public override double swapletRate()
{
OvernightIndex index = coupon_.index() as OvernightIndex;
List <Date> fixingDates = coupon_.fixingDates();
List <double> dt = coupon_.dt();
int n = dt.Count();
int i = 0;
double compoundFactor = 1.0;
// already fixed part
Date today = Settings.evaluationDate();
while (fixingDates[i] < today && i < n)
{
// rate must have been fixed
double pastFixing = IndexManager.instance().getHistory(
index.name()).value()[fixingDates[i]];
if (pastFixing == default(double))
{
throw new ApplicationException("Missing " + index.name() + " fixing for "
+ fixingDates[i].ToString());
}
compoundFactor *= (1.0 + pastFixing * dt[i]);
++i;
}
// today is a border case
if (fixingDates[i] == today && i < n)
{
// might have been fixed
try
{
double pastFixing = IndexManager.instance().getHistory(
index.name()).value()[fixingDates[i]];
if (pastFixing != default(double))
{
compoundFactor *= (1.0 + pastFixing * dt[i]);
++i;
}
else
{
; // fall through and forecast
}
}
catch (Exception e)
{
; // fall through and forecast
}
}
// forward part using telescopic property in order
// to avoid the evaluation of multiple forward fixings
if (i < n)
{
Handle <YieldTermStructure> curve = index.forwardingTermStructure();
if (curve.empty())
{
throw new ArgumentException("null term structure set to this instance of" +
index.name());
}
List <Date> dates = coupon_.valueDates();
double startDiscount = curve.link.discount(dates[i]);
double endDiscount = curve.link.discount(dates[n]);
compoundFactor *= startDiscount / endDiscount;
}
double rate = (compoundFactor - 1.0) / coupon_.accrualPeriod();
return(coupon_.gearing() * rate + coupon_.spread());
}
