public BasicFixedLeg(
DateTime spotDate,
DateTime mat,
int swapInterval
)
{
OMLib.Conventions.DayCount.Thirty360 swapDCC = new OMLib.Conventions.DayCount.Thirty360();
OMLib.Conventions.DayCount.Actual360 moneyMarketDCC = new OMLib.Conventions.DayCount.Actual360();
OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365();
QLNet.UnitedStates cal = new QLNet.UnitedStates();
List <DateTime> list = new List <DateTime>();
DateTime tDate = mat;
int step = 1;
while (DateTime.Compare(tDate, spotDate) > 0)
{
list.Add(tDate);
tDate = mat.AddMonths(-swapInterval * (step++));
}
// remove spotDate from list, if it ends up there
list.Remove(spotDate);
_nPayments = list.Count();
_swapPaymentTimes = new double[_nPayments];
_yearFraction = new double[_nPayments];
DateTime prev = spotDate;
int j = _nPayments - 1;
for (int i = 0; i < _nPayments; i++, j--)
{
DateTime current = list[j];
DateTime adjCurr = cal.adjust(current, QLNet.BusinessDayConvention.Following);
_yearFraction[i] = swapDCC.YearFraction(prev, adjCurr);
_swapPaymentTimes[i] = curveDCC.YearFraction(spotDate, adjCurr); // Payment times always good business days
prev = adjCurr;
}
}
/**
* Set up a strip of increasing maturity CDSs that have some coupons in common. The trade date, step-in date and valuation date and
* accrual start date are all common, as is the payment frequency. The maturities are expressed as integer multiples of the
* payment interval from a reference date (the next IMM date after the trade date for standard CDSs) - this guarantees that premiums
* will be the same across several CDSs.
* @param tradeDate The trade date
* @param stepinDate (aka Protection Effective sate or assignment date). Date when party assumes ownership. This is usually T+1. This is when protection
* (and risk) starts in terms of the model. Note, this is sometimes just called the Effective Date, however this can cause
* confusion with the legal effective date which is T-60 or T-90.
* @param cashSettlementDate The cash settlement date. The date that values are PVed to. Is is normally today + 3 business days.
* @param accStartDate Accrual Start Date. This is when the CDS nominally starts in terms of premium payments. i.e. the number
* of days in the first period (and thus the amount of the first premium payment) is counted from this date.
* @param maturityReferanceDate A reference date that maturities are measured from. For standard CDSSs, this is the next IMM date after
* the trade date, so the actually maturities will be some fixed periods after this.
* @param maturityIndexes The maturities are fixed integer multiples of the payment interval, so for 6M, 1Y and 2Y tenors with a 3M
* payment interval, would require 2, 4, and 8 as the indices
* @param payAccOnDefault Is the accrued premium paid in the event of a default
* @param paymentInterval The nominal step between premium payments (e.g. 3 months, 6 months).
* @param stubType the stub convention
* @param protectStart If protectStart = true, then protections starts at the beginning of the day, otherwise it is at the end.
* @param recoveryRate The recovery rate
* @param businessdayAdjustmentConvention How are adjustments for non-business days made
* @param calendar HolidayCalendar defining what is a non-business day
* @param accrualDayCount Day count used for accrual
* @param curveDayCount Day count used on curve (NOTE ISDA uses ACT/365 and it is not recommended to change this)
*/
public MultiCdsAnalytic(
DateTime tradeDate,
DateTime stepinDate,
DateTime cashSettlementDate,
DateTime accStartDate,
DateTime maturityReferanceDate,
int[] maturityIndexes,
Boolean payAccOnDefault,
int paymentInterval,
StubConvention stubType,
Boolean protectStart,
double recoveryRate,
QLNet.BusinessDayConvention businessdayAdjustmentConvention,
QLNet.Calendar calendar,
Enums.DayCount accrualDayCount,
Enums.DayCount curveDayCount)
{
OMLib.Conventions.DayCount.Thirty360 swapDCC = new OMLib.Conventions.DayCount.Thirty360();
OMLib.Conventions.DayCount.Actual360 moneyMarketDCC = new OMLib.Conventions.DayCount.Actual360();
OMLib.Conventions.DayCount.Actual365 curveDCC = new OMLib.Conventions.DayCount.Actual365();
_nMaturities = maturityIndexes.Length;
_payAccOnDefault = payAccOnDefault;
_accStart = DateTime.Compare(accStartDate, tradeDate) < 0 ?
