public Swaption value()
{
Date evaluationDate = Settings.evaluationDate();
Calendar fixingCalendar = swapIndex_.fixingCalendar();
fixingDate_ = fixingCalendar.advance(evaluationDate, optionTenor_, optionConvention_);
if (exerciseDate_ == null)
{
exercise_ = new EuropeanExercise(fixingDate_);
}
else
{
if (exerciseDate_ <= fixingDate_)
{
throw new ArgumentException(
"exercise date (" + exerciseDate_ + ") must be less " +
"than or equal to fixing date (" + fixingDate_ + ")");
}
exercise_ = new EuropeanExercise(exerciseDate_);
}
double usedStrike;
if (strike_ == null)
{
// ATM on the forecasting curve
if (!swapIndex_.forwardingTermStructure().empty())
{
throw new ArgumentException(
"no forecasting term structure set to " + swapIndex_.name());
}
VanillaSwap temp =
swapIndex_.underlyingSwap(fixingDate_);
temp.setPricingEngine(new DiscountingSwapEngine(
swapIndex_.forwardingTermStructure()));
usedStrike = temp.fairRate();
}
else
{
usedStrike = strike_.Value;
}
BusinessDayConvention bdc = swapIndex_.fixedLegConvention();
underlyingSwap_ = new MakeVanillaSwap(swapIndex_.tenor(),
swapIndex_.iborIndex(),
usedStrike)
.withEffectiveDate(swapIndex_.valueDate(fixingDate_))
.withFixedLegCalendar(swapIndex_.fixingCalendar())
.withFixedLegDayCount(swapIndex_.dayCounter())
.withFixedLegConvention(bdc)
.withFixedLegTerminationDateConvention(bdc);
Swaption swaption = new Swaption(underlyingSwap_, exercise_, delivery_);
swaption.setPricingEngine(engine_);
return(swaption);
}
