/// <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="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
, Calculation calculation
, ForecastRateIndex forecastRateIndex
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: this
(uniqueId
, payerIsBase
, accrualStartDate
, accrualEndDate
, adjustCalculationDatesIndicator
, paymentDate
, notionalAmount
, resetRelativeTo
, fixingDateRelativeOffset
, margin
, 0.0m
, calculation
, forecastRateIndex
, fixingCalendar
, paymentCalendar)
{
}
public PriceableStructuredRateCoupon
(string uniqueId
, DateTime accrualStartDate
, DateTime accrualEndDate
, Boolean adjustCalculationDatesIndicator
, AdjustableDate paymentDate
, Money notionalAmount
, ResetRelativeToEnum resetRelativeTo
, RelativeDateOffset fixingDateRelativeOffset
, RateIndex underlyingRateIndex
, RelativeDateOffset resetLagOffset
, Decimal margin
, Calculation calculation
, ForecastRateIndex forecastRateIndex
)
: base
(uniqueId
, accrualStartDate
, accrualEndDate
, adjustCalculationDatesIndicator
, paymentDate
, notionalAmount
, resetRelativeTo
, fixingDateRelativeOffset
, margin
, calculation
, forecastRateIndex
)
{
UnderlyingRateIndex = underlyingRateIndex;
ResetLagOffset = resetLagOffset;
PriceableCouponType = CouponType.StructuredRate;
AnalyticsModel = new StructuredRateCouponAnalytic();
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableFxRateCashflow"/> class.
/// </summary>
/// <param name="cashlfowId">The stream id.</param>
/// <param name="payerIsBase">The payer is base flag.</param>
/// <param name="accrualStartDate">The accrual start date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="accrualEndDate">The accrual end date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="adjustAccrualDatesIndicator">if set to <c>true</c> [adjust calculation dates indicator].</param>
/// <param name="accrualBusinessCenters">The accrual business centers.</param>
/// <param name="margin">The margin.</param>
/// <param name="baseRate">The base rate for a nettable fixed/floating cash flow. </param>
/// <param name="observedRate">The observed Rate.</param>
/// <param name="notionalAmount">The notional amount.</param>
/// <param name="dayCountfraction">Type of day Countfraction.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="accrualRollConvention">The accrual roll convention.</param>
/// <param name="resetRelativeTo">reset relative to?</param>
/// <param name="fixingDateRelativeOffset">The fixing date offset.</param>
/// <param name="forecastRateIndex">The forecastrateindex.</param>
/// <param name="discountingType">The swap discounting type.</param>
/// <param name="discountRate">The discount rate.</param>
/// <param name="fraDiscounting">Determines whether the coupon is discounted or not. If this parameter is null,
/// then it is assumed that there is no fradiscounting</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
public PriceableFloatingRateCoupon
(
string cashlfowId
, bool payerIsBase
, DateTime accrualStartDate
, DateTime accrualEndDate
, Boolean adjustAccrualDatesIndicator
, BusinessCenters accrualBusinessCenters
, BusinessDayConventionEnum accrualRollConvention
, DayCountFraction dayCountfraction
, ResetRelativeToEnum resetRelativeTo
, RelativeDateOffset fixingDateRelativeOffset
, Decimal margin
, Decimal baseRate
, Decimal?observedRate
, Money notionalAmount
, AdjustableOrAdjustedDate paymentDate
, ForecastRateIndex forecastRateIndex
, DiscountingTypeEnum?discountingType
, Decimal?discountRate
, FraDiscountingEnum?fraDiscounting
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: base(
cashlfowId
