/// <summary>
///
/// </summary>
/// <param name="leg1Parameters"></param>
/// <param name="leg2Parameters"></param>
/// <returns></returns>
public static Swap GenerateDefiniton(
SwapLegParametersRange leg1Parameters,
SwapLegParametersRange leg2Parameters)
{
InterestRateStream stream1 = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(leg1Parameters);
InterestRateStreamHelper.SetPayerAndReceiver(stream1, leg1Parameters.Payer, leg1Parameters.Receiver);
InterestRateStream stream2 = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(leg2Parameters);
InterestRateStreamHelper.SetPayerAndReceiver(stream2, leg2Parameters.Payer, leg2Parameters.Receiver);
return(SwapFactory.Create(stream1, stream2));
}
internal static Pair <ValuationResultRange, Swap> GetPriceAndGeneratedFpMLSwap(
ILogger logger,
ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
ValuationRange valuationRange,
TradeRange tradeRange,
SwapLegParametersRange_Old leg1ParametersRange,
List <DetailedCashflowRangeItem> leg1DetailedCashflowsList,
List <PrincipalExchangeCashflowRangeItem> leg1PrincipalExchangeCashflowList,
List <AdditionalPaymentRangeItem> leg1AdditionalPaymentList)
{
InterestRateStream stream1 = GetCashflowsSchedule(fixingCalendar, paymentCalendar, leg1ParametersRange);//parametric definiton + cashflows schedule
var swap = SwapFactory.Create(stream1);
// Update FpML cashflows
//
UpdateCashflowsWithDetailedCashflows(stream1.cashflows, leg1DetailedCashflowsList);
// Update PE
//
if (null != leg1PrincipalExchangeCashflowList)
{
CreatePrincipalExchangesFromListOfRanges(stream1.cashflows, leg1PrincipalExchangeCashflowList);
}
// Add bullet payments...
//
if (null != leg1AdditionalPaymentList)
{
swap.additionalPayment = leg1AdditionalPaymentList.Select(bulletPaymentRangeItem => new Payment
{
payerPartyReference = PartyReferenceFactory.Create(leg1ParametersRange.Payer),
receiverPartyReference = PartyReferenceFactory.Create(leg1ParametersRange.Receiver),
paymentAmount = MoneyHelper.GetNonNegativeAmount(bulletPaymentRangeItem.Amount),
paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(bulletPaymentRangeItem.PaymentDate)
}).ToArray();
}
// Update FpML cashflows with DF,FV,PV, etc (LegParametersRange needed to access curve functionality)
//
UpdateCashflowsWithAmounts(logger, cache, nameSpace, stream1, leg1ParametersRange, valuationRange);
// Update additional payments
//
var leg1DiscountCurve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, leg1ParametersRange.DiscountCurve);
SwapGenerator.UpdatePaymentsAmounts(logger, cache, nameSpace, swap, leg1ParametersRange, leg1DiscountCurve, valuationRange.ValuationDate, paymentCalendar);
//~ Update additional payments
string baseParty = valuationRange.BaseParty;
return(new Pair <ValuationResultRange, Swap>(CreateValuationRange(swap, baseParty), swap));
}
public void SetCalibrationDate(Date calibrationDate)
{
_floatLeg = SwapFactory.CreateFloatLeg(calibrationDate, _tenor, _index, _spread);
_fixedLeg = SwapFactory.CreateFixedLeg(calibrationDate, _tenor, _index, _fixedRate);
_floatLeg.SetValueDate(calibrationDate);
_fixedLeg.SetValueDate(calibrationDate);
_endDate = _floatLeg.GetCashflowDates(_index.Currency).Max();
var otherEndDate = _fixedLeg.GetCashflowDates(_index.Currency).Max();
if (_endDate < otherEndDate)
{
_endDate = otherEndDate;
}
}
public void SetCalibrationDate(Date calibrationDate)
{
_leg1 = SwapFactory.CreateFloatLeg(calibrationDate, _tenor, _leg1Index, _leg1Spread);
_leg2 = SwapFactory.CreateFloatLeg(calibrationDate, _tenor, _leg2Index, _leg2Spread);
_leg1.SetValueDate(calibrationDate);
_leg2.SetValueDate(calibrationDate);
_endDate = _leg1.GetCashflowDates(_leg1Index.Currency).Max();
var otherEndDate = _leg2.GetCashflowDates(_leg2Index.Currency).Max();
if (_endDate < otherEndDate)
{
_endDate = otherEndDate;
}
}
public static IRSwap CreateZARSwap([ExcelArgument(Description = "First reset date of the swap")]
Date startDate,
[ExcelArgument(Description = "Tenor of swap, must be a whole number of years. Example '5Y'.")]
Tenor tenor,
[ExcelArgument(Description = "The fixed rate paid or received")]
double rate,
[ExcelArgument(Description = "Is the fixed rate paid? Enter 'TRUE' for yes.")]
bool payFixed,
[ExcelArgument(Description = "Flat notional for all dates.")]
double notional,
[QuantSAExcelArgument(Description = "The float rate index of the swap.", Default = "DEFAULT")]
FloatRateIndex jibar)
{
return(SwapFactory.CreateZARSwap(rate, payFixed, notional, startDate, tenor, jibar));
}
public static BermudanSwaption CreateZARBermudanSwaption(
[ExcelArgument(Description =
"The exercise dates. The dates on which the person who is long optionality can exercise.")]
Date[] exerciseDates,
[ExcelArgument(Description = "if set to TRUE then the person valuing this product owns the optionality.")]
bool longOptionality,
[ExcelArgument(Description = "First reset date of the underlying swap.")]
Date startDate,
[ExcelArgument(Description = "Tenor of underlying swap, must be a whole number of years. Example '5Y'.")]
Tenor tenor,
[ExcelArgument(Description = "The fixed rate paid or received on the underlying swap.")]
double rate,
[ExcelArgument(Description = "Is the fixed rate paid? Enter 'TRUE' for yes.")]
bool payFixed,
[ExcelArgument(Description = "Flat notional for all dates.")]
double notional,
[QuantSAExcelArgument(Description = "Flat notional for all dates.", Default = "DEFAULT")]
FloatRateIndex jibar)
{
return(SwapFactory.CreateZARBermudanSwaption(exerciseDates, longOptionality, rate, payFixed, notional,
startDate, tenor, jibar));
}
internal static ValuationResultRange GetPriceOld(
ILogger logger,
ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
SwapLegParametersRange_Old leg1ParametersRange,
SwapLegParametersRange_Old leg2ParametersRange,
ValuationRange valuationRange)
{
string baseParty = valuationRange.BaseParty;
InterestRateStream stream1 = GetCashflowsSchedule(fixingCalendar, paymentCalendar, leg1ParametersRange); //pay leg
InterestRateStream stream2 = GetCashflowsSchedule(fixingCalendar, paymentCalendar, leg2ParametersRange); //receive leg
var swap = SwapFactory.Create(stream1, stream2);
UpdateCashflowsWithAmounts(logger, cache, nameSpace, stream1, leg1ParametersRange, valuationRange);
UpdateCashflowsWithAmounts(logger, cache, nameSpace, stream2, leg2ParametersRange, valuationRange);
ValuationResultRange resultRange = CreateValuationRange(swap, baseParty);
return(resultRange);
}
