/// <summary>
/// Builds an fx trade from the current vanillar fx option class.
/// </summary>
/// <param name="hasExpired"></param>
/// <returns></returns>
public FxSingleLeg CreateFxSingleLeg(bool hasExpired)//TODO This is not correct and will need to be fixed
{
QuoteBasisEnum quoteBasis = strike.strikeQuoteBasis == StrikeQuoteBasisEnum.CallCurrencyPerPutCurrency ? QuoteBasisEnum.Currency2PerCurrency1 : QuoteBasisEnum.Currency1PerCurrency2;
ExchangeRate exchangeRate = hasExpired ? ExchangeRate.Create(putCurrencyAmount.currency.Value, putCurrencyAmount.currency.Value, quoteBasis, strike.rate)
: ExchangeRate.Create(putCurrencyAmount.currency.Value, putCurrencyAmount.currency.Value, quoteBasis, strike.rate, strike.rate, null);
var fxforward = new FxSingleLeg
{
exchangedCurrency1 =
PaymentHelper.Create(sellerAccountReference.href, buyerAccountReference.href,
putCurrencyAmount.currency.Value, putCurrencyAmount.amount),
exchangedCurrency2 =
PaymentHelper.Create(buyerAccountReference.href, sellerAccountReference.href,
callCurrencyAmount.currency.Value, callCurrencyAmount.amount),
exchangeRate = exchangeRate,
Items1ElementName = new[] { Items1ChoiceType.valueDate }
};
var exercise = Item as FxEuropeanExercise;
if (exercise != null)
{
fxforward.Items1 = new[] { exercise.expiryDate };
}
return(fxforward);
}
private void SetProperties(QuoteBasisEnum quoteBasis)
{
QuotedCurrencyPair = PropertyHelper.ExtractQuotedCurrencyPair(Properties);
QuotedCurrencyPair.quoteBasis = quoteBasis;
CurveName = $"{Currency.Value}-{QuoteCurrency.Value}";
UniqueIdentifier = BuildUniqueId();
Id = BuildId();
}
public static ExchangeRate Create(string currency1, string currency2, QuoteBasisEnum quoteBasis,
Decimal spotRate)
{
var exchangeRate = new ExchangeRate
{
quotedCurrencyPair = QuotedCurrencyPair.Create(currency1, currency2, quoteBasis),
rate = spotRate
};
return(exchangeRate);
}
/// <summary>
///
/// </summary>
/// <param name="currency1"></param>
/// <param name="currency2"></param>
/// <param name="quoteBasis"></param>
/// <returns></returns>
public static QuotedCurrencyPair Create(string currency1, string currency2, QuoteBasisEnum quoteBasis)
{
var quotedCurrencyPair = new QuotedCurrencyPair
{
currency1 = Parse(currency1),
currency2 = Parse(currency2),
quoteBasis = quoteBasis
};
return(quotedCurrencyPair);
}
public static ExchangeRate Create(string currency1, string currency2, QuoteBasisEnum quoteBasis,
Decimal spotRate, Decimal forwardRate, Decimal?forwardPoints)
{
var exchangeRate = new ExchangeRate
{
quotedCurrencyPair = QuotedCurrencyPair.Create(currency1, currency2, quoteBasis),
rate = forwardRate,
spotRate = spotRate
};
if (forwardPoints != null)
{
exchangeRate.forwardPointsField = (decimal)forwardPoints;
}
return(exchangeRate);
}
/// <summary>
/// A helper to extract properties from a named value set.