, CouponType.FloatingRate
, payerIsBase
, accrualStartDate
, accrualEndDate
, adjustAccrualDatesIndicator
, accrualBusinessCenters
, accrualRollConvention
, dayCountfraction
, observedRate
, notionalAmount
, paymentDate
, discountingType
, discountRate
, fraDiscounting
, paymentCalendar)
{
BaseRate = baseRate;
FixingCalendar = fixingCalendar;
ModelIdentifier = "DualCurveCouponModel";
Id = cashlfowId;
ForwardStartDate = AccrualStartDate;
ForecastRateIndex = forecastRateIndex;
FixingDateRelativeOffset = fixingDateRelativeOffset;
ResetRelativeTo = resetRelativeTo;
Margin = margin;
AdjustedFixingDate = GetResetDate(resetRelativeTo, fixingDateRelativeOffset);
if (observedRate != null)
{
RateObservation = RateObservationHelper.Parse(AdjustedFixingDate, (decimal)observedRate, "1");
}
SetRateObservation(RateObservation, ResetDate);
ForecastCurveName = CurveNameHelpers.GetForecastCurveName(forecastRateIndex);
}
/// <summary>
/// </summary>
/// <param name="cache"></param>
/// <param name="interestRateStream"></param>
/// <param name="listCalculationPeriods"></param>
/// <param name="fixingCalendar"></param>
/// <param name="nameSpace"></param>
/// <returns></returns>
/// <exception cref="NotSupportedException"></exception>
/// <exception cref="NotImplementedException"></exception>
public static List <DateTime> GetAdjustedResetDates(ICoreCache cache, InterestRateStream interestRateStream,
List <CalculationPeriod> listCalculationPeriods, IBusinessCalendar fixingCalendar, string nameSpace)
{
var adjustedResetDates = new List <DateTime>();
ResetDates resetDates = interestRateStream.resetDates;
Period resetFrequency = IntervalHelper.FromFrequency(resetDates.resetFrequency);
Period calculationPeriodFrequency = IntervalHelper.FromFrequency(interestRateStream.calculationPeriodDates.calculationPeriodFrequency);
if (resetFrequency.period != calculationPeriodFrequency.period)
{
throw new NotSupportedException(
$"Reset period type ({resetFrequency.period}) and calculation period type ({calculationPeriodFrequency.period}) are different. This is not supported.");
}
if (int.Parse(resetFrequency.periodMultiplier) != int.Parse(calculationPeriodFrequency.periodMultiplier))
{
throw new NotSupportedException(
$"Reset period frequency ({resetFrequency.period}) is not equal to calculation period frequency ({calculationPeriodFrequency.period}). This is not supported.");
}
BusinessDayAdjustments resetDatesAdjustments = resetDates.resetDatesAdjustments;
ResetRelativeToEnum resetRelativeTo = resetDates.resetRelativeTo;
if (fixingCalendar == null)
{
fixingCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, resetDatesAdjustments.businessCenters, nameSpace);
}
foreach (CalculationPeriod calculationPeriodsInPaymentPeriod in listCalculationPeriods)
{
switch (resetRelativeTo)
{
case ResetRelativeToEnum.CalculationPeriodStartDate:
{
DateTime unadjustedResetDate = calculationPeriodsInPaymentPeriod.unadjustedStartDate;
DateTime adjustedResetDate = AdjustedDateHelper.ToAdjustedDate(fixingCalendar, unadjustedResetDate, resetDatesAdjustments);
adjustedResetDates.Add(adjustedResetDate);
break;
}
case ResetRelativeToEnum.CalculationPeriodEndDate:
{
DateTime unadjustedResetDate = calculationPeriodsInPaymentPeriod.unadjustedEndDate;
DateTime adjustedResetDate = AdjustedDateHelper.ToAdjustedDate(fixingCalendar, unadjustedResetDate, resetDatesAdjustments);
adjustedResetDates.Add(adjustedResetDate);
break;
}
default:
{
throw new NotImplementedException("resetRelativeTo");
}
}
}
return(adjustedResetDates);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableCapFloorCoupon"/> class.
