Fix Vanilla Swap Pricer - thanks OfirMarom

amaggiulli · Aug 21, 2015 · dcfe0fa · dcfe0fa
1 parent 9473da7
commit dcfe0fa
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Showing 2 changed files with 54 additions and 4 deletions.
diff --git a/QLNet/Cashflows/Cashflowvectors.cs b/QLNet/Cashflows/Cashflowvectors.cs
@@ -91,17 +91,17 @@ public static List<CashFlow> FloatingLeg<InterestRateIndexType, FloatingCouponTy
                 } else {
                     if (Utils.noOption(caps, floors, i)) {
                         leg.Add(new FloatingCouponType().factory(Utils.Get(nominals, i),
-                            paymentDate, start, end,
-                            Utils.Get(fixingDays, i, 2),
+                            paymentDate, start, end,
+                            Utils.Get( fixingDays, i, index.fixingDays() ),
                             index,
                             Utils.Get(gearings, i, 1),
                             Utils.Get(spreads, i),
                             refStart, refEnd, paymentDayCounter,
                             isInArrears));
                     } else {
                         leg.Add(new CappedFlooredCouponType().factory(Utils.Get(nominals, i),
-                            paymentDate, start, end,
-                            Utils.Get(fixingDays, i, 2),
+                            paymentDate, start, end,
+                            Utils.Get( fixingDays, i, index.fixingDays() ),
                             index,
                             Utils.Get(gearings, i, 1),
                             Utils.Get(spreads, i),

diff --git a/Test/T_Swaps.cs b/Test/T_Swaps.cs
@@ -300,6 +300,56 @@ public void testCachedValue()
                         + "    expected:   " + cachedNPV);
       }
 
+      [TestMethod()]
+      public void testFixing()
+      {
+         Date tradeDate = new Date( 17, Month.April, 2015 );
+         Calendar calendar = new UnitedKingdom();
+         Date settlementDate = calendar.advance( tradeDate, 2, TimeUnit.Days, BusinessDayConvention.Following );
+         Date maturityDate = calendar.advance( settlementDate, 5, TimeUnit.Years, BusinessDayConvention.Following );
+
+         Date valueDate = new Date( 20, Month.April, 2015 );
+         Settings.setEvaluationDate( valueDate );
+
+         List<Date> dates = new List<Date>();
+         dates.Add( valueDate );
+         dates.Add( valueDate + new Period( 1, TimeUnit.Years ) );
+         dates.Add( valueDate + new Period( 2, TimeUnit.Years ) );
+         dates.Add( valueDate + new Period( 5, TimeUnit.Years ) );
+         dates.Add( valueDate + new Period( 10, TimeUnit.Years ) );
+         dates.Add( valueDate + new Period( 20, TimeUnit.Years ) );
+
+         List<double> rates = new List<double>();
+         rates.Add( 0.01 );
+         rates.Add( 0.01 );
+         rates.Add( 0.01 );
+         rates.Add( 0.01 );
+         rates.Add( 0.01 );
+         rates.Add( 0.01 );
+
+         var discountCurveHandle = new RelinkableHandle<YieldTermStructure>();
+         var forecastCurveHandle = new RelinkableHandle<YieldTermStructure>();
+         GBPLibor index = new GBPLibor( new Period( 6, TimeUnit.Months ), forecastCurveHandle );
+         InterpolatedZeroCurve<Linear> zeroCurve = new InterpolatedZeroCurve<Linear>( dates, rates, new Actual360(), new Linear() );
+         var fixedSchedule = new Schedule( settlementDate, maturityDate, new Period( 1, TimeUnit.Years ), calendar, BusinessDayConvention.Following, BusinessDayConvention.Following, DateGeneration.Rule.Forward, false );
+         var floatSchedule = new Schedule( settlementDate, maturityDate, index.tenor(), calendar, BusinessDayConvention.Following, BusinessDayConvention.Following, DateGeneration.Rule.Forward, false );
+         VanillaSwap swap = new VanillaSwap( VanillaSwap.Type.Payer, 1000000, fixedSchedule, 0.01, new Actual360(), floatSchedule, index, 0, new Actual360() );
+         discountCurveHandle.linkTo( zeroCurve );
+         forecastCurveHandle.linkTo( zeroCurve );
+         var swapEngine = new DiscountingSwapEngine( discountCurveHandle, false, null );
+         swap.setPricingEngine( swapEngine );
+
+         try
+         {
+            double npv = swap.NPV();
+         }
+         catch ( Exception ex )
+         {
+            Assert.Fail( ex.Message );
+            Console.WriteLine( ex );
+         }
+      }
+
       public void suite()
       {
          testFairRate();