/// </summary>
/// <param name="properties">The collection of properties.</param>
public static QuotedCurrencyPair ExtractQuotedCurrencyPair(NamedValueSet properties)
{
string currency = ExtractCurrency(properties);
string quoteCurrency = ExtractCurrency2(properties);
if (string.IsNullOrEmpty(currency) || string.IsNullOrEmpty(quoteCurrency))
{
string currencyPair = properties.GetString(CurveProp.CurrencyPair, false);
if (!string.IsNullOrEmpty(currencyPair))
{
if (!GetCurrencyPair(currencyPair, out currency, out quoteCurrency))
{
throw new ArgumentException("Currency pair is invalid, it should be of the type XXX-YYY");
}
}
else
{
currencyPair = properties.GetString("CurveName", false);
if (!string.IsNullOrEmpty(currencyPair))
{
if (!GetCurrencyPair(currencyPair, out currency, out quoteCurrency))
{
throw new ArgumentException("CurveName is invalid, it should be of the type XXX-YYY");
}
}
else
{
string id = properties.GetString("Identifier", false);
if (!string.IsNullOrEmpty(currencyPair) && id.Split('.').Length < 2)
{
currencyPair = id.Split('.').Last();
if (!GetCurrencyPair(currencyPair, out currency, out quoteCurrency))
{
throw new ArgumentException("Identifier is invalid, it should be of the type XXX-YYY");
}
}
else
{
throw new ArgumentException("Mandatory field CurrencyPair or QuoteCurrency, not set.");
}
}
}
}
QuoteBasisEnum quoteBasis = ExtractQuoteBasis(properties);
return(QuotedCurrencyPair.Create(currency, quoteCurrency, quoteBasis));
}
/// <summary>
/// Builds and fx trade from the current class.
/// </summary>
/// <param name="hasExpired"></param>
/// <returns></returns>
public FxLeg CreateFxLeg(bool hasExpired)
{
QuoteBasisEnum quoteBasis = fxStrikePrice.strikeQuoteBasis == StrikeQuoteBasisEnum.CallCurrencyPerPutCurrency ? QuoteBasisEnum.Currency2PerCurrency1 : QuoteBasisEnum.Currency1PerCurrency2;
ExchangeRate exchangeRate = hasExpired ? ExchangeRate.Create(putCurrencyAmount.currency.Value, putCurrencyAmount.currency.Value, quoteBasis, fxStrikePrice.rate)
: ExchangeRate.Create(putCurrencyAmount.currency.Value, putCurrencyAmount.currency.Value, quoteBasis, fxStrikePrice.rate, fxStrikePrice.rate, null);
var fxforward = new FxLeg
{
//exchangedCurrency1 =
// PaymentHelper.Create(this.putCurrencyPayPartyReference, callCurrencyPayPartyReference,
// putCurrency, putCurrencyAmount),
//exchangedCurrency2 =
// PaymentHelper.Create(callCurrencyPayPartyReference, putCurrencyPayPartyReference,
// callCurrency, callCurrencyAmount),
Items = new[] { valueDate },
exchangeRate = exchangeRate,
ItemsElementName = new[] { ItemsChoiceType15.valueDate }
};
return(fxforward);
}
/// <summary>
///
/// </summary>
/// <param name="hasExpired"></param>
/// <param name="putCurrencyPayPartyReference"></param>
/// <param name="callCurrencyPayPartyReference"></param>
/// <param name="putCurrencyAmount"></param>
/// <param name="putCurrency"></param>
/// <param name="callCurrencyAmount"></param>
/// <param name="callCurrency"></param>
/// <param name="strikeQuoteBasis"></param>
/// <param name="valueDate"></param>
/// <param name="fxRate"></param>
/// <returns></returns>
public static FxLeg CreateFxLeg(bool hasExpired, string putCurrencyPayPartyReference, string callCurrencyPayPartyReference, decimal putCurrencyAmount,
string putCurrency, decimal callCurrencyAmount, string callCurrency, StrikeQuoteBasisEnum strikeQuoteBasis, DateTime valueDate, Decimal fxRate)
{
QuoteBasisEnum quoteBasis = strikeQuoteBasis == StrikeQuoteBasisEnum.CallCurrencyPerPutCurrency ? QuoteBasisEnum.Currency2PerCurrency1 : QuoteBasisEnum.Currency1PerCurrency2;
ExchangeRate exchangeRate = hasExpired ? ExchangeRate.Create(putCurrency, callCurrency, quoteBasis, fxRate)
: ExchangeRate.Create(putCurrency, callCurrency, quoteBasis, fxRate, fxRate, null);
var fxforward = new FxLeg
{
exchangedCurrency1 =
PaymentHelper.Create(putCurrencyPayPartyReference, callCurrencyPayPartyReference,
putCurrency, putCurrencyAmount),
exchangedCurrency2 =
PaymentHelper.Create(callCurrencyPayPartyReference, putCurrencyPayPartyReference,
callCurrency, callCurrencyAmount),
Items = new[] { valueDate },
exchangeRate = exchangeRate,
ItemsElementName = new[] { ItemsChoiceType15.valueDate }
};
return(fxforward);
}
/// <summary>
/// Builds an fx trade from the current vanilla fx option class.
