/// <summary>
/// Gets a dates schedule.
/// </summary>
/// <param name="metaScheduleDefinitionRange"></param>
/// <param name="startDate"></param>
/// <param name="calendar"></param>
/// <param name="businessCentreAsString">This should not be blank.</param>
/// <param name="businessDayAdjustment">This should not be blank.</param>
/// <returns></returns>
public static DateTime[] GetDatesSchedule(List <ThreeStringsRangeItem> metaScheduleDefinitionRange,
DateTime startDate,
IBusinessCalendar calendar,
string businessCentreAsString,
string businessDayAdjustment)
{
var metaScheduleDefinition = metaScheduleDefinitionRange.Select(item => new Triplet <Period, Period, RollConventionEnum>(PeriodHelper.Parse(item.Value1), PeriodHelper.Parse(item.Value2), RollConventionEnumHelper.Parse(item.Value3))).ToList();
List <DateTime> resultAsListOfDates;
if (calendar == null)
{
resultAsListOfDates = DatesMetaSchedule.GetUnadjustedDates(metaScheduleDefinition, startDate);
}
if (String.IsNullOrEmpty(businessCentreAsString) | String.IsNullOrEmpty(businessDayAdjustment))
{
resultAsListOfDates = DatesMetaSchedule.GetUnadjustedDates(metaScheduleDefinition, startDate);
}
else
{
var businessDayAdjustments = BusinessDayAdjustmentsHelper.Create(businessDayAdjustment, businessCentreAsString);
resultAsListOfDates = GetAdjustedDates(metaScheduleDefinition, startDate, businessDayAdjustments, calendar);
}
var result = resultAsListOfDates.ToArray();
return(result);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableSimpleIRSwap"/> class.
/// </summary>
/// <param name="amount">The amount.</param>
/// <param name="discountingType">The discounting type.</param>
/// <param name="effectiveDate">The base date.</param>
/// <param name="tenor">The maturity tenor.</param>
/// <param name="fxdDayFraction">The fixed leg day fraction.</param>
/// <param name="businessCenters">The payment business centers.</param>
/// <param name="businessDayConvention">The payment business day convention.</param>
/// <param name="fxdFrequency">The business day adjustments.</param>
/// <param name="underlyingRateIndex">Index of the rate.</param>
/// <param name="fixedRate">The fixed rate.</param>
/// <param name="id">The identifier.</param>
/// <param name="baseDate">The base date.</param>
/// <param name="currency">THe currency.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
public PriceableSimpleIRSwap(string id, DateTime baseDate, string currency,
decimal amount, DiscountingTypeEnum?discountingType,
DateTime effectiveDate, string tenor, string fxdDayFraction,
string businessCenters, string businessDayConvention, string fxdFrequency,
RateIndex underlyingRateIndex, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar, BasicQuotation fixedRate)
: this(baseDate, SimpleIrsHelper.Parse(id, currency, fxdDayFraction, tenor, fxdFrequency, id), effectiveDate,
CalculationFactory.CreateFixed(fixedRate.value, MoneyHelper.GetAmount(amount, currency),
DayCountFractionHelper.Parse(fxdDayFraction), discountingType),
BusinessDayAdjustmentsHelper.Create(businessDayConvention, businessCenters), underlyingRateIndex, fixingCalendar, paymentCalendar, fixedRate)
{
}
public List <DateTime> BuildDates(ILogger logger, ICoreCache cache, String nameSpace, BillSwapPricerDatesRange billSwapPricerDatesRange, IBusinessCalendar paymentCalendar)
{
CalculationPeriodFrequency frequency = CalculationPeriodFrequencyHelper.Parse(billSwapPricerDatesRange.RollFrequency, billSwapPricerDatesRange.RollConvention);
StubPeriodTypeEnum? initialStub = null;
if (!String.IsNullOrEmpty(billSwapPricerDatesRange.InitialStubPeriod))
{
initialStub = EnumHelper.Parse <StubPeriodTypeEnum>(billSwapPricerDatesRange.InitialStubPeriod);
}
StubPeriodTypeEnum?finalStub = null;
if (!String.IsNullOrEmpty(billSwapPricerDatesRange.FinalStubPeriod))
{
finalStub = EnumHelper.Parse <StubPeriodTypeEnum>(billSwapPricerDatesRange.FinalStubPeriod);
}
//BusinessDayAdjustments adjustments = BusinessDayAdjustmentsHelper.Create(BusinessDayConventionEnum.NONE, "");
//if (paymentCalendar == null)
//{
// paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, adjustments.businessCenters);//Make sure this builds a valid calendar!