/// </summary>
/// <param name="uniqueId"></param>
/// <param name="buyerIsBase">The buyer is base flag.</param>
/// <param name="capStrike">The Cap strike.</param>
/// <param name="floorStrike">The floor strike.</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="calculation"></param>
/// <param name="forecastRateIndex"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
public PriceableCapFloorCoupon
(string uniqueId
, bool buyerIsBase
, decimal?capStrike
, decimal?floorStrike
, DateTime accrualStartDate
, DateTime accrualEndDate
, Boolean adjustCalculationDatesIndicator
, AdjustableOrAdjustedDate paymentDate
, Money notionalAmount
, ResetRelativeToEnum resetRelativeTo
, RelativeDateOffset fixingDateRelativeOffset
, Decimal margin
, Calculation calculation
, ForecastRateIndex forecastRateIndex
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: base
(uniqueId
, buyerIsBase
, accrualStartDate
, accrualEndDate
, adjustCalculationDatesIndicator
, paymentDate
, notionalAmount
, resetRelativeTo
, fixingDateRelativeOffset
, margin
, calculation
, forecastRateIndex
, fixingCalendar
, paymentCalendar)
{
CapStrike = capStrike;
FloorStrike = floorStrike;
VolatilitySurfaceName = CurveNameHelpers.GetRateVolatilityMatrixName(forecastRateIndex);
if (capStrike != null && floorStrike == null)
{
PriceableCouponType = CouponType.Cap;
ModelIdentifier = "DualCurveCapModel";
IsCall = true;
}
if (floorStrike != null && capStrike == null)
{
PriceableCouponType = CouponType.Floor;
ModelIdentifier = "DualCurveFloorModel";
}
if (floorStrike != null && capStrike != null)
{
PriceableCouponType = CouponType.Collar;
ModelIdentifier = "DualCurveCollarModel";
}
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableFxRateCashflow"/> class.
/// </summary>
/// <param name="cashlfowId">The stream id.</param>
/// <param name="payerIsBase">The payer is base flag.</param>
/// <param name="accrualStartDate">The accrual start date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="accrualEndDate">The accrual end date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="adjustAccrualDatesIndicator">if set to <c>true</c> [adjust calculation dates indicator].</param>
/// <param name="accrualBusinessCenters">The accrual business centers.</param>
/// <param name="margin">The margin.</param>
/// <param name="observedRate">The observed Rate.</param>
/// <param name="notionalAmount">The notional amount.</param>
/// <param name="dayCountfraction">Type of day Countfraction.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="accrualRollConvention">The accrual roll convention.</param>
/// <param name="resetRelativeTo">reset relative to?</param>
/// <param name="fixingDateRelativeOffset">The fixing date offset.</param>
/// <param name="forecastRateIndex">The forecastrateindex.</param>
/// <param name="discountingType">The swap discounting type.</param>
/// <param name="discountRate">The discount rate.</param>
/// <param name="fraDiscounting">Determines whether the coupon is discounted or not. If this parameter is null,
/// then it is assumed that there is no fradiscounting</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
public PriceableFloatingRateCoupon
(
string cashlfowId
, bool payerIsBase
, DateTime accrualStartDate
, DateTime accrualEndDate
, Boolean adjustAccrualDatesIndicator
, BusinessCenters accrualBusinessCenters
, BusinessDayConventionEnum accrualRollConvention
, DayCountFraction dayCountfraction
, ResetRelativeToEnum resetRelativeTo
, RelativeDateOffset fixingDateRelativeOffset
, Decimal margin
, Decimal?observedRate
, Money notionalAmount
, AdjustableOrAdjustedDate paymentDate
, ForecastRateIndex forecastRateIndex
, DiscountingTypeEnum?discountingType
, Decimal?discountRate
, FraDiscountingEnum?fraDiscounting
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: this(
cashlfowId
, payerIsBase
, accrualStartDate
, accrualEndDate
, adjustAccrualDatesIndicator
, accrualBusinessCenters
, accrualRollConvention
, dayCountfraction
, resetRelativeTo
, fixingDateRelativeOffset
, margin
, 0.0m
, observedRate
, notionalAmount
, paymentDate
, forecastRateIndex
, discountingType
, discountRate
, fraDiscounting
, fixingCalendar
, paymentCalendar)
{
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableRateCoupon"/> class.
