Integration of SwapLegWithResetting into SwapLeg v2

finmath / finmath-lib

Mathematical Finance Library: Algorithms and methodologies related to mathematical finance.

Apache License 2.0

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Integration of SwapLegWithResetting into SwapLeg v2 #40

Closed NiklasRodi closed 7 years ago

NiklasRodi commented 7 years ago

What is this PR for?

Replace SwapLegWithResetting with SwapLeg in CalibratedCurves and remove class SwapLegWithResetting
Integrated resetting Feature into SwapLeg: Added member discountCurveForNotionalResetName in SwapLeg (if set to discountCurveName then there is no notional reset)

What type of PR is it?

Refactoring

NiklasRodi commented 7 years ago

This is the same as the previous PR "Integration of SwapLegWithResetting into SwapLeg" but without the erroneous usage of firstPeriodStartDate in the calculation of the resetting notional.

Note that the resetting notional is still slightly wrong as it does not take the FxSpotDelay into account. This is something I will fix in the future

cfries commented 7 years ago

Nice.