//}
BusinessDayAdjustments calculationPeriodDayAdjustments = BusinessDayAdjustmentsHelper.Create(billSwapPricerDatesRange.BusinessDayConvention, billSwapPricerDatesRange.Calendar);
if (paymentCalendar == null)
{
paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, calculationPeriodDayAdjustments.businessCenters, nameSpace);
}
CalculationPeriodsPrincipalExchangesAndStubs result = CalculationPeriodGenerator.GenerateAdjustedCalculationPeriods(
billSwapPricerDatesRange.StartDate,
billSwapPricerDatesRange.EndDate,
billSwapPricerDatesRange.FirstRegularPeriodStartDate,
frequency,
calculationPeriodDayAdjustments,
initialStub,
finalStub,
paymentCalendar
);
foreach (CalculationPeriod regularCalculationPeriod in result.GetRegularAndStubPeriods())
{
// Adjust both startDate & endDate of period
//
CalculationPeriodHelper.SetAdjustedDates(regularCalculationPeriod,
AdjustedDateHelper.ToAdjustedDate(paymentCalendar, regularCalculationPeriod.unadjustedStartDate, calculationPeriodDayAdjustments),
AdjustedDateHelper.ToAdjustedDate(paymentCalendar, regularCalculationPeriod.unadjustedEndDate, calculationPeriodDayAdjustments));
}
var listResult = result.GetRegularAndStubPeriods().Select(regularCalculationPeriod => regularCalculationPeriod.adjustedStartDate).ToList();
listResult.Add(result.GetRegularAndStubPeriods()[result.GetRegularAndStubPeriods().Count - 1].adjustedEndDate);
return(listResult);
}
/// <summary>
///
/// </summary>
/// <param name="uniqueId"></param>
/// <param name="payerIsBase"></param>
/// <param name="accrualStartDate"></param>
/// <param name="accrualEndDate"></param>
/// <param name="adjustCalculationDatesIndicator"></param>
/// <param name="paymentDate"></param>
/// <param name="notionalAmount"></param>
/// <param name="resetRelativeTo"></param>
/// <param name="fixingDateRelativeOffset"></param>
/// <param name="margin"></param>
/// <param name="baseRate"> </param>
/// <param name="calculation"></param>
/// <param name="forecastRateIndex"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
public PriceableFloatingRateCoupon
(string uniqueId
, bool payerIsBase
, DateTime accrualStartDate
, DateTime accrualEndDate
, Boolean adjustCalculationDatesIndicator
, AdjustableOrAdjustedDate paymentDate
, Money notionalAmount
, ResetRelativeToEnum resetRelativeTo
, RelativeDateOffset fixingDateRelativeOffset
, Decimal margin
, Decimal baseRate
, Calculation calculation
, ForecastRateIndex forecastRateIndex
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: base
(uniqueId
, CouponType.FloatingRate
, payerIsBase
, accrualStartDate
, accrualEndDate
, adjustCalculationDatesIndicator
, BusinessDayAdjustmentsHelper.Create(fixingDateRelativeOffset.businessDayConvention, fixingDateRelativeOffset.businessCenters)
, calculation
, notionalAmount
, paymentDate
, paymentCalendar)
{
BaseRate = baseRate;
FixingCalendar = fixingCalendar;
ModelIdentifier = "DualCurveCouponModel";
