//! \name InterestRateIndex interface
public override Date maturityDate(Date valueDate)
{
Date fixingDate = fixingCalendar_.advance(valueDate, -1, TimeUnit.Days);
Date nextWednesday = Utils.previousWednesday(fixingDate + 7);
return(fixingCalendar_.advance(nextWednesday, 1, TimeUnit.Days));
}
//! \name Date calculations
/*! This method returns a schedule of fixing dates between start and end. */
public Schedule fixingSchedule(Date start, Date end)
{
return(new MakeSchedule().from(Utils.previousWednesday(start))
.to(Utils.nextWednesday(end))
.withFrequency(Frequency.Weekly)
.withCalendar(fixingCalendar_)
.withConvention(BusinessDayConvention.Following)
.forwards()
.value());
}
public override bool isValidFixingDate(Date fixingDate)
{
// either the fixing date is last Wednesday, or all days
// between last Wednesday included and the fixing date are
// holidays
for (Date d = Utils.previousWednesday(fixingDate); d < fixingDate; ++d)
{
if (fixingCalendar_.isBusinessDay(d))
{
return(false);
}
}
// also, the fixing date itself must be a business day
return(fixingCalendar_.isBusinessDay(fixingDate));
}
