VanillaSwap::VanillaSwap(
const shared_ptr<ObjectHandler::ValueObject>& properties,
const QuantLib::Period& swapTenor,
const shared_ptr<QuantLib::IborIndex>& index,
QuantLib::Rate fixedRate,
const QuantLib::Date& immDate,
const QuantLib::DayCounter& fixDayCounter,
QuantLib::Spread floatingLegSpread,
bool permanent)
: Swap(properties, permanent)
{
QuantLib::Date effectiveDate = immDate;
if (effectiveDate==QuantLib::Date())
effectiveDate = QuantLib::IMM::nextDate();
QuantLib::Date terminationDate = effectiveDate+swapTenor;
terminationDate = QuantLib::Date::nthWeekday(3,
QuantLib::Wednesday,
terminationDate.month(),
terminationDate.year());
libraryObject_ = MakeVanillaSwap(swapTenor, index,
fixedRate)
.withEffectiveDate(effectiveDate)
.withTerminationDate(terminationDate)
.withRule(QuantLib::DateGeneration::ThirdWednesday)
.withFixedLegDayCount(fixDayCounter)
.withFloatingLegSpread(floatingLegSpread)
.operator shared_ptr<QuantLib::VanillaSwap>();
}
bool MonthlyFixingCurve::containsARateSetOn(QuantLib::Date date) const
{
return FixingRateSource::containsARateSetOn(Date(1, date.month(), date.year()));
}
double MonthlyFixingCurve::getRateSetOn(QuantLib::Date date) const
{
return FixingRateSource::getRateSetOn(Date(1, date.month(), date.year()));
}
std::string BondTableModel::dateToString(QuantLib::Date d) const {
std::stringstream stream;
stream << d.dayOfMonth() << "-" << d.month() << "-" << d.year();
return stream.str();
}