/// </summary>
/// <param name="cashlfowId">The stream id.</param>
/// <param name="accrualStartDate">The accrual start date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="accrualEndDate">The accrual end date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="adjustCalculationDatesIndicator">if set to <c>true</c> [adjust calculation dates indicator].</param>
/// <param name="accrualBusinessCenters">The accrual business centers.</param>
/// <param name="underlyingRateIndex">Te underlying rate index can be Xibor or Swap.</param>
/// <param name="resetLagOffset">This allows for non-standard lags to be used in convexity adjustment calculations.</param>
/// <param name="margin">The margin.</param>
/// <param name="observedRate">The observed Rate.</param>
/// <param name="notionalAmount">The notional amount.</param>
/// <param name="accrualDayCountfraction">Type of day Countfraction used for the acrual period.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="accrualRollConvention">The accrual roll convention.</param>
/// <param name="resetRelativeTo">reset relative to?</param>
/// <param name="fixingDateRelativeOffset">The fixing date offset.</param>
/// <param name="forecastRateIndex">The forecastrateindex.</param>
/// <param name="discountingType">The swap discounting type.</param>
/// <param name="discountRate">The discount rate.</param>
/// <param name="fraDiscounting">Determines whether the coupon is discounted or not. If this parameter is null,
/// <param name="underlyingRateIndex"></param>
/// then it is assumed that there is no fradiscounting</param>
public PriceableStructuredRateCoupon
(
string cashlfowId
, DateTime accrualStartDate
, DateTime accrualEndDate
, Boolean adjustCalculationDatesIndicator
, BusinessCenters accrualBusinessCenters
, BusinessDayConventionEnum accrualRollConvention
, DayCountFraction accrualDayCountfraction
, ResetRelativeToEnum resetRelativeTo
, RelativeDateOffset fixingDateRelativeOffset
, RateIndex underlyingRateIndex
, RelativeDateOffset resetLagOffset
, Decimal margin
, Decimal?observedRate
, Money notionalAmount
, AdjustableDate paymentDate
, ForecastRateIndex forecastRateIndex
, DiscountingTypeEnum?discountingType
, Decimal?discountRate
, FraDiscountingEnum?fraDiscounting)
: base(
cashlfowId
, accrualStartDate
, accrualEndDate
, adjustCalculationDatesIndicator
, accrualBusinessCenters
, accrualRollConvention
, accrualDayCountfraction
, resetRelativeTo
, fixingDateRelativeOffset
, margin
, observedRate
, notionalAmount
, paymentDate
, forecastRateIndex
, discountingType
, discountRate
, fraDiscounting
)
{
UnderlyingRateIndex = underlyingRateIndex;
ResetLagOffset = resetLagOffset;
PriceableCouponType = CouponType.StructuredRate;
AnalyticsModel = new StructuredRateCouponAnalytic();
}
/// <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>
/// 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);
}
public ResetDates(XmlNode xmlNode)
{
XmlNodeList calculationPeriodDatesReferenceNodeList = xmlNode.SelectNodes("calculationPeriodDatesReference");
if (calculationPeriodDatesReferenceNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in calculationPeriodDatesReferenceNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
calculationPeriodDatesReferenceIDRef = item.Attributes["id"].Name;
CalculationPeriodDatesReference ob = CalculationPeriodDatesReference();
IDManager.SetID(calculationPeriodDatesReferenceIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
calculationPeriodDatesReferenceIDRef = item.Attributes["href"].Name;
}
else
{
calculationPeriodDatesReference = new CalculationPeriodDatesReference(item);
}
}
}
XmlNodeList resetRelativeToNodeList = xmlNode.SelectNodes("resetRelativeTo");
if (resetRelativeToNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in resetRelativeToNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
resetRelativeToIDRef = item.Attributes["id"].Name;
ResetRelativeToEnum ob = ResetRelativeToEnum();
IDManager.SetID(resetRelativeToIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
resetRelativeToIDRef = item.Attributes["href"].Name;
}
else
{
resetRelativeTo = new ResetRelativeToEnum(item);
}
}
}
XmlNodeList initialFixingDateNodeList = xmlNode.SelectNodes("initialFixingDate");
if (initialFixingDateNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in initialFixingDateNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
initialFixingDateIDRef = item.Attributes["id"].Name;
RelativeDateOffset ob = RelativeDateOffset();
IDManager.SetID(initialFixingDateIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
initialFixingDateIDRef = item.Attributes["href"].Name;
}
else
{
initialFixingDate = new RelativeDateOffset(item);
}
}
}
XmlNodeList fixingDatesNodeList = xmlNode.SelectNodes("fixingDates");
if (fixingDatesNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in fixingDatesNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
