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_
}
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();
}
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());
}
public AmericanExercise(Date latest, bool payoffAtExpiry = false) : base(Type.American, payoffAtExpiry)
{
dates_ = new InitializedList <Date>(2);
dates_[0] = Date.minDate();
dates_[1] = latest;
}
/*! 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)));
}