private int bmaCutoffDays = 0; // to be verified
// double gearing = 1.0, double spread = 0.0,
// Date refPeriodStart = Date(), Date refPeriodEnd = Date(), DayCounter dayCounter = DayCounter());
public AverageBMACoupon(double nominal, Date paymentDate, Date startDate, Date endDate, BMAIndex index,
double gearing, double spread, Date refPeriodStart, Date refPeriodEnd, DayCounter dayCounter)
: base(nominal, paymentDate, startDate, endDate, index.fixingDays(), index, gearing, spread,
refPeriodStart, refPeriodEnd, dayCounter, false) {
fixingSchedule_ = index.fixingSchedule(
index.fixingCalendar()
.advance(startDate, new Period(-index.fixingDays() + bmaCutoffDays, TimeUnit.Days),
BusinessDayConvention.Preceding), endDate);
setPricer(new AverageBMACouponPricer());
}
private int bmaCutoffDays = 0; // to be verified
// double gearing = 1.0, double spread = 0.0,
// Date refPeriodStart = Date(), Date refPeriodEnd = Date(), DayCounter dayCounter = DayCounter());
public AverageBMACoupon(double nominal, Date paymentDate, Date startDate, Date endDate, BMAIndex index,
double gearing, double spread, Date refPeriodStart, Date refPeriodEnd, DayCounter dayCounter)
: base(nominal, paymentDate, startDate, endDate, index.fixingDays(), index, gearing, spread,
refPeriodStart, refPeriodEnd, dayCounter, false)
{
fixingSchedule_ = index.fixingSchedule(
index.fixingCalendar()
.advance(startDate, new Period(-index.fixingDays() + bmaCutoffDays, TimeUnit.Days),
BusinessDayConvention.Preceding), endDate);
setPricer(new AverageBMACouponPricer());
}
public AverageBMACoupon(Date paymentDate,
double nominal,
Date startDate,
Date endDate,
BMAIndex index,
double gearing = 1.0,
double spread = 0.0,
Date refPeriodStart = null,
Date refPeriodEnd = null,
DayCounter dayCounter = null)
: base(paymentDate, nominal, startDate, endDate, index.fixingDays(), index, gearing, spread,
refPeriodStart, refPeriodEnd, dayCounter)
{
fixingSchedule_ = index.fixingSchedule(
index.fixingCalendar()
.advance(startDate, new Period(-index.fixingDays(), TimeUnit.Days),
BusinessDayConvention.Preceding), endDate);
setPricer(new AverageBMACouponPricer());
}
