valid after period start");
}
if (!(index.valueDate(fixingDates.Last()) >= endDate))
{
throw new ApplicationException("last fixing date valid before period end");
}
double avgBMA = 0.0;
int days = 0;
for (int i = 0; i < fixingDates.Count - 1; ++i)
{
Date valueDate = index.valueDate(fixingDates[i]);
Date nextValueDate = index.valueDate(fixingDates[i + 1]);
if (fixingDates[i] >= endDate || valueDate >= endDate)
{
break;
}
if (fixingDates[i + 1] < startDate || nextValueDate <= startDate)
{
continue;
}
d2 = Date.Min(nextValueDate, endDate);
avgBMA += index.fixing(fixingDates[i]) * (d2 - d1);
days += d2 - d1;
d1 = d2;
}
avgBMA /= (endDate - startDate);
if (!(days == endDate - startDate))
{
throw new ApplicationException("averaging days " + days + " differ from " +
"interest days " + (endDate - startDate));
}
return(coupon_.gearing() * avgBMA + coupon_.spread());
}
} //! spread paid over the fixing of the underlying index
//! fixing of the underlying index
public virtual double indexFixing()
{
return(index_.fixing(fixingDate()));
}
