public void CreateValuationFixedStream()
{
DateTime valuationDate = DateTime.Today;
var irFloaterPricer = new FloaterPricer();
string discountCurveID = BuildAndCacheRateCurve(valuationDate);
//string projectionCurveID = discountCurveID;
SwapLegParametersRange_Old receiveFixedLegParameters = CreateFixedAUD_6MSwapLegParametersRange(CounterParty, _NAB, valuationDate, 0.08m, "ACT/365.FIXED", "AUSY", "FOLLOWING", "AUSY", "NONE", discountCurveID);
ValuationRange valuationRange = CreateValuationRangeForNAB(valuationDate);
List <DetailedCashflowRangeItem> receiveCFRangeItemList = FloaterPricer.GetDetailedCashflowsTestOnly(Engine.Logger, Engine.Cache, Engine.NameSpace, null, null, receiveFixedLegParameters, valuationRange);
var tradeRange = new TradeRange {
Id = "TradeId_12345", TradeDate = valuationDate
};
var leg2PrincipleExchangeCashflowList = new List <PrincipalExchangeCashflowRangeItem>();
var leg2BulletPaymentList = new List <AdditionalPaymentRangeItem>();
List <PartyIdRangeItem> partyList = GetPartyList("NAB", "book", "MCHammer", "counterparty");
List <OtherPartyPaymentRangeItem> otherPartyPaymentRangeItems = GetOtherPartyPaymentList("counterparty", "cost center");
// Get price and swap representation using non-vanilla PRICE function.
//
string valuatonId = irFloaterPricer.CreateValuation(Engine.Logger, Engine.Cache, Engine.NameSpace, null, null,
CreateValuationSetList2(12345.67, -0.321), valuationRange, tradeRange,
receiveFixedLegParameters,
receiveCFRangeItemList,
leg2PrincipleExchangeCashflowList,
leg2BulletPaymentList,
partyList, otherPartyPaymentRangeItems);
var valuationReport = Engine.Cache.LoadObject <ValuationReport>(Engine.NameSpace + "." + valuatonId);
Debug.Print(XmlSerializerHelper.SerializeToString(valuationReport));
}
public static double GetPremiumImpl(
ILogger logger,
ICoreCache cache,
String nameSpace,
SwapLegParametersRange payLegParametersRange,
SwapLegParametersRange receiveLegParametersRange,
SwaptionParametersRange swaptionTermsRange,
ValuationRange valuationRange)
{
InterestRateStream payStream = null;
InterestRateStream receiveStream = null;
UpdateCashflowsWithAmounts(logger, cache, nameSpace, payStream, payLegParametersRange, valuationRange);
UpdateCashflowsWithAmounts(logger, cache, nameSpace, receiveStream, receiveLegParametersRange, valuationRange);
Money fv = CashflowsHelper.GetForecastValue(payStream.cashflows);
Money pv = CashflowsHelper.GetPresentValue(payStream.cashflows);
double tillExpiry = (swaptionTermsRange.ExpirationDate - valuationRange.ValuationDate).TotalDays / 365.0;
//Debug.Print("Future value :{0}", fv.amount);
//Debug.Print("Present value :{0}", pv.amount);
// get swaption price
//
double pricePerDollar = BlackModel.GetSwaptionValue((double)payLegParametersRange.CouponOrLastResetRate, (double)swaptionTermsRange.StrikeRate, (double)swaptionTermsRange.Volatility, tillExpiry);
double premium = System.Math.Abs((double)payLegParametersRange.NotionalAmount * pricePerDollar);
return(premium);
}
public void GetPrice2Vanilla()
{
DateTime valuationDate = DateTime.Today;
var irCapFloorPricer = new CapFloorPricer();
var curveId = BuildAndCacheRateCurve(valuationDate);
foreach (CapFloorType capFloorType in new[] { CapFloorType.Cap, CapFloorType.Floor })
{
Debug.Print("Type: {0}", capFloorType);
CapFloorLegParametersRange_Old capLeg = GetCapFloorInputParameters(valuationDate, valuationDate.AddMonths(6), valuationDate.AddYears(5),
capFloorType, "Standard", curveId, curveId);
ValuationRange valuationRange = CreateValuationRangeForNAB(valuationDate);
List <DateTimeDoubleRangeItem> notional = GetAmortNotional(capLeg, 3);
List <DetailedCashflowRangeItem> cashflowList =
irCapFloorPricer.GetDetailedCashflowsWithNotionalSchedule(Engine.Logger, Engine.Cache, Engine.NameSpace, null, null, capLeg, notional, valuationRange);
TradeRange tradeRange = null;
var leg1BulletPaymentList = new List <AdditionalPaymentRangeItem>();
List <FeePaymentRangeItem> feePaymentRangeItems = GetFeeList("counterparty", "book");
// Get price and swap representation using non-vanilla PRICE function.
