/// <summary>
/// Initializes a new instance of the <see cref="PriceableIRSwap"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">The nodeStruct;</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
/// <param name="fixedRate">The fixed rate.</param>
public PriceableIRSwap(DateTime baseDate, SimpleIRSwapNodeStruct nodeStruct,
IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar, BasicQuotation fixedRate)
: base(baseDate, nodeStruct, fixingCalendar, paymentCalendar, fixedRate)
{
ModelIdentifier = DiscountingType == null ? "SwapAsset" : "DiscountSwapAsset";
//The floating leg which is now non-zero.
var unadjustedDateSchedule = DateScheduler.GetUnadjustedDateSchedule(AdjustedStartDate, SimpleIRSwap.term, UnderlyingRateIndex.term);
FloatingLegAdjustedPeriodDates = AdjustedDateScheduler.GetAdjustedDateSchedule(unadjustedDateSchedule, BusinessDayAdjustments.businessDayConvention, fixingCalendar);
FloatingLegWeightings = CreateWeightings(CDefaultWeightingValue, FloatingLegAdjustedPeriodDates.Count - 1);
FloatingLegYearFractions = GetFloatingLegYearFractions();
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableSimpleInflationAsset"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <param name="fixedRate">The fixed rate.</param>
public PriceableSimpleZeroCouponInflationSwap(DateTime baseDate, SimpleIRSwapNodeStruct nodeStruct,
IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar, BasicQuotation fixedRate)
: base(baseDate,
XsdClassesFieldResolver.CalculationGetNotionalSchedule(nodeStruct.Calculation).notionalStepSchedule.initialValue, nodeStruct.DateAdjustments, fixedRate)
{
Id = nodeStruct.SimpleIRSwap.id;
SimpleInflationSwap = nodeStruct.SimpleIRSwap;
SpotDateOffset = nodeStruct.SpotDate;
Calculation = nodeStruct.Calculation;
UnderlyingRateIndex = nodeStruct.UnderlyingRateIndex;
DayCounter = DayCounterHelper.Parse(Calculation.dayCountFraction.Value);
AdjustedStartDate = GetSpotDate(baseDate, fixingCalendar, SpotDateOffset);
RiskMaturityDate = GetEffectiveDate(AdjustedStartDate, paymentCalendar, SimpleInflationSwap.term, nodeStruct.DateAdjustments.businessDayConvention);
YearFraction = GetYearFractions()[0];
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableSimpleFra"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <param name="fixedRate">The fixed rate.</param>
public PriceableSimpleRevenueInflationSwap(DateTime baseDate, SimpleIRSwapNodeStruct nodeStruct,
IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar, BasicQuotation fixedRate)
: base(baseDate, nodeStruct.DateAdjustments, fixedRate)
{
Id = nodeStruct.SimpleIRSwap.id;
SimpleInflationSwap = nodeStruct.SimpleIRSwap;
SpotDateOffset = nodeStruct.SpotDate;
Calculation = nodeStruct.Calculation;
UnderlyingRateIndex = nodeStruct.UnderlyingRateIndex;
AdjustedStartDate = GetSpotDate(baseDate, fixingCalendar, SpotDateOffset);
DayCounter = DayCounterHelper.Parse(Calculation.dayCountFraction.Value);
List <DateTime> unadjustedDateSchedule = DateScheduler.GetUnadjustedDateSchedule(AdjustedStartDate, SimpleInflationSwap.term, SimpleInflationSwap.paymentFrequency);
AdjustedPeriodDates = AdjustedDateScheduler.GetAdjustedDateSchedule(unadjustedDateSchedule, nodeStruct.DateAdjustments.businessDayConvention, paymentCalendar);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableSimpleIRSwap"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">The nodeStruct;</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
/// <param name="fixedRate">The fixed rate.</param>
public PriceableSimpleIRSwap(DateTime baseDate, SimpleIRSwapNodeStruct nodeStruct,
IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar, BasicQuotation fixedRate)
: base(baseDate, nodeStruct.DateAdjustments, nodeStruct.Calculation, fixedRate)
{
Id = nodeStruct.SimpleIRSwap.id;
FixingDateOffset = nodeStruct.SpotDate;
SimpleIRSwap = nodeStruct.SimpleIRSwap;
UnderlyingRateIndex = nodeStruct.UnderlyingRateIndex;
//TODO: This needs to be modified to use backwards roll.
AdjustedStartDate = GetSpotDate(baseDate, fixingCalendar, FixingDateOffset);
List <DateTime> unadjustedDateSchedule = DateScheduler.GetUnadjustedDateSchedule(AdjustedStartDate, SimpleIRSwap.term, SimpleIRSwap.paymentFrequency);
AdjustedPeriodDates =
AdjustedDateScheduler.GetAdjustedDateSchedule(unadjustedDateSchedule, BusinessDayAdjustments.businessDayConvention, paymentCalendar);
RiskMaturityDate = AdjustedPeriodDates[AdjustedPeriodDates.Count - 1];
Weightings = CreateWeightings(CDefaultWeightingValue, AdjustedPeriodDates.Count - 1);
YearFractions = GetYearFractions();
ModelIdentifier = DiscountingType == null ? "SimpleSwapAsset" : "SimpleDiscountSwapAsset";
var timeToMaturity = Actual365.Instance.YearFraction(baseDate, RiskMaturityDate);
EndDiscountFactor = (decimal)System.Math.Exp(-(double)fixedRate.value * timeToMaturity);
}
