public override void addTimesTo(List <double> times)
{
calculate();
CapFloor.Arguments args = new CapFloor.Arguments();
cap_.setupArguments(args);
List <double> capTimes = new DiscretizedCapFloor(args,
termStructure_.link.referenceDate(),
termStructure_.link.dayCounter()).mandatoryTimes();
for (int i = 0; i < capTimes.Count; i++)
{
times.Insert(times.Count, capTimes[i]);
}
}
public DiscretizedCapFloor(CapFloor.Arguments args,
Date referenceDate,
DayCounter dayCounter)
{
arguments_ = args;
startTimes_ = new InitializedList <double>(args.startDates.Count);
for (int i = 0; i < startTimes_.Count; ++i)
{
startTimes_[i] = dayCounter.yearFraction(referenceDate,
args.startDates[i]);
}
endTimes_ = new InitializedList <double>(args.endDates.Count);
for (int i = 0; i < endTimes_.Count; ++i)
{
endTimes_[i] = dayCounter.yearFraction(referenceDate,
args.endDates[i]);
}
}
public override void setupArguments(IPricingEngineArguments args)
{
CapFloor.Arguments arguments = args as CapFloor.Arguments;
if (arguments == null)
{
throw new ArgumentException("wrong argument type");
}
int n = floatingLeg_.Count;
arguments.startDates = new InitializedList <Date>(n);
arguments.fixingDates = new InitializedList <Date>(n);
arguments.endDates = new InitializedList <Date>(n);
arguments.accrualTimes = new InitializedList <double>(n);
arguments.forwards = new InitializedList <double?>(n);
arguments.nominals = new InitializedList <double>(n);
arguments.gearings = new InitializedList <double>(n);
arguments.capRates = new InitializedList <double?>(n);
arguments.floorRates = new InitializedList <double?>(n);
arguments.spreads = new InitializedList <double>(n);
arguments.type = type_;
Date today = Settings.evaluationDate();
for (int i = 0; i < n; ++i)
{
FloatingRateCoupon coupon = floatingLeg_[i] as FloatingRateCoupon;
if (coupon == null)
{
throw new ArgumentException("non-FloatingRateCoupon given");
}
arguments.startDates[i] = coupon.accrualStartDate();
arguments.fixingDates[i] = coupon.fixingDate();
arguments.endDates[i] = coupon.date();
// this is passed explicitly for precision
arguments.accrualTimes[i] = coupon.accrualPeriod();
// this is passed explicitly for precision...
if (arguments.endDates[i] >= today)
{
// ...but only if needed
arguments.forwards[i] = coupon.adjustedFixing;
}
else
{
arguments.forwards[i] = null;
}
arguments.nominals[i] = coupon.nominal();
double spread = coupon.spread();
double gearing = coupon.gearing();
arguments.gearings[i] = gearing;
arguments.spreads[i] = spread;
if (type_ == CapFloorType.Cap || type_ == CapFloorType.Collar)
{
arguments.capRates[i] = (capRates_[i] - spread) / gearing;
}
else
{
arguments.capRates[i] = null;
}
if (type_ == CapFloorType.Floor || type_ == CapFloorType.Collar)
{
arguments.floorRates[i] = (floorRates_[i] - spread) / gearing;
}
else
{
arguments.floorRates[i] = null;
}
}
}