//
var newCashflowList = cashflowList.Cast <InputCashflowRangeItem>().ToList();
Pair <ValuationResultRange, CapFloor> nonVanillaPriceImpl = CapFloorPricer.GetPriceAndGeneratedFpML(Engine.Logger, Engine.Cache, Engine.NameSpace, null, null,
valuationRange, tradeRange, capLeg,
newCashflowList, null, leg1BulletPaymentList, feePaymentRangeItems);
// NO PExs
//
CollectionAssertExtension.IsEmpty(nonVanillaPriceImpl.Second.capFloorStream.cashflows.principalExchange);
// No payments
//
CollectionAssertExtension.IsEmpty(nonVanillaPriceImpl.Second.additionalPayment);
Debug.Print(ValuationResultRangeToString(nonVanillaPriceImpl.First));
}
}
public void CreateValuationVanilla()
{
DateTime valuationDate = DateTime.Today;
var irCapFloorPricer = new CapFloorPricer();
var curveId = BuildAndCacheRateCurve(valuationDate);
foreach (CapFloorType capFloorType in new[] { CapFloorType.Cap, CapFloorType.Floor })
{
Debug.Print("Type: {0}", capFloorType);
CapFloorLegParametersRange_Old capLeg = GetCapFloorInputParameters(valuationDate, valuationDate.AddMonths(6), valuationDate.AddYears(5),
capFloorType, "Standard", curveId, curveId);
ValuationRange valuationRange = CreateValuationRangeForNAB(valuationDate);
List <DateTimeDoubleRangeItem> notional = GetAmortNotional(capLeg, 3);
List <DetailedCashflowRangeItem> cashflowList =
irCapFloorPricer.GetDetailedCashflowsWithNotionalSchedule(Engine.Logger, Engine.Cache, Engine.NameSpace, null, null, capLeg, notional, valuationRange);
switch (capFloorType)
{
case CapFloorType.Cap:
cashflowList[0].CouponType = "cap"; // that should test case insensitive nature of the coupons
cashflowList[1].CouponType = "Cap"; //
break;
case CapFloorType.Floor:
cashflowList[0].CouponType = "floor"; // that should test case insensitive nature of the coupons
cashflowList[1].CouponType = "Floor"; //
break;
default:
throw new ArgumentOutOfRangeException();
}
var tradeRange = new TradeRange {
TradeDate = DateTime.Now
};
var leg1BulletPaymentList = new List <AdditionalPaymentRangeItem>();
var newCashflowList = cashflowList.Cast <InputCashflowRangeItem>().ToList();
// Get price and swap representation using non-vanilla PRICE function.