/// </summary>
/// <param name="hasExpired"></param>
/// <returns></returns>
public FxSingleLeg CreateFxSingleLeg(bool hasExpired)
{
QuoteBasisEnum quoteBasis = strike.strikeQuoteBasis == StrikeQuoteBasisEnum.CallCurrencyPerPutCurrency ? QuoteBasisEnum.Currency2PerCurrency1 : QuoteBasisEnum.Currency1PerCurrency2;
ExchangeRate exchangeRate = hasExpired ? ExchangeRate.Create(putCurrencyAmount.currency.Value, putCurrencyAmount.currency.Value, quoteBasis, strike.rate)
: ExchangeRate.Create(putCurrencyAmount.currency.Value, putCurrencyAmount.currency.Value, quoteBasis, strike.rate, strike.rate, null);
var fxForward = new FxSingleLeg
{
//exchangedCurrency1 =
// PaymentHelper.Create(this.putCurrencyPayPartyReference, callCurrencyPayPartyReference,
// putCurrency, putCurrencyAmount),
//exchangedCurrency2 =
// PaymentHelper.Create(callCurrencyPayPartyReference, putCurrencyPayPartyReference,
// callCurrency, callCurrencyAmount),
exchangeRate = exchangeRate,
ItemsElementName = new[] { ItemsChoiceType31.valueDate }
};
if (Item is FxEuropeanExercise exercise && exercise.expiryDateSpecified)
{
fxForward.Items = new[] { exercise.expiryDate };
}
return(fxForward);
}
public static Trade CreateFxLeg(string tradeId, DateTime tradeDate, string exchangeCurrency1PayPartyReference, string exchangeCurrency2PayPartyReference,
decimal exchangeCurrency1Amount, string exchangeCurrency1, string exchangeCurrency2, QuoteBasisEnum quoteBasis,
DateTime valueDate, Decimal spotRate, Decimal?forwardRate, Decimal?forwardPoints)
{
var trade = new Trade {
id = tradeId, tradeHeader = new TradeHeader()
};
var party1 = PartyTradeIdentifierHelper.Parse(tradeId, "party1");
var party2 = PartyTradeIdentifierHelper.Parse(tradeId, "party2");
trade.tradeHeader.partyTradeIdentifier = new[] { party1, party2 };
trade.tradeHeader.tradeDate = new IdentifiedDate {
Value = tradeDate
};
FxSingleLeg fxLeg;
if (forwardRate == null)
{
fxLeg = ParseSpot(exchangeCurrency1PayPartyReference, exchangeCurrency2PayPartyReference, exchangeCurrency1Amount,
exchangeCurrency1, exchangeCurrency2, quoteBasis, valueDate, spotRate);
}
else
{
fxLeg = ParseForward(exchangeCurrency1PayPartyReference, exchangeCurrency2PayPartyReference, exchangeCurrency1Amount,
exchangeCurrency1, exchangeCurrency2, quoteBasis, valueDate, spotRate, (decimal)forwardRate, forwardPoints);
}
FpMLFieldResolver.TradeSetFxLeg(trade, fxLeg);
return(trade);
}
/// <summary>
/// Build the fx leg
/// </summary>
/// <param name="exchangeCurrency1PayPartyReference"></param>
/// <param name="exchangeCurrency2PayPartyReference"></param>
/// <param name="exchangeCurrency1Amount"></param>
/// <param name="exchangeCurrency1"></param>
/// <param name="exchangeCurrency2"></param>
/// <param name="quoteBasis"></param>
/// <param name="valueDate"></param>
/// <param name="spotRate"></param>
/// <returns></returns>
public static FxSingleLeg ParseSpot(string exchangeCurrency1PayPartyReference, string exchangeCurrency2PayPartyReference, decimal exchangeCurrency1Amount,
