OvernightIndexedSwap::OvernightIndexedSwap(
Type type,
Real nominal,
const Schedule& schedule,
Rate fixedRate,
const DayCounter& fixedDC,
const boost::shared_ptr<OvernightIndex>& overnightIndex,
Spread spread)
: Swap(2), type_(type), nominal_(nominal),
paymentFrequency_(schedule.tenor().frequency()),
//schedule_(schedule),
fixedRate_(fixedRate), fixedDC_(fixedDC),
overnightIndex_(overnightIndex), spread_(spread) {
if (fixedDC_==DayCounter())
fixedDC_ = overnightIndex_->dayCounter();
legs_[0] = FixedRateLeg(schedule)
.withNotionals(nominal_)
.withCouponRates(fixedRate_, fixedDC_);
legs_[1] = OvernightLeg(schedule, overnightIndex_)
.withNotionals(nominal_)
.withSpreads(spread_);
for (Size j=0; j<2; ++j) {
for (Leg::iterator i = legs_[j].begin(); i!= legs_[j].end(); ++i)
registerWith(*i);
}
switch (type_) {
case Payer:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
case Receiver:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
default:
QL_FAIL("Unknown overnight-swap type");
}
}
void IBOROISBasisSwap::initialize() {
legs_[0] = IborLeg(floatingSchedule_, iborIndex_)
.withNotionals(nominals_)
.withPaymentDayCounter(floatingDayCount_)
.withPaymentAdjustment(paymentConvention_);
legs_[1] = OvernightLeg(overnightSchedule_, overnightIndex_)
.withNotionals(nominals_)
.withPaymentDayCounter(overnightDayCount_)
.withPaymentAdjustment(paymentConvention_)
.withSpreads(spread_);
if(arithmeticAveragedCoupon_) {
boost::shared_ptr<FloatingRateCouponPricer> arithmeticPricer(
new ArithmeticAveragedOvernightIndexedCouponPricer());
for(Size i = 0; i < legs_[1].size(); i++) {
boost::shared_ptr<OvernightIndexedCoupon> c =
boost::dynamic_pointer_cast<OvernightIndexedCoupon> (legs_[1][i]);
c->setPricer(arithmeticPricer);
}
}
for (Size j=0; j<2; ++j) {
for (Leg::iterator i = legs_[j].begin(); i!= legs_[j].end(); ++i)
registerWith(*i);
}
switch (type_) {
case Payer:
payer_[0] = -1.0;
payer_[1] = +1.0;
break;
case Receiver:
payer_[0] = +1.0;
payer_[1] = -1.0;
break;
default:
QL_FAIL("Unknown overnight-basis-swap type");
}
}