//
List <StringObjectRangeItem> valuationSetList = CreateValuationSetList2(1111, 12);
List <PartyIdRangeItem> partyList = GetPartyList("NAB", "book", "MCHammer", "counterparty");
List <OtherPartyPaymentRangeItem> otherPartyPaymentRangeItems = GetOtherPartyPaymentList("counterparty", "cost center");
List <FeePaymentRangeItem> feePaymentRangeItems = GetFeeList("counterparty", "book");
string id = irCapFloorPricer.CreateValuation(Engine.Logger, Engine.Cache, Engine.NameSpace, null, null,
valuationSetList, valuationRange, tradeRange,
capLeg, newCashflowList, null, leg1BulletPaymentList,
partyList, otherPartyPaymentRangeItems, feePaymentRangeItems);
var valuationReport = Engine.Cache.LoadObject <ValuationReport>(Engine.NameSpace + "." + id);
Debug.Print(XmlSerializerHelper.SerializeToString(valuationReport));
}
}
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 string CreateValuation(
ILogger logger, ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
List <StringObjectRangeItem> valuationSet,
ValuationRange valuationRange,
TradeRange tradeRange,
CapFloorLegParametersRange_Old legParametersRange,
List <InputCashflowRangeItem> legDetailedCashflowsListArray,
List <InputPrincipalExchangeCashflowRangeItem> legPrincipleExchangeCashflowListArray,
List <AdditionalPaymentRangeItem> legAdditionalPaymentListArray,
List <PartyIdRangeItem> partyIdList, //optional
List <OtherPartyPaymentRangeItem> otherPartyPaymentList, //optional
List <FeePaymentRangeItem> feePaymentList //optional
)
{
Pair <ValuationResultRange, CapFloor> fpML = GetPriceAndGeneratedFpML(logger, cache, nameSpace, fixingCalendar, paymentCalendar, valuationRange, tradeRange,
legParametersRange, legDetailedCashflowsListArray, legPrincipleExchangeCashflowListArray,
legAdditionalPaymentListArray, feePaymentList);
CapFloor capFloor = fpML.Second;
string valuationReportAndProductId = tradeRange.Id ?? Guid.NewGuid().ToString();
capFloor.id = valuationReportAndProductId;
AssetValuation assetValuation = InterestRateProduct.CreateAssetValuationFromValuationSet(valuationSet);
//Valuation valuation = new Valuation();
// TODO: add Trade Id & Trade data into valuation. (Trade.Id & Trade.TradeHeader.TradeDate)
//
string baseParty = valuationRange.BaseParty;
var uniqueCurves = new List <IRateCurve>();
foreach (string curveName in new[] { legParametersRange.ForecastCurve, legParametersRange.DiscountCurve })
{
if (!String.IsNullOrEmpty(curveName))
{
var curve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, curveName);
if (!uniqueCurves.Contains(curve))
{
uniqueCurves.Add(curve);
}
}
}
Market fpMLMarket = InterestRateProduct.CreateFpMLMarketFromCurves(uniqueCurves);
ValuationReport valuationReport = ValuationReportGenerator.Generate(valuationReportAndProductId, baseParty, valuationReportAndProductId, tradeRange.TradeDate, capFloor, fpMLMarket, assetValuation);
cache.SaveObject(valuationReport, valuationReportAndProductId, null);
InterestRateProduct.ReplacePartiesInValuationReport(valuationReport, partyIdList);
InterestRateProduct.AddOtherPartyPayments(valuationReport, otherPartyPaymentList);
return(valuationReportAndProductId);
}
public List <DetailedCashflowRangeItem> GetDetailedCashflowsWithNotionalSchedule(
ILogger logger,
ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
SwapLegParametersRange_Old legParametersRange,
List <DateTimeDoubleRangeItem> notionalValueItems,
ValuationRange valuationRange)
{
var tempList = notionalValueItems.Select(item => new Pair <DateTime, decimal>(item.DateTime, Convert.ToDecimal(item.Value))).ToList();
NonNegativeSchedule notionalScheduleFpML = NonNegativeScheduleHelper.Create(tempList);
Currency currency = CurrencyHelper.Parse(legParametersRange.Currency);
NonNegativeAmountSchedule amountSchedule = NonNegativeAmountScheduleHelper.Create(notionalScheduleFpML, currency);
