const Real Gaussian1dModel::swapAnnuity(const Date &fixing, const Period &tenor,
const Date &referenceDate, const Real y,
boost::shared_ptr<SwapIndex> swapIdx) const {
QL_REQUIRE(swapIdx != NULL, "no swap index given");
calculate();
Handle<YieldTermStructure> ytsd =
swapIdx->discountingTermStructure(); // might be empty, then use
// model curve
boost::shared_ptr<VanillaSwap> underlying =
underlyingSwap(swapIdx, fixing, tenor);
Schedule sched = underlying->fixedSchedule();
Real annuity = 0.0;
for (unsigned int j = 1; j < sched.size(); j++) {
annuity += zerobond(sched.calendar().adjust(
sched.date(j), underlying->paymentConvention()),
referenceDate, y, ytsd) *
swapIdx->dayCounter().yearFraction(sched.date(j - 1),
sched.date(j));
}
return annuity;
}
void ScheduleDialog::setSchedule( const Schedule & schedule )
{
mSchedule = schedule;
setWindowTitle( "Modify Schedule..." );
mDateEndEdit->setEnabled( false );
setDateRange( schedule.date(), schedule.date() );
// setAssetType( schedule.assetType() );
setElement( schedule.element(), schedule.assetType() );
setEmployee( schedule.user() );
mHoursSpin->setValue( schedule.duration().hours() );
}