ForwardStartDate = AccrualStartDate;
ForwardEndDate = AccrualEndDate;
ForecastRateIndex = forecastRateIndex;
FixingDateRelativeOffset = fixingDateRelativeOffset;
ResetRelativeTo = resetRelativeTo;
Margin = margin;
var floatingRateDefinition = (FloatingRateDefinition)calculation.Items[0];
RateObservation = floatingRateDefinition.rateObservation[0];
AdjustedFixingDate = GetResetDate(resetRelativeTo, fixingDateRelativeOffset);
SetRateObservation(RateObservation, ResetDate);
ForecastCurveName = CurveNameHelpers.GetForecastCurveName(forecastRateIndex);
}
///<summary>
///</summary>
///<param name="termsRange"></param>
///<param name="metaScheduleDefinitionRange"></param>
///<param name="paymentCalendar"></param>
///<returns></returns>
public static List <AmortisingResultItem> GenerateCashflowSchedule(BillsSwapPricer2TermsRange termsRange,
List <MetaScheduleRangeItem> metaScheduleDefinitionRange, IBusinessCalendar paymentCalendar)
{
RollConventionEnum rollConventionEnum = RollConventionEnumHelper.Parse(termsRange.RollDay);
BusinessDayAdjustments businessDayAdjustments = BusinessDayAdjustmentsHelper.Create(termsRange.DateRollConvention, termsRange.Calendar);
bool backwardGeneration = (termsRange.BuildDates.ToLower() == "backward");
List <DateTime> adjustedDatesResult;
List <DateTime> unadjustedDatesResult;
if (termsRange.RollFrequency.ToLower().Contains("custom"))
{
var rollsMetaSchedule = metaScheduleDefinitionRange.Select(item => new MetaScheduleItem
{
RollFrequency = PeriodHelper.Parse(item.RollFrequency), Period = PeriodHelper.Parse(item.Period), RollConvention = RollConventionEnumHelper.Parse(item.RollConvention)
}).ToList();
unadjustedDatesResult = DatesMetaSchedule.GetUnadjustedDates3(termsRange.StartDate, termsRange.EndDate,
rollsMetaSchedule, backwardGeneration);
adjustedDatesResult = AdjustedDatesMetaSchedule.GetAdjustedDates3(termsRange.StartDate, termsRange.EndDate,
rollsMetaSchedule, backwardGeneration, businessDayAdjustments, paymentCalendar);
}
else
{
Period interval = PeriodHelper.Parse(termsRange.RollFrequency);
unadjustedDatesResult = DatesMetaSchedule.GetUnadjustedDates2(termsRange.StartDate, termsRange.EndDate,
interval, rollConventionEnum, backwardGeneration);
adjustedDatesResult = AdjustedDatesMetaSchedule.GetAdjustedDates2(termsRange.StartDate, termsRange.EndDate,
interval, rollConventionEnum, backwardGeneration, businessDayAdjustments, paymentCalendar);
}
var result = new List <AmortisingResultItem>();
for (int i = 0; i < adjustedDatesResult.Count; i++)
{
DateTime adjustedTime = adjustedDatesResult[i];
DateTime unadjustedTime = unadjustedDatesResult[i];
var amortisingResultItem = new AmortisingResultItem
{
WasRolled = (adjustedTime == unadjustedTime) ? "No" : "Yes",
RollDate = adjustedTime,
AmortisingAmount = 0,
OutstandingValue = termsRange.FaceValue
};
result.Add(amortisingResultItem);
}
return(result);
}
/// <summary>
/// Gets the reset date.
