本文整理匯總了C#中QLNet.IborIndex.fixing方法的典型用法代碼示例。如果您正苦於以下問題：C# IborIndex.fixing方法的具體用法？C# IborIndex.fixing怎麽用？C# IborIndex.fixing使用的例子？那麽, 這裏精選的方法代碼示例或許可以為您提供幫助。您也可以進一步了解該方法所在類QLNet.IborIndex的用法示例。
在下文中一共展示了IborIndex.fixing方法的1個代碼示例，這些例子默認根據受歡迎程度排序。您可以為喜歡或者感覺有用的代碼點讚，您的評價將有助於係統推薦出更棒的C#代碼示例。
示例1: ForwardRateAgreement
// Handle<YieldTermStructure> discountCurve = Handle<YieldTermStructure>());
public ForwardRateAgreement(Date valueDate, Date maturityDate, Position.Type type, double strikeForwardRate,
double notionalAmount, IborIndex index, Handle<YieldTermStructure> discountCurve)
: base(index.dayCounter(), index.fixingCalendar(), index.businessDayConvention(), index.fixingDays(), new Payoff(),
valueDate, maturityDate, discountCurve)
{
fraType_ = type;
notionalAmount_ = notionalAmount;
index_ = index;
if (notionalAmount <= 0.0)
throw new ApplicationException("notional Amount must be positive");
// do I adjust this ?
// valueDate_ = calendar_.adjust(valueDate_,businessDayConvention_);
Date fixingDate = calendar_.advance(valueDate_, -settlementDays_, TimeUnit.Days);
forwardRate_ = new InterestRate(index.fixing(fixingDate), index.dayCounter(), Compounding.Simple, Frequency.Once);
strikeForwardRate_ = new InterestRate(strikeForwardRate, index.dayCounter(), Compounding.Simple, Frequency.Once);
double strike = notionalAmount_ * strikeForwardRate_.compoundFactor(valueDate_, maturityDate_);
payoff_ = new ForwardTypePayoff(fraType_, strike);
// incomeDiscountCurve_ is irrelevant to an FRA
incomeDiscountCurve_ = discountCurve_;
// income is irrelevant to FRA - set it to zero
underlyingIncome_ = 0.0;
index_.registerWith(update);
}