@Override
public Coupon toDerivative(
final ZonedDateTime date,
final DoubleTimeSeries<ZonedDateTime> indexFixingTS,
final String... yieldCurveNames) {
Validate.notNull(date, "date");
Validate.notNull(indexFixingTS, "index fixing time series");
Validate.notNull(yieldCurveNames, "yield curve names");
Validate.isTrue(yieldCurveNames.length > 1, "at least two curves required");
Validate.isTrue(!date.isAfter(getPaymentDate()), "date is after payment date");
final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
final String fundingCurveName = yieldCurveNames[0];
final double paymentTime = actAct.getDayCountFraction(date, getPaymentDate());
if (date.isAfter(getFixingDate())
|| date.equals(
getFixingDate())) { // The CMS coupon has already fixed, it is now a fixed coupon.
final double fixedRate = indexFixingTS.getValue(getFixingDate());
return new CouponFixed(
getCurrency(),
paymentTime,
fundingCurveName,
getPaymentYearFraction(),
getNotional(),
payOff(fixedRate));
}
// CMS is not fixed yet, all the details are required.
final CouponCMS cmsCoupon =
(CouponCMS) super.toDerivative(date, indexFixingTS, yieldCurveNames);
return CapFloorCMS.from(cmsCoupon, _strike, _isCap);
}
@Override
public Coupon toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
Validate.notNull(date, "date");
Validate.isTrue(
date.isBefore(getFixingDate()),
"Do not have any fixing data but are asking for a derivative after the fixing date "
+ getFixingDate()
+ " "
+ date);
Validate.notNull(yieldCurveNames, "yield curve names");
Validate.isTrue(yieldCurveNames.length > 1, "at least two curves required");
Validate.isTrue(!date.isAfter(getPaymentDate()), "date is after payment date");
// CMS is not fixed yet, all the details are required.
final CouponCMS cmsCoupon = (CouponCMS) super.toDerivative(date, yieldCurveNames);
return CapFloorCMS.from(cmsCoupon, _strike, _isCap);
}