示例#1
0
        protected override void initializeDates()
        {
            // dummy OvernightIndex with curve/swap arguments
            // review here
            IborIndex      clonedIborIndex      = overnightIndex_.clone(termStructureHandle_);
            OvernightIndex clonedOvernightIndex = clonedIborIndex as OvernightIndex;

            swap_ = new MakeOIS(tenor_, clonedOvernightIndex, 0.0)
                    .withSettlementDays(settlementDays_)
                    .withDiscountingTermStructure(termStructureHandle_);

            earliestDate_ = swap_.startDate();
            latestDate_   = swap_.maturityDate();
        }
      protected override void initializeDates() 
      {

         // dummy OvernightIndex with curve/swap arguments
         // review here
         IborIndex clonedIborIndex = overnightIndex_.clone(termStructureHandle_);
         OvernightIndex clonedOvernightIndex = clonedIborIndex as OvernightIndex;

         swap_ = new MakeOIS(tenor_, clonedOvernightIndex, 0.0)
                     .withSettlementDays(settlementDays_)
                     .withDiscountingTermStructure(termStructureHandle_);
         
         earliestDate_ = swap_.startDate();
         latestDate_ = swap_.maturityDate();
      }
示例#3
0
        public DatedOISRateHelper(Date startDate,
                                  Date endDate,
                                  Handle <Quote> fixedRate,
                                  OvernightIndex overnightIndex)

            : base(fixedRate)
        {
            overnightIndex.registerWith(update);

            // dummy OvernightIndex with curve/swap arguments
            // review here
            IborIndex      clonedIborIndex      = overnightIndex.clone(termStructureHandle_);
            OvernightIndex clonedOvernightIndex = clonedIborIndex as OvernightIndex;

            swap_ = new MakeOIS(new Period(), clonedOvernightIndex, 0.0)
                    .withEffectiveDate(startDate)
                    .withTerminationDate(endDate)
                    .withDiscountingTermStructure(termStructureHandle_);

            earliestDate_ = swap_.startDate();
            latestDate_   = swap_.maturityDate();
        }
      public DatedOISRateHelper(Date startDate,
                                Date endDate,
                                Handle<Quote> fixedRate,
                                OvernightIndex overnightIndex)
    
         : base(fixedRate) 
      {

        overnightIndex.registerWith(update);

        // dummy OvernightIndex with curve/swap arguments
        // review here
        IborIndex clonedIborIndex = overnightIndex.clone(termStructureHandle_);
        OvernightIndex clonedOvernightIndex = clonedIborIndex as OvernightIndex;

         swap_ = new MakeOIS(new Period(), clonedOvernightIndex, 0.0)
                              .withEffectiveDate(startDate)
                              .withTerminationDate(endDate)
                              .withDiscountingTermStructure(termStructureHandle_);

         earliestDate_ = swap_.startDate();
         latestDate_ = swap_.maturityDate();
    
      }