public override SwapLeg GenerateInstrument()
{
var calendar = TradeInfo.Calendar.ToCalendarImpl();
var startDate = TradeInfo.StartDate.ToDate();
var maturityDate = !string.IsNullOrEmpty(TradeInfo.Tenor) ?new DayGap("+0BD").Get(calendar, new Term(TradeInfo.Tenor).Next(startDate)) : TradeInfo.MaturityDate.ToDate();
var swapDirection = TradeInfo.SwapDirection.ToSwapDirection();
var floatingLegFrequency = TradeInfo.FloatingLegFreq.ToFrequency();
var floatingCouponResetTerm = new Term(TradeInfo.ResetTerm);
if (floatingCouponResetTerm.Equals(floatingLegFrequency.GetTerm()))
{
floatingCouponResetTerm = null;
}
var floatingCoupon =
new FloatingCoupon(
new Index(TradeInfo.Index.ToIndexType(), 1, TradeInfo.ResetCompound.ToCouponCompound()),
calendar,
TradeInfo.FloatingLegDC.ToDayCountImpl(),
0.0,
floatingCouponResetTerm,
TradeInfo.ResetStub.ToStub(),
TradeInfo.ResetBD.ToBda(),
new DayGap(TradeInfo.ResetToFixingGap));
return(new SwapLeg(startDate,
maturityDate,
-TradeInfo.Notional * swapDirection.Sign(),
true,
TradeInfo.Currency.ToCurrencyCode(),
floatingCoupon,
calendar,
TradeInfo.FloatingLegFreq.ToFrequency(),
TradeInfo.FloatingLegStub.ToStub(),
TradeInfo.FloatingLegDC.ToDayCountImpl(),
TradeInfo.FloatingLegBD.ToBda()
));
}
//leg1 <=> fixedLeg in InterestRateSwap
//leg2 <=> floatingLeg in InterestRateSwap
public override InterestRateSwap GenerateInstrument()
{
var startDate = TradeInfo.StartDate.ToDate();
var maturityDate = TradeInfo.MaturityDate.ToDate();
var tenor = new Term(maturityDate - startDate, Period.Day);
var leg1Frequency = TradeInfo.Leg1Frequency.ToFrequency();
var leg1Calendar = TradeInfo.Leg1Calendar.ToCalendarImpl();
var leg1CouponResetTerm = new Term(TradeInfo.Leg2ResetTerm);
if (leg1CouponResetTerm.Equals(leg1Frequency.GetTerm()))
{
leg1CouponResetTerm = null;
}
var leg1Coupon =
new FloatingCoupon(
new Index(TradeInfo.Leg1Index.ToIndexType(), 1, TradeInfo.Leg1ResetCompound.ToCouponCompound()),
leg1Calendar,
TradeInfo.Leg1DayCount.ToDayCountImpl(),
0.0,
leg1CouponResetTerm,
TradeInfo.Leg1ResetStub.ToStub(),
TradeInfo.Leg1ResetTerm.ToBda(),
new DayGap(TradeInfo.Leg1ResetToFixingGap));
var leg1 = new SwapLeg(startDate,
maturityDate,
1.0,
false,
TradeInfo.Currency.ToCurrencyCode(),
leg1Coupon,
leg1Calendar,
TradeInfo.Leg1Frequency.ToFrequency(),
TradeInfo.Leg1Stub.ToStub(),
TradeInfo.Leg1DayCount.ToDayCountImpl(),
TradeInfo.Leg1BusinessDayConvention.ToBda()
);
var leg2Calendar = TradeInfo.Leg2Calendar.ToCalendarImpl();
var leg2Frequency = TradeInfo.Leg2Frequency.ToFrequency();
var leg2CouponResetTerm = new Term(TradeInfo.Leg2ResetTerm);
if (leg2CouponResetTerm.Equals(leg2Frequency.GetTerm()))
{
leg2CouponResetTerm = null;
}
var leg2Coupon =
new FloatingCoupon(
new Index(TradeInfo.Leg2Index.ToIndexType(), 1, TradeInfo.Leg2ResetCompound.ToCouponCompound()),
