QLNet.BMAIndex.fixingSchedule C# (CSharp) Method

fixingSchedule() public method

public fixingSchedule ( Date start, Date end ) : Schedule
start Date
end Date
return Schedule
        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();
        }

Usage Example

示例#1
0
        private int bmaCutoffDays = 0; // to be verified

        // double gearing = 1.0, double spread = 0.0, 
        // Date refPeriodStart = Date(), Date refPeriodEnd = Date(), DayCounter dayCounter = DayCounter());
        public AverageBMACoupon(double nominal, Date paymentDate, Date startDate, Date endDate, BMAIndex index,
                                double gearing, double spread, Date refPeriodStart, Date refPeriodEnd, DayCounter dayCounter)
            : base(nominal, paymentDate, startDate, endDate, index.fixingDays(), index, gearing, spread,
                         refPeriodStart, refPeriodEnd, dayCounter, false) {
            fixingSchedule_ = index.fixingSchedule(
                                index.fixingCalendar()
                                    .advance(startDate, new Period(-index.fixingDays() + bmaCutoffDays, TimeUnit.Days),
                                                   BusinessDayConvention.Preceding), endDate);
            setPricer(new AverageBMACouponPricer());
        }
All Usage Examples Of QLNet.BMAIndex::fixingSchedule