Re: Getting the latestDate() from a SwapRateHelper object (using C# SWIG Bindings)

Posted by Ahmad Mahomed on Nov 01, 2010; 7:30am
URL: http://quantlib.414.s1.nabble.com/Getting-the-latestDate-from-a-SwapRateHelper-object-using-C-SWIG-Bindings-tp8721p8722.html

Having looked into the C++ source, it would seem that the latestDate() function returns the maturityDate of the vanilla swap that is created by the SwapRateHelper.

What I have done as a result, is to expose the underlying VanillaSwap by modifying the related SWIG file ie. 'ratehelper.i' - see attachemment (I have also added another SwapRateHelper constructor).

On 29 October 2010 07:51, Ahmad Mahomed <[hidden email]> wrote:

Using the C# SWIG bindings, how does one get the value of the  `latestDate()` from a SwapRateHelper defined as 

             var daysTillLast = curveEndDate.serialNumber() - TodaysDate.serialNumber();

             var newFwdSwap = 

                    new SwapRateHelper(

                        swapRate,

                        new Period(10,TimeUnit.Years),

                        SouthAfricanCalender,

                        Frequency.Quarterly,

                        DayConvention,

                        Actual365FixedDayCounter,

                        new Jibar(new Period(Frequency.Quarterly),DiscountingTermStructure),

                        0 /*zero spread */, 

                        new Period(daysTillLast,TimeUnit.Days) /* fwdStart */

                    );

The latestDate() is part of the the functionality of the  'RelativeDateBootstrapHelper<YieldTermStructure>' object.

Note: I created the the above ctor since it was not defined in the SWIG files. I need to test this and if it works I will submit a patch for the files if its valid.

--
Ahmad Mahomed

--
Ahmad Mahomed

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