leg2Calendar,
TradeInfo.Leg2DayCount.ToDayCountImpl(),
0.0,
leg2CouponResetTerm,
TradeInfo.Leg2ResetStub.ToStub(),
TradeInfo.Leg2ResetTerm.ToBda(),
new DayGap(TradeInfo.Leg2ResetToFixingGap));
var leg2 = new SwapLeg(startDate,
maturityDate,
1.0,
false,
TradeInfo.Currency.ToCurrencyCode(),
leg2Coupon,
leg2Calendar,
TradeInfo.Leg2Frequency.ToFrequency(),
TradeInfo.Leg2Stub.ToStub(),
TradeInfo.Leg2DayCount.ToDayCountImpl(),
TradeInfo.Leg2BusinessDayConvention.ToBda()
);
return(new InterestRateSwap(leg1, leg2, TradeInfo.SwapDirection.ToSwapDirection(), tenor.ToString()));
}
protected ICalibrationSupportedInstrument CreateIrsInstrument(RateMktData rateMktData,
out MktInstrumentCalibMethod calibMethod)
{
MktIrsJson irsJson = null;
ICalibrationSupportedInstrument irs = null;
if (rateMktData.TradeInfo != null)
{
var irsInfo = (InterestRateSwapInfo)rateMktData.TradeInfo;
var vf = new InterestRateSwapVf(irsInfo);
irs = vf.GenerateInstrument();
irsJson = MktInstrumentIrsRule.MktIrsRule[irsInfo.Index.ToIndexType()];
}
else
{
irsJson = MktInstrumentIrsRule.MktIrsRule[rateMktData.IndexType.ToIndexType()];
var irsInfo = irsJson.InterestRateSwapInfo;
var calendar = irsInfo.Calendar.ToCalendarImpl();
var startDate = calendar.NextBizDay(Market.ReferenceDate);
var isTernor = rateMktData.IsTerm();
var tenor = isTernor ? rateMktData.Tenor : null;
var maturityDate = isTernor ? new Term(tenor).Next(startDate) : new Date(DateTime.Parse(rateMktData.Tenor));
var fixedLeg = new SwapLeg(startDate,
maturityDate,
-1.0,
false,
irsInfo.Currency.ToCurrencyCode(),
new FixedCoupon(rateMktData.Rate),
calendar,
irsInfo.FixedLegFreq.ToFrequency(),
irsInfo.FixedLegStub.ToStub(),
irsInfo.FixedLegDC.ToDayCountImpl(),
irsInfo.FixedLegBD.ToBda()
);
var floatingLegFrequency = irsInfo.FloatingLegFreq.ToFrequency();
var floatingCouponResetTerm = new Term(irsInfo.ResetTerm);
if (floatingCouponResetTerm.Equals(floatingLegFrequency.GetTerm()))
{
floatingCouponResetTerm = null;
}
var floatingCoupon =
new FloatingCoupon(
new Index(rateMktData.IndexType.ToIndexType(), 1, irsInfo.ResetCompound.ToCouponCompound()),
calendar,
irsInfo.FloatingLegDC.ToDayCountImpl(),
0.0,
floatingCouponResetTerm,
irsInfo.ResetStub.ToStub(),
irsInfo.ResetBD.ToBda(),
new DayGap(irsInfo.ResetToFixingGap));
var floatingLeg = new SwapLeg(startDate,
maturityDate,
1.0,
false,
irsInfo.Currency.ToCurrencyCode(),
floatingCoupon,
calendar,
irsInfo.FloatingLegFreq.ToFrequency(),
irsInfo.FloatingLegStub.ToStub(),
irsInfo.FloatingLegDC.ToDayCountImpl(),
irsInfo.FloatingLegBD.ToBda()
);
irs = new InterestRateSwap(fixedLeg, floatingLeg, SwapDirection.Payer, tenor);
}
calibMethod = irsJson.CalibrationMethod.ToCalibMethod();
return(irs);
}
public override Bond GenerateInstrument()
{
