QL.require(notionals_ != null && notionals_.length>0 , "nominals not specified"); // TODO: message
final Leg leg = new Leg();
// the following is not always correct
final Calendar calendar = schedule_.calendar();
// first period might be short or long
Date start = schedule_.date(0), end = schedule_.date(1);
Date paymentDate = calendar.adjust(end, paymentAdjustment_);
InterestRate rate = couponRates_[0];
/*@Real*/ double nominal = notionals_[0];
if (schedule_.isRegular(1)) {
// TODO: code review :: please verify against QL/C++ code
QL.require(firstPeriodDayCounter_==null || !firstPeriodDayCounter_.equals(paymentDayCounter_) , "regular first coupon does not allow a first-period day count"); // TODO: message
leg.add(new FixedRateCoupon(nominal, paymentDate, rate, paymentDayCounter_, start, end, start, end));
} else {
Date ref = end.sub(schedule_.tenor());
ref = calendar.adjust(ref, schedule_.businessDayConvention());
// FIXME: empty() method on dayCounter missing --> substituted by == null (probably incorrect)
final DayCounter dc = (firstPeriodDayCounter_ == null) ? paymentDayCounter_ : firstPeriodDayCounter_;
leg.add(new FixedRateCoupon(nominal, paymentDate, rate, dc, start, end, ref, end));
}
// regular periods
for (int i = 2; i < schedule_.size() - 1; ++i) {
start = end;
end = schedule_.date(i);
paymentDate = calendar.adjust(end, paymentAdjustment_);
if ((i - 1) < couponRates_.length) {
rate = couponRates_[i - 1];
} else {
rate = couponRates_[couponRates_.length - 1];
}
if ((i - 1) < notionals_.length) {
nominal = notionals_[i - 1];
} else {
nominal = notionals_[notionals_.length - 1];
}
leg.add(new FixedRateCoupon(nominal, paymentDate, rate, paymentDayCounter_, start, end, start, end));
}
if (schedule_.size() > 2) {
// last period might be short or long
final int N = schedule_.size();
start = end;
end = schedule_.date(N - 1);
paymentDate = calendar.adjust(end, paymentAdjustment_);
if ((N - 2) < couponRates_.length) {
rate = couponRates_[N - 2];
} else {
rate = couponRates_[couponRates_.length - 1];
}
if ((N - 2) < notionals_.length) {
nominal = notionals_[N - 2];
} else {
nominal = notionals_[notionals_.length - 1];
}
if (schedule_.isRegular(N - 1)) {
leg.add(new FixedRateCoupon(nominal, paymentDate, rate, paymentDayCounter_, start, end, start, end));
} else {
Date ref = start.add(schedule_.tenor());
ref = calendar.adjust(ref, schedule_.businessDayConvention());
leg.add(new FixedRateCoupon(nominal, paymentDate, rate, paymentDayCounter_, start, end, start, ref));
}
}
return leg;
}