public Swap value()
{
Date startDate;
if (effectiveDate_ != null)
{
startDate = effectiveDate_;
}
else
{
int fixingDays = iborIndex_.fixingDays();
Date refDate = Settings.evaluationDate();
// if the evaluation date is not a business day
// then move to the next business day
refDate = floatCalendar_.adjust(refDate);
Date spotDate = floatCalendar_.advance(refDate, new Period(fixingDays, TimeUnit.Days));
startDate = spotDate + forwardStart_;
}
Date terminationDate = startDate + swapTenor_;
Schedule cmsSchedule = new Schedule(startDate, terminationDate,
cmsTenor_, cmsCalendar_,
cmsConvention_,
cmsTerminationDateConvention_,
cmsRule_, cmsEndOfMonth_,
cmsFirstDate_, cmsNextToLastDate_);
Schedule floatSchedule = new Schedule(startDate, terminationDate,
floatTenor_, floatCalendar_,
floatConvention_,
floatTerminationDateConvention_,
floatRule_, floatEndOfMonth_,
floatFirstDate_, floatNextToLastDate_);
List <CashFlow> cmsLeg = new CmsLeg(cmsSchedule, swapIndex_)
.withPaymentDayCounter(cmsDayCount_)
.withFixingDays(swapIndex_.fixingDays())
.withGearings(cmsGearing_)
.withSpreads(cmsSpread_)
.withCaps(cmsCap_)
.withFloors(cmsFloor_)
.withNotionals(nominal_)
.withPaymentAdjustment(cmsConvention_);
if (couponPricer_ != null)
{
Utils.setCouponPricer(cmsLeg, couponPricer_);
}
double?usedSpread = iborSpread_;
if (useAtmSpread_)
{
Utils.QL_REQUIRE(!iborIndex_.forwardingTermStructure().empty(), () =>
"null term structure set to this instance of " + iborIndex_.name());
Utils.QL_REQUIRE(!swapIndex_.forwardingTermStructure().empty(), () =>
"null term structure set to this instance of " + swapIndex_.name());
Utils.QL_REQUIRE(couponPricer_ != null, () => "no CmsCouponPricer set (yet)");
List <CashFlow> fLeg = new IborLeg(floatSchedule, iborIndex_)
.withPaymentDayCounter(floatDayCount_)
.withFixingDays(iborIndex_.fixingDays())
.withNotionals(nominal_)
.withPaymentAdjustment(floatConvention_);
Swap temp = new Swap(cmsLeg, fLeg);
temp.setPricingEngine(engine_);
double?npv = temp.legNPV(0) + temp.legNPV(1);
usedSpread = -npv / temp.legBPS(1) * 1e-4;
}
else
{
Utils.QL_REQUIRE(usedSpread.HasValue, () => "null spread set");
}
List <CashFlow> floatLeg = new IborLeg(floatSchedule, iborIndex_)
.withSpreads(usedSpread.Value)
.withPaymentDayCounter(floatDayCount_)
.withFixingDays(iborIndex_.fixingDays())
.withPaymentAdjustment(floatConvention_)
.withNotionals(nominal_);
Swap swap;
if (payCms_)
{
swap = new Swap(cmsLeg, floatLeg);
}
else
{
swap = new Swap(floatLeg, cmsLeg);
}
swap.setPricingEngine(engine_);
return(swap);
}