ICoupon coupon = null;
var calendar = string.IsNullOrEmpty(TradeInfo.Calendar) ? CalendarImpl.Get("chn_ib") : TradeInfo.Calendar.ToCalendarImpl();
if (TradeInfo is FixedRateBondInfo)
{
var tempTradeInfo = (FixedRateBondInfo)TradeInfo;
coupon = new FixedCoupon(tempTradeInfo.FixedCoupon);
}
else if (TradeInfo is FloatingRateBondInfo)
{
var tempTradeInfo = (FloatingRateBondInfo)TradeInfo;
var index = new Index(tempTradeInfo.Index.ToIndexType(), tempTradeInfo.ResetAverageDays, tempTradeInfo.ResetCompound.ToCouponCompound(), tempTradeInfo.ResetRateDigits);
var dayCount = tempTradeInfo.ResetDC.ToDayCountImpl();
var stub = tempTradeInfo.ResetStub.ToStub();
var bda = tempTradeInfo.ResetBD.ToBda();
var floatingCouponResetTerm = new Term(tempTradeInfo.ResetTerm);
var resetFrequency = tempTradeInfo.PaymentFreq.ToFrequency();
if (floatingCouponResetTerm.Equals(resetFrequency.GetTerm()))
{
floatingCouponResetTerm = null;
}
var resetToFixingGap = new DayGap(tempTradeInfo.ResetToFixingGap);
coupon = new FloatingCoupon(
index,
calendar,
dayCount,
tempTradeInfo.Spread,
floatingCouponResetTerm,
stub,
bda,
resetToFixingGap,
null,
double.IsNaN(tempTradeInfo.FloorRate) ? -100 : tempTradeInfo.FloorRate,
double.IsNaN(tempTradeInfo.CapRate) ? 100 : tempTradeInfo.CapRate,
tempTradeInfo.FloatingCalc.ToFloatingCalcType(),
(double.IsNaN(tempTradeInfo.FloatingRateMultiplier) || tempTradeInfo.FloatingRateMultiplier.IsAlmostZero()) ? 1.0 : tempTradeInfo.FloatingRateMultiplier
);
}
else if (TradeInfo is FixedDateCouonAdjustedBondInfo)
{
var tempTradeInfo = (TradeInfo as FixedDateCouonAdjustedBondInfo);
coupon = new FixedDateAdjustedCoupon(tempTradeInfo.Index.ToIndexType(),
calendar,
tempTradeInfo.DayCount.ToDayCountImpl(),
tempTradeInfo.FixedDateCouponAdjustedStyle.ToFixedDateAdjustedCouponStyle(),
tempTradeInfo.AdjustMmDd,
tempTradeInfo.FloatingRateMultiplier,
tempTradeInfo.Spread
);
}
return(new Bond(
TradeInfo.TradeId,
TradeInfo.StartDate.ToDate(),
TradeInfo.MaturityDate.ToDate(),
TradeInfo.Notional,
string.IsNullOrEmpty(TradeInfo.Currency) ? CurrencyCode.CNY : TradeInfo.Currency.ToCurrencyCode(),
coupon,
calendar,
TradeInfo.PaymentFreq.ToFrequency(),
string.IsNullOrEmpty(TradeInfo.PaymentStub) ? Stub.ShortEnd : TradeInfo.PaymentStub.ToStub(),
string.IsNullOrEmpty(TradeInfo.AccrualDC) ? new ActActIsma() : TradeInfo.AccrualDC.ToDayCount().Get(),
string.IsNullOrEmpty(TradeInfo.DayCount) ? null : TradeInfo.DayCount.ToDayCount().Get(),
TradeInfo.AccrualBD.ToBda(),
TradeInfo.PaymentBD.ToBda(),
string.IsNullOrEmpty(TradeInfo.Settlement) ? new DayGap("+0D") : new DayGap(TradeInfo.Settlement),
string.IsNullOrEmpty(TradeInfo.TradingMarket)
? TradingMarket.ChinaInterBank
: TradeInfo.TradingMarket.ToTradingMarket(),
TradeInfo.StickToEom,
