示例#1
0
        protected CallableBond(int settlementDays,
                               Schedule schedule,
                               DayCounter paymentDayCounter,
                               Date issueDate = null,
                               CallabilitySchedule putCallSchedule = null)
            : base(settlementDays, schedule.calendar(), issueDate)
        {
            if (putCallSchedule == null)
            {
                putCallSchedule = new CallabilitySchedule();
            }

            paymentDayCounter_ = paymentDayCounter;
            putCallSchedule_   = putCallSchedule;
            maturityDate_      = schedule.dates().Last();

            if (!putCallSchedule_.empty())
            {
                Date finalOptionDate = Date.minDate();
                for (int i = 0; i < putCallSchedule_.Count; ++i)
                {
                    finalOptionDate = Date.Max(finalOptionDate,
                                               putCallSchedule_[i].date());
                }
                Utils.QL_REQUIRE(finalOptionDate <= maturityDate_, () => "Bond cannot mature before last call/put date");
            }

            // derived classes must set cashflows_ and frequency_
        }
示例#2
0
        protected override void performCalculations()
        {
            Utils.QL_REQUIRE(!bondHelpers_.empty(), () => "no bondHelpers given");

            maxDate_ = Date.minDate();
            Date refDate = referenceDate();

            // double check bond quotes still valid and/or instruments not expired
            for (int i = 0; i < bondHelpers_.Count; ++i)
            {
                Bond bond = bondHelpers_[i].bond();
                Utils.QL_REQUIRE(bondHelpers_[i].quote().link.isValid(), () =>
                                 (i + 1) + " bond (maturity: " +
                                 bond.maturityDate() + ") has an invalid price quote");
                Date bondSettlement = bond.settlementDate();
                Utils.QL_REQUIRE(bondSettlement >= refDate, () =>
                                 (i + 1) + " bond settlemente date (" +
                                 bondSettlement + ") before curve reference date (" +
                                 refDate + ")");
                Utils.QL_REQUIRE(BondFunctions.isTradable(bond, bondSettlement), () =>
                                 (i + 1) + " bond non tradable at " +
                                 bondSettlement + " settlement date (maturity" +
                                 " being " + bond.maturityDate() + ")",
                                 QLNetExceptionEnum.NotTradableException);
                maxDate_ = Date.Max(maxDate_, bondHelpers_[i].pillarDate());
                bondHelpers_[i].setTermStructure(this);
            }
            fittingMethod_.init();
            fittingMethod_.calculate();
        }
示例#3
0
        public static Date maturityDate(Leg leg)
        {
            Utils.QL_REQUIRE(!leg.empty(), () => "empty leg");
            Date d = Date.minDate();

            for (int i = 0; i < leg.Count; ++i)
            {
                Coupon c = leg[i] as Coupon;
                if (c != null)
                {
                    d = Date.Max(d, c.accrualEndDate());
                }
                else
                {
                    d = Date.Max(d, leg[i].date());
                }
            }
            return(d);
        }
 public void add(ExchangeRate rate)
 {
     add(rate, Date.minDate(), Date.maxDate());
 }
示例#5
0
 public AmericanExercise(Date latest, bool payoffAtExpiry = false) : base(Type.American, payoffAtExpiry)
 {
     dates_    = new InitializedList <Date>(2);
     dates_[0] = Date.minDate();
     dates_[1] = latest;
 }
示例#6
0
文件: ECB.cs 项目: sandboxorg/QLNet
        /*! returns the ECB date for the given ECB code
         * (e.g. March xxth, 2013 for MAR10).
         *
         * \warning It raises an exception if the input
         *          string is not an ECB code
         */
        public static Date date(string ecbCode, Date refDate = null)
        {
            Utils.QL_REQUIRE(isECBcode(ecbCode), () => ecbCode + " is not a valid ECB code");

            string code        = ecbCode.ToUpper();
            string monthString = code.Substring(0, 3);
            Month  m           = Month.Jan;

            if (monthString == "JAN")
            {
                m = Month.January;
            }
            else if (monthString == "FEB")
            {
                m = Month.February;
            }
            else if (monthString == "MAR")
            {
                m = Month.March;
            }
            else if (monthString == "APR")
            {
                m = Month.April;
            }
            else if (monthString == "MAY")
            {
                m = Month.May;
            }
            else if (monthString == "JUN")
            {
                m = Month.June;
            }
            else if (monthString == "JUL")
            {
                m = Month.July;
            }
            else if (monthString == "AUG")
            {
                m = Month.August;
            }
            else if (monthString == "SEP")
            {
                m = Month.September;
            }
            else if (monthString == "OCT")
            {
                m = Month.October;
            }
            else if (monthString == "NOV")
            {
                m = Month.November;
            }
            else if (monthString == "DEC")
            {
                m = Month.December;
            }
            else
            {
                Utils.QL_FAIL("not an ECB month (and it should have been)");
            }

            // lexical_cast causes compilation errors with x64
            //Year y = boost::lexical_cast<Year>(code.substr(3, 2));

            int  y             = int.Parse(code.Substring(3, 2));
            Date referenceDate = (refDate ?? new Date(Settings.evaluationDate()));
            int  referenceYear = (referenceDate.year() % 100);

            y += referenceDate.year() - referenceYear;
            if (y < Date.minDate().year())
            {
                return(ECB.nextDate(Date.minDate()));
            }

            return(ECB.nextDate(new Date(1, m, y)));
        }