public ADouble OisAnnuityAD(OisSchedule schedule, InterpMethod interpolation)
{
ADouble output = 0.0;
ADouble discFactor;
for (int i = 0; i < schedule.AdjEndDates.Count; i++)
{
discFactor = DiscFactor(schedule.AsOf, schedule.AdjEndDates[i], schedule.DayCount, interpolation);
output = output + schedule.Coverages[i] * discFactor;
}
return(output);
}
public OisSwap(DateTime asOf, string startTenor, string endTenor, string settlementLag, DayCount dayCountFixed,
DayCount dayCountFloat, DayRule dayRule, double notional, double fixedRate, int tradeSign)
{
DateTime startDate = DateHandling.AddTenorAdjust(asOf, startTenor, dayRule);
startDate = DateHandling.AddTenorAdjust(startDate, settlementLag, dayRule);
DateTime endDate = DateHandling.AddTenorAdjust(startDate, endTenor, dayRule);
this.AsOf = asOf;
this.StartDate = startDate;
this.EndDate = endDate;
this.FloatSchedule = new OisSchedule(asOf, startTenor, endTenor, settlementLag, dayCountFloat, dayRule);
this.FixedSchedule = new OisSchedule(asOf, startTenor, endTenor, settlementLag, dayCountFixed, dayRule);
this.Notional = notional;
this.FixedRate = fixedRate;
this.TradeSign = tradeSign;
}
