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 Swaption GenerateSwaptionParametricWithCashflows()
{
var payLeg = new SwapLegParametersRange_Old
{
AdjustedType = AdjustedType.Unadjusted,
EffectiveDate = new DateTime(1994, 12, 14),
MaturityDate = new DateTime(1999, 12, 14),
FirstRegularPeriodStartDate = new DateTime(1995, 6, 14),
RollConvention = "14",
InitialStubType = StubPeriodTypeEnum.ShortInitial.ToString(),
FinalStubType = StubPeriodTypeEnum.ShortFinal.ToString(),
NotionalAmount = 1000000,
LegType = LegType.Fixed,
Currency = "AUD",
CouponOrLastResetRate = 0.08m,
PaymentFrequency = "6M",
DayCount = "Actual360",
PaymentCalendar = "AUSY",
PaymentBusinessDayAdjustments = "FOLLOWING",
FixingCalendar = "AUSY-GBLO",
FixingBusinessDayAdjustments = "MODFOLLOWING",
DiscountCurve = "AUD-LIBOR",
DiscountingType = "Standard"
};
var receiveLeg = new SwapLegParametersRange_Old
{
AdjustedType = AdjustedType.Unadjusted,
EffectiveDate = new DateTime(1994, 12, 14),
MaturityDate = new DateTime(1999, 12, 14),
FirstRegularPeriodStartDate = new DateTime(1995, 6, 14),
RollConvention = "14",
InitialStubType = StubPeriodTypeEnum.ShortInitial.ToString(),
FinalStubType = StubPeriodTypeEnum.ShortFinal.ToString(),
NotionalAmount = 1000000,
LegType = LegType.Floating,
Currency = "AUD",
FloatingRateSpread = 0,
PaymentFrequency = "6M",
DayCount = "Actual360",
PaymentCalendar = "AUSY",
PaymentBusinessDayAdjustments = "FOLLOWING",
FixingCalendar = "AUSY-GBLO",
FixingBusinessDayAdjustments = "MODFOLLOWING",
DiscountCurve = "AUD-LIBOR",
ForecastCurve = "AUD-LIBOR",
DiscountingType = "Standard"
};
var marketEnvironment = CreateInterestRateStreamTestEnvironment(new DateTime(1994, 12, 14));
var valuationDT = new DateTime(1994, 12, 20);
Swap swap = SwapGenerator.GenerateDefinitionCashflowsAmounts(Engine.Logger, Engine.Cache, Engine.NameSpace, payLeg, null, receiveLeg, null, null, null, null, marketEnvironment, valuationDT);
Assert.AreEqual(swap.swapStream.Length, 2);
Assert.IsNotNull(swap.swapStream[0].cashflows);
Assert.IsNotNull(swap.swapStream[1].cashflows);
var swaption = new Swaption {
swap = swap
};
return(swaption);
}