-curveDCC.YearFraction(accStartDate, tradeDate) :
curveDCC.YearFraction(tradeDate, accStartDate);
DateTime temp = DateTime.Compare(stepinDate, accStartDate) > 0 ? stepinDate : accStartDate;
DateTime effectiveStartDate = protectStart ? temp.AddDays(-1) : temp;
_cashSettlementTime = curveDCC.YearFraction(tradeDate, cashSettlementDate);
_effectiveProtectionStart = curveDCC.YearFraction(tradeDate, effectiveStartDate);
_lgd = 1 - recoveryRate;
DateTime[] maturities = new DateTime[_nMaturities];
_protectionEnd = new double[_nMaturities];
int period = paymentInterval;
for (int i = 0; i < _nMaturities; i++)
{
int tStep = period * maturityIndexes[i];
maturities[i] = maturityReferanceDate.AddMonths(tStep);
_protectionEnd[i] = curveDCC.YearFraction(tradeDate, maturities[i]);
}
IsdaPremiumLegSchedule fullPaymentSchedule = new IsdaPremiumLegSchedule(accStartDate, maturities[_nMaturities - 1], period,
stubType, businessdayAdjustmentConvention, calendar, protectStart);
//remove already expired coupons
IsdaPremiumLegSchedule paymentSchedule = fullPaymentSchedule.truncateSchedule(stepinDate);
int couponOffset = fullPaymentSchedule.getNumPayments() - paymentSchedule.getNumPayments();
_totalPayments = paymentSchedule.getNumPayments();
_standardCoupons = new CdsCoupon[_totalPayments - 1];
for (int i = 0; i < (_totalPayments - 1); i++)
{ //The last coupon is actually a terminal coupon, so not included here
_standardCoupons[i] = new CdsCoupon(
tradeDate, paymentSchedule.getAccPaymentDateTriplet(i), protectStart, accrualDayCount, curveDayCount);
}
//find the terminal coupons
_terminalCoupons = new CdsCoupon[_nMaturities];
_matIndexToPayments = new int[_nMaturities];
_accruedDays = new int[_nMaturities];
_accrued = new double[_nMaturities];
long secondJulianDate = stepinDate.Ticks;
for (int i = 0; i < _nMaturities; i++)
{
int index = fullPaymentSchedule.getNominalPaymentDateIndex(maturities[i]);
//maturity is unadjusted, but if protectionStart=true (i.e. standard CDS) there is effectively an extra day of accrued interest
DateTime accEnd = protectStart ? maturities[i].AddDays(1) : maturities[i];
_terminalCoupons[i] = new CdsCoupon(
tradeDate, fullPaymentSchedule.getAccStartDate(index), accEnd,
fullPaymentSchedule.getPaymentDate(index), protectStart);
_matIndexToPayments[i] = index - couponOffset;
//This will only matter for the edge case when the trade date is 1 day before maturity
DateTime tDate2 = _matIndexToPayments[i] < 0 ?
fullPaymentSchedule.getAccStartDate(couponOffset - 1) : paymentSchedule.getAccStartDate(0);
long firstJulianDate = tDate2.Ticks;
_accruedDays[i] = secondJulianDate > firstJulianDate ? (int)(secondJulianDate - firstJulianDate) : 0;
_accrued[i] = DateTime.Compare(tDate2, stepinDate) < 0 ? swapDCC.YearFraction(tDate2, stepinDate) : 0.0;
}
}