fixingDatesIDRef = item.Attributes["id"].Name;
RelativeDateOffset ob = RelativeDateOffset();
IDManager.SetID(fixingDatesIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
fixingDatesIDRef = item.Attributes["href"].Name;
}
else
{
fixingDates = new RelativeDateOffset(item);
}
}
}
XmlNodeList rateCutOffDaysOffsetNodeList = xmlNode.SelectNodes("rateCutOffDaysOffset");
if (rateCutOffDaysOffsetNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in rateCutOffDaysOffsetNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
rateCutOffDaysOffsetIDRef = item.Attributes["id"].Name;
Offset ob = Offset();
IDManager.SetID(rateCutOffDaysOffsetIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
rateCutOffDaysOffsetIDRef = item.Attributes["href"].Name;
}
else
{
rateCutOffDaysOffset = new Offset(item);
}
}
}
XmlNodeList resetFrequencyNodeList = xmlNode.SelectNodes("resetFrequency");
if (resetFrequencyNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in resetFrequencyNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
resetFrequencyIDRef = item.Attributes["id"].Name;
ResetFrequency ob = ResetFrequency();
IDManager.SetID(resetFrequencyIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
resetFrequencyIDRef = item.Attributes["href"].Name;
}
else
{
resetFrequency = new ResetFrequency(item);
}
}
}
XmlNodeList resetDatesAdjustmentsNodeList = xmlNode.SelectNodes("resetDatesAdjustments");
if (resetDatesAdjustmentsNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in resetDatesAdjustmentsNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
resetDatesAdjustmentsIDRef = item.Attributes["id"].Name;
BusinessDayAdjustments ob = BusinessDayAdjustments();
IDManager.SetID(resetDatesAdjustmentsIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
resetDatesAdjustmentsIDRef = item.Attributes["href"].Name;
}
else
{
resetDatesAdjustments = new BusinessDayAdjustments(item);
}
}
}
}
public InterestLegResetDates(XmlNode xmlNode)
{
XmlNodeList calculationPeriodDatesReferenceNodeList = xmlNode.SelectNodes("calculationPeriodDatesReference");
if (calculationPeriodDatesReferenceNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in calculationPeriodDatesReferenceNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
calculationPeriodDatesReferenceIDRef = item.Attributes["id"].Name;
InterestLegCalculationPeriodDatesReference ob = InterestLegCalculationPeriodDatesReference();
IDManager.SetID(calculationPeriodDatesReferenceIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
calculationPeriodDatesReferenceIDRef = item.Attributes["href"].Name;
}
else
{
calculationPeriodDatesReference = new InterestLegCalculationPeriodDatesReference(item);
}
}
}
XmlNodeList resetRelativeToNodeList = xmlNode.SelectNodes("resetRelativeTo");
if (resetRelativeToNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in resetRelativeToNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
resetRelativeToIDRef = item.Attributes["id"].Name;
ResetRelativeToEnum ob = ResetRelativeToEnum();
IDManager.SetID(resetRelativeToIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
resetRelativeToIDRef = item.Attributes["href"].Name;
}
else
{
resetRelativeTo = new ResetRelativeToEnum(item);
}
}
}
XmlNodeList resetFrequencyNodeList = xmlNode.SelectNodes("resetFrequency");
if (resetFrequencyNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in resetFrequencyNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
resetFrequencyIDRef = item.Attributes["id"].Name;
ResetFrequency ob = ResetFrequency();
IDManager.SetID(resetFrequencyIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
resetFrequencyIDRef = item.Attributes["href"].Name;
}
else
{
resetFrequency = new ResetFrequency(item);
}
}
}
XmlNodeList initialFixingDateNodeList = xmlNode.SelectNodes("initialFixingDate");
if (initialFixingDateNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in initialFixingDateNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
initialFixingDateIDRef = item.Attributes["id"].Name;
RelativeDateOffset ob = RelativeDateOffset();
IDManager.SetID(initialFixingDateIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
initialFixingDateIDRef = item.Attributes["href"].Name;
}
else
{
initialFixingDate = new RelativeDateOffset(item);
}
}
}
XmlNodeList fixingDatesNodeList = xmlNode.SelectNodes("fixingDates");
if (fixingDatesNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in fixingDatesNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
fixingDatesIDRef = item.Attributes["id"].Name;
AdjustableDatesOrRelativeDateOffset ob = AdjustableDatesOrRelativeDateOffset();
IDManager.SetID(fixingDatesIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
fixingDatesIDRef = item.Attributes["href"].Name;
}
else
{
fixingDates = new AdjustableDatesOrRelativeDateOffset(item);
}
}
}
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableCapFloorCoupon"/> class.