string exchangeCurrency1, string exchangeCurrency2, QuoteBasisEnum quoteBasis, DateTime valueDate, Decimal spotRate)
{
var fxLeg = FxSingleLeg.CreateSpot(exchangeCurrency1PayPartyReference, exchangeCurrency2PayPartyReference, exchangeCurrency1Amount,
exchangeCurrency1, exchangeCurrency2, quoteBasis, valueDate, spotRate);
return(fxLeg);
}
public static Trade CreateFxSwap(string tradeId, DateTime tradeDate, string exchangeCurrency1PayPartyReference, string exchangeCurrency2PayPartyReference,
decimal exchangeCurrency1Amount, string exchangeCurrency1, string exchangeCurrency2, QuoteBasisEnum quoteBasis,
DateTime valueDate, Decimal spotRate, Decimal?forwardRate, Decimal?forwardPoints)
{
var trade = new Trade {
id = tradeId, tradeHeader = new TradeHeader()
};
var party1 = PartyTradeIdentifierHelper.Parse(tradeId, "party1");
var party2 = PartyTradeIdentifierHelper.Parse(tradeId, "party2");
trade.tradeHeader.partyTradeIdentifier = new[] { party1, party2 };
trade.tradeHeader.tradeDate = new IdentifiedDate {
Value = tradeDate
};
var nearLeg = new FxSwapLeg();
var farLeg = new FxSwapLeg();
if (forwardRate == null)
{
nearLeg = ParseSpot(exchangeCurrency1PayPartyReference, exchangeCurrency2PayPartyReference, exchangeCurrency1Amount,
exchangeCurrency1, exchangeCurrency2, quoteBasis, valueDate, spotRate);
}
else
{
farLeg = PriceableFxSwapLeg.ParseForward(exchangeCurrency1PayPartyReference, exchangeCurrency2PayPartyReference, exchangeCurrency1Amount,
exchangeCurrency1, exchangeCurrency2, quoteBasis, valueDate, spotRate, (decimal)forwardRate, forwardPoints);
}
var fxSwap = new FxSwap
{
nearLeg = nearLeg,
farLeg = farLeg,
Items = new object[] { ProductTypeHelper.Create(ProductTypeSimpleEnum.FxSwap.ToString()) },
ItemsElementName = new[] { ItemsChoiceType2.productType }
};
FpMLFieldResolver.TradeSetFxSwap(trade, fxSwap);
return(trade);
}
public static Trade CreateFxSwap(string tradeId, DateTime tradeDate, string exchangeCurrency1PayPartyReference, string exchangeCurrency2PayPartyReference,
decimal exchangeCurrency1Amount, string exchangeCurrency1, string exchangeCurrency2, QuoteBasisEnum quoteBasis,
DateTime startValueDate, DateTime forwardValueDate, Decimal startRate, Decimal forwardRate, Decimal?forwardPoints)
{
var trade = new Trade {
id = tradeId, tradeHeader = new TradeHeader()
};
var party1 = PartyTradeIdentifierHelper.Parse(tradeId, "party1");
var party2 = PartyTradeIdentifierHelper.Parse(tradeId, "party2");
trade.tradeHeader.partyTradeIdentifier = new[] { party1, party2 };
trade.tradeHeader.tradeDate = new IdentifiedDate {
Value = tradeDate
};
var fxSwap = Parse(exchangeCurrency1PayPartyReference, exchangeCurrency2PayPartyReference, exchangeCurrency1Amount,
exchangeCurrency1, exchangeCurrency2, quoteBasis, startValueDate, forwardValueDate, startRate, forwardRate, forwardPoints);
FpMLFieldResolver.TradeSetFxSwap(trade, fxSwap);
return(trade);
}
/// <summary>
/// Builds a fx swap.