InterestRateStream interestRateStream = GetCashflowsScheduleWithNotionalSchedule(fixingCalendar, paymentCalendar, legParametersRange, amountSchedule);
UpdateCashflowsWithAmounts(logger, cache, nameSpace, interestRateStream, legParametersRange, valuationRange);
var list = new List <DetailedCashflowRangeItem>();
//int periodNumber = 1;
foreach (PaymentCalculationPeriod paymentCalculationPeriod in interestRateStream.cashflows.paymentCalculationPeriod)
{
var detailedCashflowRangeItem = new DetailedCashflowRangeItem();
list.Add(detailedCashflowRangeItem);
detailedCashflowRangeItem.PaymentDate = paymentCalculationPeriod.adjustedPaymentDate;
detailedCashflowRangeItem.StartDate = PaymentCalculationPeriodHelper.GetCalculationPeriodStartDate(paymentCalculationPeriod);
detailedCashflowRangeItem.EndDate = PaymentCalculationPeriodHelper.GetCalculationPeriodEndDate(paymentCalculationPeriod);
//detailedCashflowRangeItem.NumberOfDays = PaymentCalculationPeriodHelper.GetNumberOfDays(paymentCalculationPeriod);
//detailedCashflowRangeItem.FutureValue = MoneyHelper.ToDouble(paymentCalculationPeriod.forecastPaymentAmount);
//detailedCashflowRangeItem.PresentValue = MoneyHelper.ToDouble(paymentCalculationPeriod.presentValueAmount);
//detailedCashflowRangeItem.DiscountFactor = (double)paymentCalculationPeriod.discountFactor;
detailedCashflowRangeItem.NotionalAmount = (double)PaymentCalculationPeriodHelper.GetNotionalAmount(paymentCalculationPeriod);
detailedCashflowRangeItem.CouponType = GetCouponType(paymentCalculationPeriod);
detailedCashflowRangeItem.Rate = (double)PaymentCalculationPeriodHelper.GetRate(paymentCalculationPeriod);
// If floating rate - retrieve the spread.
//
if (legParametersRange.IsFloatingLegType())
{
detailedCashflowRangeItem.Spread = (double)PaymentCalculationPeriodHelper.GetSpread(paymentCalculationPeriod);
}
}
return(list);
}
public void GetDetailedCapFloorCashflowsVanilla()
{
DateTime valuationDate = DateTime.Today;
var irCapFloorPricer = new CapFloorPricer();
var curveId = BuildAndCacheRateCurve(valuationDate);
foreach (CapFloorType legType in new[] { CapFloorType.Cap, CapFloorType.Floor })
{
Debug.Print("LegType: {0}", legType);
CapFloorLegParametersRange_Old capLeg = GetCapFloorInputParameters(valuationDate, valuationDate.AddMonths(6), valuationDate.AddYears(5),
legType, "Standard", curveId, curveId);
ValuationRange valuationRange = CreateValuationRange(valuationDate);
List <DateTimeDoubleRangeItem> notional = GetAmortNotional(capLeg, 3);
List <DetailedCashflowRangeItem> cashflowList =
irCapFloorPricer.GetDetailedCashflowsWithNotionalSchedule(Engine.Logger, Engine.Cache, Engine.NameSpace, null, null, capLeg, notional, valuationRange);
object[,] arrayOfCashflows = ObjectToArrayOfPropertiesConverter.ConvertListToHorizontalArrayRange(cashflowList);
Debug.WriteLine("Cashflows:");
Debug.WriteLine(ParameterFormatter.FormatObject(arrayOfCashflows));
}
}
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);
}
public List <PrincipalExchangeCashflowRangeItem> GetPrincipalExchanges(
ILogger logger,
ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
SwapLegParametersRange_Old legParametersRange,
List <DateTimeDoubleRangeItem> notionalValueItems,
ValuationRange valuationRange)
{
InterestRateStream interestRateStream;
if (notionalValueItems.Count > 0)
{
var tempList = notionalValueItems.Select(item => new Pair <DateTime, decimal>(item.DateTime, Convert.ToDecimal(item.Value))).ToList();
NonNegativeSchedule notionalScheduleFpML = NonNegativeScheduleHelper.Create(tempList);
Currency currency = CurrencyHelper.Parse(legParametersRange.Currency);
NonNegativeAmountSchedule amountSchedule = NonNegativeAmountScheduleHelper.Create(notionalScheduleFpML, currency);