/// </summary>
/// <param name="resetRelativeTo">The reset relative to.</param>
/// <returns></returns>
/// <param name="fixingDateRelativeOffset"></param>
private DateTime GetResetDate(ResetRelativeToEnum resetRelativeTo, RelativeDateOffset fixingDateRelativeOffset)
{
var resetDate = AccrualStartDate;
switch (resetRelativeTo)
{
case ResetRelativeToEnum.CalculationPeriodEndDate:
resetDate = AccrualEndDate;
break;
}
var interval = (Period)fixingDateRelativeOffset;
if (fixingDateRelativeOffset != null)
{
var adjustment = BusinessDayAdjustmentsHelper.Create(fixingDateRelativeOffset.businessDayConvention, BusinessCentersHelper.BusinessCentersString(fixingDateRelativeOffset.businessCenters.businessCenter));
resetDate = AdjustedDateHelper.ToAdjustedDate(FixingCalendar, resetDate, adjustment, OffsetHelper.FromInterval(interval, fixingDateRelativeOffset.dayType));
}
return(resetDate);
}
private static InterestRateStream GenerateFixedStreamDefinition(SwapLegParametersRange legParametersRange)
{
var discountingType = legParametersRange.DiscountingType;
InterestRateStream stream;
Discounting discounting = null;
if (discountingType != null && discountingType.ToUpper() != "NONE")
{
discounting = new Discounting {
discountingType = EnumHelper.Parse <DiscountingTypeEnum>(legParametersRange.DiscountingType), discountingTypeSpecified = true
};
stream = InterestRateStreamFactory.CreateFixedRateStream(DiscountingTypeToPayRelativeTo(discounting.discountingType));
}
else
{
stream = InterestRateStreamFactory.CreateFixedRateStream(DiscountingTypeToPayRelativeTo(null));
}
// Set effective and termination dates of the stream.
//
SetEffectiveAndTerminationDates(stream, legParametersRange.EffectiveDate, legParametersRange.MaturityDate, legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
//Set the FirstRegularPeriodStartDate
SetFirstRegularPeriodStartDate(stream, legParametersRange.FirstRegularPeriodStartDate);
//Set the LastRegularPeriodEndDate
SetLastRegularPeriodEndDate(stream, legParametersRange.LastRegularPeriodEndDate);
// Adjusted or unadjusted swap
//
var dateAdjustments = AdjustedType.Adjusted != legParametersRange.AdjustedType ? BusinessDayAdjustmentsHelper.Create(BusinessDayConventionEnum.NONE, legParametersRange.PaymentCalendar) : BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
stream.calculationPeriodDates.calculationPeriodDatesAdjustments = dateAdjustments;
stream.calculationPeriodDates.calculationPeriodFrequency = CalculationPeriodFrequencyHelper.Parse(legParametersRange.PaymentFrequency, legParametersRange.RollConvention);
//Set FirstPeriodStartDate i.e. Full or Partial period.
if (legParametersRange.FirstCouponType == FirstCouponType.Full)
{
var firstCouponStartDate = new AdjustableDate
{
dateAdjustments = dateAdjustments, id = "FullFirstCoupon"
};
SetFirstPeriodStartDate(stream, firstCouponStartDate);
}
// Set payment dates frequency and adjustments
//
stream.paymentDates.paymentFrequency = PeriodHelper.Parse(legParametersRange.PaymentFrequency).ToFrequency();
stream.paymentDates.paymentDatesAdjustments = BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(stream.calculationPeriodAmount);
// Set discounting type
//
calculation.discounting = discounting;
// Set notional amount (as the initial value in notional schedule)
//
SetNotional(calculation, legParametersRange.NotionalAmount, legParametersRange.Currency);
// Set fixed rate (as the initial value in fixed-rate schedule)
//
Schedule fixedRateSchedule = ScheduleHelper.Create(legParametersRange.CouponOrLastResetRate);
XsdClassesFieldResolver.CalculationSetFixedRateSchedule(calculation, fixedRateSchedule);
// Set the 'day count convention'
//
calculation.dayCountFraction = DayCountFractionHelper.Parse(legParametersRange.DayCount);
// Initial stub
//
//if (paymentCalendar==null)
//{
// paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, stream.paymentDates.paymentDatesAdjustments.businessCenters);
//}
//ProcessStubs(stream, legParametersRange, paymentCalendar);
return(stream);
}
private static InterestRateStream GenerateCapFloorStreamDefinition(CapFloorLegParametersRange legParametersRange)
{
Discounting discounting = null;
InterestRateStream stream;
if (legParametersRange.DiscountingType != null && legParametersRange.DiscountingType.ToUpper() != "NONE")
{
discounting = new Discounting
{
discountingType =
EnumHelper.Parse <DiscountingTypeEnum>(legParametersRange.DiscountingType)
};
stream = InterestRateStreamFactory.CreateFloatingRateStream(DiscountingTypeToPayRelativeTo(discounting.discountingType));
}
// Create the stream object
//
else
{
stream = InterestRateStreamFactory.CreateFloatingRateStream(DiscountingTypeToPayRelativeTo(null));
}
// Set effective and termination dates of the stream.