/// </summary>
/// <param name="cashFlowId">The stream id.</param>
/// <param name="buyerIsBase">The buyer is base flag.</param>
/// <param name="capStrike">The Cap strike.</param>
/// <param name="floorStrike">The floor strike.</param>
/// <param name="accrualStartDate">The accrual start date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="accrualEndDate">The accrual end date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="adjustAccrualDatesIndicator">if set to <c>true</c> [adjust calculation dates indicator].</param>
/// <param name="accrualBusinessCenters">The accrual business centers.</param>
/// <param name="margin">The margin.</param>
/// <param name="observedRate">The observed Rate.</param>
/// <param name="notionalAmount">The notional amount.</param>
/// <param name="dayCountFraction">Type of day Count fraction.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="accrualRollConvention">The accrual roll convention.</param>
/// <param name="resetRelativeTo">reset relative to?</param>
/// <param name="fixingDateRelativeOffset">The fixing date offset.</param>
/// <param name="forecastRateIndex">The forecast rate index.</param>
/// <param name="discountingType">The swap discounting type.</param>
/// <param name="discountRate">The discount rate.</param>
/// <param name="fraDiscounting">Determines whether the coupon is discounted or not. If this parameter is null,
/// then it is assumed that there is no fra discounting</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
public PriceableCapFloorCoupon
(
string cashFlowId
, bool buyerIsBase
, decimal?capStrike
, decimal?floorStrike
, DateTime accrualStartDate
, DateTime accrualEndDate
, Boolean adjustAccrualDatesIndicator
, BusinessCenters accrualBusinessCenters
, BusinessDayConventionEnum accrualRollConvention
, DayCountFraction dayCountFraction
, ResetRelativeToEnum resetRelativeTo
, RelativeDateOffset fixingDateRelativeOffset
, Decimal margin
, Decimal?observedRate
, Money notionalAmount
, AdjustableOrAdjustedDate paymentDate
, ForecastRateIndex forecastRateIndex
, DiscountingTypeEnum?discountingType
, Decimal?discountRate
, FraDiscountingEnum?fraDiscounting
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: base(
cashFlowId
, buyerIsBase
, accrualStartDate
, accrualEndDate
, adjustAccrualDatesIndicator
, accrualBusinessCenters
, accrualRollConvention
, dayCountFraction
, resetRelativeTo
, fixingDateRelativeOffset
, margin
, observedRate
, notionalAmount
, paymentDate
, forecastRateIndex
, discountingType
, discountRate
, fraDiscounting
, fixingCalendar
, paymentCalendar)
{
CapStrike = capStrike;
FloorStrike = floorStrike;
VolatilitySurfaceName = CurveNameHelpers.GetRateVolatilityMatrixName(forecastRateIndex);
if (capStrike != null && floorStrike == null)
{
PriceableCouponType = CouponType.Cap;
ModelIdentifier = "DualCurveCapModel";
IsCall = true;
}
if (floorStrike != null && capStrike == null)
{
PriceableCouponType = CouponType.Floor;
ModelIdentifier = "DualCurveFloorModel";
}
if (floorStrike != null && capStrike != null)
{
PriceableCouponType = CouponType.Collar;
ModelIdentifier = "DualCurveCollarModel";
}
}