public static Money GetForecastValue(Cashflows cashflows)
{
List <Money> forecastValueList = new List <Money>();
foreach (PaymentCalculationPeriod period in cashflows.paymentCalculationPeriod)
{
forecastValueList.Add(period.forecastPaymentAmount);
}
return(MoneyHelper.Sum(forecastValueList));
}
public static Money GetPresentValue(Cashflows cashflows)
{
List <Money> presentValueList = new List <Money>();
foreach (PaymentCalculationPeriod period in cashflows.paymentCalculationPeriod)
{
presentValueList.Add(period.presentValueAmount);
}
return(MoneyHelper.Sum(presentValueList));
}
public static Money GetPresentValueOfAdditionalPayments(CapFloor capFloor, string baseParty)
{
List <Money> list = new List <Money>();
if (null != capFloor.additionalPayment)
{
foreach (Payment payment in capFloor.additionalPayment)
{
list.AddRange(GetValue(payment.payerPartyReference.href, payment.receiverPartyReference.href, baseParty, payment.presentValueAmount));
}
}
return(MoneyHelper.Sum(list));
}
public static Money GetPresentValueOfAdditionalPayments(Swap swap, string baseParty, Currency currencyToAdd)
{
List <Money> list = new List <Money>();
if (null != swap.additionalPayment)
{
foreach (Payment payment in swap.additionalPayment)
{
list.AddRange(GetValue(payment.payerPartyReference.href, payment.receiverPartyReference.href, baseParty, payment.presentValueAmount));
}
}
return(MoneyHelper.Sum(list, currencyToAdd));
}
public static Money GetFutureValue(CapFloor capFloor, string baseParty)
{
List <Money> list = new List <Money>();
InterestRateStream stream = capFloor.capFloorStream;
Money futureValueOfStream = CashflowsHelper.GetForecastValue(stream.cashflows);
list.AddRange(GetValue(stream.payerPartyReference.href, stream.receiverPartyReference.href, baseParty, futureValueOfStream));
Money futureValueOfAdditionalPayments = GetValueOfAdditionalPayments(capFloor, baseParty);
list.Add(futureValueOfAdditionalPayments);
return(MoneyHelper.Sum(list));
}
public static Money GetPayPresentValueOfAdditionalPayments(CapFloor capFloor, string baseParty)
{
List <Money> valueList = new List <Money>();
if (null != capFloor.additionalPayment)
{
foreach (Payment payment in capFloor.additionalPayment)
{
if (baseParty == payment.payerPartyReference.href)
{
valueList.Add(payment.presentValueAmount);
}
}
}
return(MoneyHelper.Sum(valueList));
}
public static Money GetReceivePresentValueOfAdditionalPayments(Swap swap, string baseParty)
{
List <Money> valueList = new List <Money>();
if (null != swap.additionalPayment)
{
foreach (Payment payment in swap.additionalPayment)
{
if (baseParty == payment.receiverPartyReference.href)
{
valueList.Add(payment.presentValueAmount);
}
}
}
return(MoneyHelper.Sum(valueList));
}
public static Money GetFutureValue(Swap swap, string baseParty)
{
List <Money> list = new List <Money>();
foreach (InterestRateStream stream in swap.swapStream)
{
Money futureValueOfStream = CashflowsHelper.GetForecastValue(stream.cashflows);
list.AddRange(GetValue(stream.payerPartyReference.href, stream.receiverPartyReference.href, baseParty, futureValueOfStream));
}
Money futureValueOfAdditionalPayments = GetValueOfAdditionalPayments(swap, baseParty);
list.Add(futureValueOfAdditionalPayments);
return(MoneyHelper.Sum(list));
}
public static Money GetPayFutureValue(CapFloor capFloor, string baseParty)
{
List <Money> list = new List <Money>();
InterestRateStream stream = capFloor.capFloorStream;
{
Money presentValueOfStream = CashflowsHelper.GetForecastValue(stream.cashflows);
if (baseParty == stream.payerPartyReference.href)
{
list.Add(presentValueOfStream);
}
}
Money payFutureValueOfAdditionalPayments = GetPayFutureValueOfAdditionalPayments(capFloor, baseParty);
list.Add(payFutureValueOfAdditionalPayments);
return(MoneyHelper.Sum(list));
}
public static Money GetPayFutureValue(Swap swap, string baseParty)
{
List <Money> list = new List <Money>();
foreach (InterestRateStream stream in swap.swapStream)
{
Money presentValueOfStream = CashflowsHelper.GetForecastValue(stream.cashflows);
if (baseParty == stream.payerPartyReference.href)
{
list.Add(presentValueOfStream);
}
}
Money payFutureValueOfAdditionalPayments = GetPayFutureValueOfAdditionalPayments(swap, baseParty);
list.Add(payFutureValueOfAdditionalPayments);
return(MoneyHelper.Sum(list));
}
/// <summary>
/// Returns present value of the swap for a specified baseParty.
/// </summary>
/// <param name="swap"></param>
/// <param name="baseParty">The party, from which point of view the valuations are computed.</param>
/// <returns></returns>
public static Money GetPresentValue(Swap swap, string baseParty)
{
var list = new List <Money>();
foreach (InterestRateStream stream in swap.swapStream)
{
Money presentValueOfStream = CashflowsHelper.GetPresentValue(stream.cashflows);
list.AddRange(GetValue(stream.payerPartyReference.href, stream.receiverPartyReference.href, baseParty, presentValueOfStream));
}
Money sumPVs = MoneyHelper.Sum(list);
//only add a pv in the same currency.
Money presentValueOfAdditionalPayments = GetPresentValueOfAdditionalPayments(swap, baseParty, sumPVs.currency);
sumPVs = MoneyHelper.Add(sumPVs, presentValueOfAdditionalPayments);
return(sumPVs);
}