//
SetEffectiveAndTerminationDates(stream, legParametersRange.EffectiveDate, legParametersRange.MaturityDate, legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
// Adjusted or unadjusted swap
//
stream.calculationPeriodDates.calculationPeriodDatesAdjustments = AdjustedType.Adjusted != legParametersRange.AdjustedType ? BusinessDayAdjustmentsHelper.Create(BusinessDayConventionEnum.NONE, legParametersRange.PaymentCalendar) : BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
stream.calculationPeriodDates.calculationPeriodFrequency = CalculationPeriodFrequencyHelper.Parse(legParametersRange.PaymentFrequency, legParametersRange.RollConvention);
stream.paymentDates.paymentFrequency = PeriodHelper.Parse(legParametersRange.PaymentFrequency).ToFrequency();
stream.paymentDates.paymentDatesAdjustments = BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
stream.resetDates.fixingDates = RelativeDateOffsetHelper.Create(legParametersRange.PaymentFrequency, DayTypeEnum.Business, BusinessDayConventionEnum.NONE.ToString(), legParametersRange.FixingCalendar, "resetDates");//"NONE" & "resedDates" - hardcoded
stream.resetDates.resetFrequency = ResetFrequencyHelper.Parse(legParametersRange.PaymentFrequency);
stream.resetDates.resetDatesAdjustments = BusinessDayAdjustmentsHelper.Create(legParametersRange.FixingBusinessDayAdjustments, legParametersRange.FixingCalendar);
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(stream.calculationPeriodAmount);
// Set discounting type
//
calculation.discounting = discounting;
// Set notional amount (as the initial value in notional schedule)
//
SetNotional(calculation, legParametersRange.NotionalAmount, legParametersRange.Currency);
// Set floating rate index name
//
string indexTenor = legParametersRange.PaymentFrequency;
string indexName = legParametersRange.ForecastIndexName;
FloatingRateCalculation floatingRateCalculation = FloatingRateCalculationFactory.Create(indexName, indexTenor, legParametersRange.FloatingRateSpread);
XsdClassesFieldResolver.CalculationSetFloatingRateCalculation(calculation, floatingRateCalculation);
if (legParametersRange.CapOrFloor == CapFloorType.Cap)
{
floatingRateCalculation.capRateSchedule = new[] { new StrikeSchedule() };
floatingRateCalculation.capRateSchedule[0].initialValue = legParametersRange.StrikeRate;
floatingRateCalculation.capRateSchedule[0].buyer = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Receiver
};
floatingRateCalculation.capRateSchedule[0].seller = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Payer
};
}
else
{
floatingRateCalculation.floorRateSchedule = new[] { new StrikeSchedule() };
floatingRateCalculation.floorRateSchedule[0].initialValue = legParametersRange.StrikeRate;
floatingRateCalculation.floorRateSchedule[0].buyer = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Receiver
};
floatingRateCalculation.floorRateSchedule[0].seller = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Payer
};
}
// Set day count convention
//
calculation.dayCountFraction = DayCountFractionHelper.Parse(legParametersRange.DayCount);
return(stream);
}
private static InterestRateStream GenerateFloatingStreamDefinition(SwapLegParametersRange legParametersRange)
{
Discounting discounting = null;
InterestRateStream stream;
if (legParametersRange.DiscountingType != null && legParametersRange.DiscountingType.ToUpper() != "NONE")
{
discounting = new Discounting {
discountingType = EnumHelper.Parse <DiscountingTypeEnum>(legParametersRange.DiscountingType)
};
// Create the stream object
stream = InterestRateStreamFactory.CreateFloatingRateStream(DiscountingTypeToPayRelativeTo(discounting.discountingType));
}
else
{
// Create the stream object
//
stream = InterestRateStreamFactory.CreateFloatingRateStream(DiscountingTypeToPayRelativeTo(null));
}
// Set effective and termination dates of the stream.