(double.IsNaN(TradeInfo.RedemptionRate) || Math.Abs(TradeInfo.RedemptionRate - 0.0) < double.Epsilon)? null : new Redemption(TradeInfo.RedemptionRate, TradeInfo.RedemptionIncludeLastCoupon ? RedemptionType.SeparatePrincipalWithLastCoupon : RedemptionType.SeparatePrincipal),
TradeInfo.FirstPaymentDate.ToDate(),
TradeInfo.IsZeroCouponBond,
TradeInfo.IssuePrice,
(double.IsNaN(TradeInfo.IssueRate) || TradeInfo.IssueRate <= 0.0) ? double.NaN : TradeInfo.IssueRate,
string.IsNullOrEmpty(TradeInfo.AmortizationType)
? AmortizationType.None
: TradeInfo.AmortizationType.ToAmortizationType(),
TradeInfo.AmoritzationInDate == null
? null
: TradeInfo.AmoritzationInDate.ToDictionary(x => x.Key.ToDate(), x => x.Value),
TradeInfo.AmoritzationInIndex,
TradeInfo.RenormAmortization,
TradeInfo.CompensationRate,
TradeInfo.OptionToCall,
TradeInfo.OptionToPut,
TradeInfo.OptionToAssPut,
TradeInfo.SettlementCoupon.IsAlmostZero() ? double.NaN : TradeInfo.SettlementCoupon,
TradeInfo.RoundCleanPrice
));
}
public override InterestRateSwap GenerateInstrument()
{
var calendar = TradeInfo.Calendar.ToCalendarImpl();
var startDate = TradeInfo.StartDate.ToDate();
Date maturityDate;
string tenor;
if (!string.IsNullOrEmpty(TradeInfo.Tenor))
{
maturityDate = new DayGap("+0BD").Get(calendar, new Term(TradeInfo.Tenor).Next(startDate));
tenor = TradeInfo.Tenor;
}
else
{
maturityDate = TradeInfo.MaturityDate.ToDate();
tenor = new Term(maturityDate - startDate, Period.Day).ToString();
}
var swapDirection = TradeInfo.SwapDirection.ToSwapDirection();
var fixedLeg = new SwapLeg(startDate,
maturityDate,
TradeInfo.Notional * swapDirection.Sign(),
false,
TradeInfo.Currency.ToCurrencyCode(),
new FixedCoupon(TradeInfo.FixedLegCoupon),
calendar,
TradeInfo.FixedLegFreq.ToFrequency(),
TradeInfo.FixedLegStub.ToStub(),
TradeInfo.FixedLegDC.ToDayCountImpl(),
TradeInfo.FixedLegBD.ToBda()
);
var floatingLegFrequency = TradeInfo.FloatingLegFreq.ToFrequency();
var floatingCouponResetTerm = new Term(TradeInfo.ResetTerm);
if (floatingCouponResetTerm.Equals(floatingLegFrequency.GetTerm()))
{
floatingCouponResetTerm = null;
}
var floatingCoupon =
new FloatingCoupon(
new Index(TradeInfo.Index.ToIndexType(), 1, TradeInfo.ResetCompound.ToCouponCompound()),
calendar,
TradeInfo.FloatingLegDC.ToDayCountImpl(),
0.0,
floatingCouponResetTerm,
TradeInfo.ResetStub.ToStub(),
TradeInfo.ResetBD.ToBda(),
new DayGap(TradeInfo.ResetToFixingGap));
var floatingLeg = new SwapLeg(startDate,
maturityDate,
-TradeInfo.Notional * swapDirection.Sign(),
false,
TradeInfo.Currency.ToCurrencyCode(),
floatingCoupon,
calendar,
TradeInfo.FloatingLegFreq.ToFrequency(),
TradeInfo.FloatingLegStub.ToStub(),
TradeInfo.FloatingLegDC.ToDayCountImpl(),
TradeInfo.FloatingLegBD.ToBda()
);
return(new InterestRateSwap(fixedLeg, floatingLeg, swapDirection, tenor));
}