/// </summary>
/// <returns></returns>
public static FxSwap Parse(string exchangeCurrency1PayPartyReference, string exchangeCurrency2PayPartyReference,
decimal exchangeCurrency1Amount, string exchangeCurrency1, string exchangeCurrency2, QuoteBasisEnum quoteBasis,
DateTime startValueDate, DateTime forwardValueDate, Decimal startRate, Decimal forwardRate, Decimal?forwardPoints)
{
var fxSwap = new FxSwap
{
Items = new object[] { ProductTypeHelper.Create(ProductTypeSimpleEnum.FxSwap.ToString()) },
ItemsElementName = new[] { ItemsChoiceType2.productType }
};
var leg1 = ParseSpot(exchangeCurrency1PayPartyReference, exchangeCurrency2PayPartyReference, exchangeCurrency1Amount,
exchangeCurrency1, exchangeCurrency2, quoteBasis, startValueDate, startRate);
var leg2 = PriceableFxSwapLeg.ParseForward(exchangeCurrency2PayPartyReference, exchangeCurrency1PayPartyReference, exchangeCurrency1Amount,
exchangeCurrency1, exchangeCurrency2, quoteBasis, forwardValueDate, forwardRate, forwardRate, forwardPoints);
fxSwap.nearLeg = leg1;
fxSwap.farLeg = leg2;
return(fxSwap);
}
/// <summary>
/// Build the fx leg.
/// </summary>
/// <param name="exchangeCurrency1PayPartyReference"></param>
/// <param name="exchangeCurrency2PayPartyReference"></param>
/// <param name="exchangeCurrency1Amount"></param>
/// <param name="exchangeCurrency1"></param>
/// <param name="exchangeCurrency2"></param>
/// <param name="quoteBasis"></param>
/// <param name="valueDate"></param>
/// <param name="spotRate"></param>
/// <param name="forwardRate"></param>
/// <param name="forwardPoints"></param>
/// <returns></returns>
public static FxSwapLeg ParseForward(string exchangeCurrency1PayPartyReference, string exchangeCurrency2PayPartyReference,
decimal exchangeCurrency1Amount, string exchangeCurrency1, string exchangeCurrency2, QuoteBasisEnum quoteBasis,
DateTime valueDate, Decimal spotRate, Decimal forwardRate, Decimal?forwardPoints)
{
var fxLeg = FxSwapLeg.CreateForward(exchangeCurrency1PayPartyReference, exchangeCurrency2PayPartyReference, exchangeCurrency1Amount,
exchangeCurrency1, exchangeCurrency2, quoteBasis, valueDate, spotRate, forwardRate, forwardPoints);
return(fxLeg);
}
/// <summary>
/// The FxCurveIdentifier.
/// </summary>
/// <param name="pricingStructureType"></param>
/// <param name="curveName"></param>
/// <param name="quoteBasis"></param>
/// <param name="buildDateTime"></param>
public FxCurveIdentifier(PricingStructureTypeEnum pricingStructureType, string curveName, QuoteBasisEnum quoteBasis, DateTime buildDateTime)
: base(pricingStructureType, curveName, buildDateTime)
{
SetProperties(quoteBasis);
}
/// <summary>
///
/// </summary>
/// <param name="exchangeCurrency1PayPartyReference"></param>
/// <param name="exchangeCurrency2PayPartyReference"></param>
/// <param name="exchangeCurrency1Amount"></param>
/// <param name="exchangeCurrency1"></param>
/// <param name="exchangeCurrency2"></param>
/// <param name="quoteBasis"></param>
/// <param name="valueDate"></param>
/// <param name="spotRate"></param>
/// <param name="forwardRate"></param>
/// <param name="forwardPoints"></param>
/// <returns></returns>
public static FxSwapLeg CreateForward(string exchangeCurrency1PayPartyReference, string exchangeCurrency2PayPartyReference,
decimal exchangeCurrency1Amount, string exchangeCurrency1, string exchangeCurrency2, QuoteBasisEnum quoteBasis,