//
SetEffectiveAndTerminationDates(stream, legParametersRange.EffectiveDate, legParametersRange.MaturityDate, legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
//Set the FirstRegularPeriodStartDate
SetFirstRegularPeriodStartDate(stream, legParametersRange.FirstRegularPeriodStartDate);
//Set the LastRegularPeriodEndDate
SetLastRegularPeriodEndDate(stream, legParametersRange.LastRegularPeriodEndDate);
// Adjusted or unadjusted swap
//Set the stub period type
var dateAdjustments = AdjustedType.Adjusted != legParametersRange.AdjustedType
? BusinessDayAdjustmentsHelper.Create(BusinessDayConventionEnum.NONE, legParametersRange.PaymentCalendar)
: BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
stream.calculationPeriodDates.calculationPeriodDatesAdjustments = dateAdjustments;
stream.calculationPeriodDates.calculationPeriodFrequency = CalculationPeriodFrequencyHelper.Parse(legParametersRange.PaymentFrequency, legParametersRange.RollConvention);
if (legParametersRange.FirstCouponType == FirstCouponType.Full)
{
var firstCouponStartDate = new AdjustableDate
{
dateAdjustments = dateAdjustments, id = "FullFirstCoupon"
};
SetFirstPeriodStartDate(stream, firstCouponStartDate);
}
//Set the payment dates
stream.paymentDates.paymentFrequency = PeriodHelper.Parse(legParametersRange.PaymentFrequency).ToFrequency();
stream.paymentDates.paymentDatesAdjustments = BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
stream.resetDates.fixingDates = RelativeDateOffsetHelper.Create(legParametersRange.PaymentFrequency, DayTypeEnum.Business, BusinessDayConventionEnum.NONE.ToString(), legParametersRange.FixingCalendar, "resetDates");//"NONE" & "resedDates" - hardcoded
stream.resetDates.resetFrequency = ResetFrequencyHelper.Parse(legParametersRange.PaymentFrequency);
stream.resetDates.resetDatesAdjustments = BusinessDayAdjustmentsHelper.Create(legParametersRange.FixingBusinessDayAdjustments, legParametersRange.FixingCalendar);
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(stream.calculationPeriodAmount);
// Set discounting type
//
calculation.discounting = discounting;
// Set notional amount (as the initial value in notional schedule)
//
SetNotional(calculation, legParametersRange.NotionalAmount, legParametersRange.Currency);
// Set floating rate index name
//
string indexTenor = legParametersRange.PaymentFrequency;
//string indexName = legParametersRange.ForecastCurve;
string indexName = legParametersRange.ForecastIndexName;
FloatingRateCalculation floatingRateCalculation = FloatingRateCalculationFactory.Create(indexName, indexTenor, legParametersRange.FloatingRateSpread);
XsdClassesFieldResolver.CalculationSetFloatingRateCalculation(calculation, floatingRateCalculation);
// Set day count convention
//
calculation.dayCountFraction = DayCountFractionHelper.Parse(legParametersRange.DayCount);
return(stream);
}