DateTime valueDate, Decimal spotRate, Decimal forwardRate, Decimal?forwardPoints)
{
decimal exchange2Amount;
if (quoteBasis == QuoteBasisEnum.Currency2PerCurrency1)
{
exchange2Amount = exchangeCurrency1Amount * forwardRate;
}
else
{
exchange2Amount = exchangeCurrency1Amount / forwardRate;
}
var fxForward = new FxSwapLeg
{
exchangedCurrency1 =
PaymentHelper.Create(exchangeCurrency1PayPartyReference,
exchangeCurrency2PayPartyReference, exchangeCurrency1,
exchangeCurrency1Amount),
exchangedCurrency2 =
PaymentHelper.Create(exchangeCurrency2PayPartyReference,
exchangeCurrency1PayPartyReference, exchangeCurrency2,
exchange2Amount),
Items = new[] { valueDate },
exchangeRate =
ExchangeRate.Create(exchangeCurrency1, exchangeCurrency2, quoteBasis, spotRate,
forwardRate, forwardPoints),
ItemsElementName = new[] { ItemsChoiceType9.valueDate }
};
return(fxForward);
}
public static FxSingleLeg CreateSpot(string exchangeCurrency1PayPartyReference, string exchangeCurrency2PayPartyReference, decimal exchangeCurrency1Amount,
string exchangeCurrency1, string exchangeCurrency2, QuoteBasisEnum quoteBasis, DateTime valueDate, Decimal spotRate)
{
decimal exchange2Amount;
if (quoteBasis == QuoteBasisEnum.Currency2PerCurrency1)
{
exchange2Amount = exchangeCurrency1Amount * spotRate;
}
else
{
exchange2Amount = exchangeCurrency1Amount / spotRate;
}
var fxforward = new FxSingleLeg
{
exchangedCurrency1 =
PaymentHelper.Create(exchangeCurrency1PayPartyReference,
exchangeCurrency2PayPartyReference, exchangeCurrency1,
exchangeCurrency1Amount),
exchangedCurrency2 =
PaymentHelper.Create(exchangeCurrency2PayPartyReference,
exchangeCurrency1PayPartyReference, exchangeCurrency2,
exchange2Amount),
Items1 = new[] { valueDate },
exchangeRate =
ExchangeRate.Create(exchangeCurrency1, exchangeCurrency2, quoteBasis, spotRate),
Items1ElementName = new[] { Items1ChoiceType.valueDate }
};
return(fxforward);
}
public QuotedCurrencyPair(XmlNode xmlNode)
{
XmlNodeList currency1NodeList = xmlNode.SelectNodes("currency1");
if (currency1NodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in currency1NodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
currency1IDRef = item.Attributes["id"].Name;
Currency ob = Currency();
IDManager.SetID(currency1IDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
currency1IDRef = item.Attributes["href"].Name;
}
else
{
currency1 = new Currency(item);
}
}
}
XmlNodeList currency2NodeList = xmlNode.SelectNodes("currency2");
if (currency2NodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in currency2NodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
currency2IDRef = item.Attributes["id"].Name;
Currency ob = Currency();
IDManager.SetID(currency2IDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
currency2IDRef = item.Attributes["href"].Name;
}
else
{
currency2 = new Currency(item);
}
}
}
XmlNodeList quoteBasisNodeList = xmlNode.SelectNodes("quoteBasis");
if (quoteBasisNodeList.Count > 1 )
{
throw new Exception();
}
foreach (XmlNode item in quoteBasisNodeList)
{
if (item.Attributes["href"] != null || item.Attributes["id"] == null)
{
if (item.Attributes["id"] != null)
{
quoteBasisIDRef = item.Attributes["id"].Name;
QuoteBasisEnum ob = QuoteBasisEnum();
IDManager.SetID(quoteBasisIDRef, ob);
}
else if (item.Attributes.ToString() == "href")
{
quoteBasisIDRef = item.Attributes["href"].Name;
}
else
{
quoteBasis = new QuoteBasisEnum(item);
}
}
}
}