interestRateStream = GetCashflowsScheduleWithNotionalSchedule(fixingCalendar, paymentCalendar, legParametersRange, amountSchedule);
}
else
{
interestRateStream = GetCashflowsSchedule(fixingCalendar, paymentCalendar, legParametersRange);
}
UpdateCashflowsWithAmounts(logger, cache, nameSpace, interestRateStream, legParametersRange, valuationRange);
var list = new List <PrincipalExchangeCashflowRangeItem>();
//int periodNumber = 0;
foreach (PrincipalExchange principleExchange in interestRateStream.cashflows.principalExchange)
{
var principalExchangeCashflowRangeItem = new PrincipalExchangeCashflowRangeItem();
list.Add(principalExchangeCashflowRangeItem);
principalExchangeCashflowRangeItem.PaymentDate = principleExchange.adjustedPrincipalExchangeDate;
principalExchangeCashflowRangeItem.Amount = (double)principleExchange.principalExchangeAmount;
//principalExchangeCashflowRangeItem.PresentValueAmount = MoneyHelper.ToDouble(principleExchange.presentValuePrincipalExchangeAmount);
//principalExchangeCashflowRangeItem.DiscountFactor = (double)principleExchange.discountFactor;
}
return(list);
}
private static void UpdateCashflowsWithAmounts(
ILogger logger,
ICoreCache cache,
String nameSpace,
InterestRateStream stream,
SwapLegParametersRange legParametersRange,
ValuationRange valuationRange)
{
// Get a forecast curve
//
IRateCurve forecastCurve = null;
if (!String.IsNullOrEmpty(legParametersRange.ForecastCurve))
{
forecastCurve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, legParametersRange.ForecastCurve);
}
// Get a discount curve
//
var discountCurve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, legParametersRange.DiscountCurve);
FixedAndFloatingRateStreamCashflowGenerator.UpdateCashflowsAmounts(stream, forecastCurve, discountCurve, valuationRange.ValuationDate);
}
public static List <DetailedCashflowRangeItem> GetDetailedCashflowsTestOnly(
ILogger logger,
ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
SwapLegParametersRange_Old legParametersRange,
ValuationRange valuationRange)
{
InterestRateStream interestRateStream = GetCashflowsSchedule(fixingCalendar, paymentCalendar, legParametersRange);
UpdateCashflowsWithAmounts(logger, cache, nameSpace, interestRateStream, legParametersRange, valuationRange);
var list = new List <DetailedCashflowRangeItem>();
foreach (PaymentCalculationPeriod paymentCalculationPeriod in interestRateStream.cashflows.paymentCalculationPeriod)
{
var detailedCashflowRangeItem = new DetailedCashflowRangeItem();
list.Add(detailedCashflowRangeItem);
detailedCashflowRangeItem.PaymentDate = paymentCalculationPeriod.adjustedPaymentDate;
detailedCashflowRangeItem.StartDate = PaymentCalculationPeriodHelper.GetCalculationPeriodStartDate(paymentCalculationPeriod);
detailedCashflowRangeItem.EndDate = PaymentCalculationPeriodHelper.GetCalculationPeriodEndDate(paymentCalculationPeriod);
//detailedCashflowRangeItem.NumberOfDays = PaymentCalculationPeriodHelper.GetNumberOfDays(paymentCalculationPeriod);
//detailedCashflowRangeItem.FutureValue = MoneyHelper.ToDouble(paymentCalculationPeriod.forecastPaymentAmount);
//detailedCashflowRangeItem.PresentValue = MoneyHelper.ToDouble(paymentCalculationPeriod.presentValueAmount);
//detailedCashflowRangeItem.DiscountFactor = (double)paymentCalculationPeriod.discountFactor;
detailedCashflowRangeItem.NotionalAmount = (double)PaymentCalculationPeriodHelper.GetNotionalAmount(paymentCalculationPeriod);
detailedCashflowRangeItem.CouponType = GetCouponType(paymentCalculationPeriod);
detailedCashflowRangeItem.Rate = (double)PaymentCalculationPeriodHelper.GetRate(paymentCalculationPeriod);
// If floating rate - retrieve a spread.
//
if (legParametersRange.IsFloatingLegType())
{
detailedCashflowRangeItem.Spread = (double)PaymentCalculationPeriodHelper.GetSpread(paymentCalculationPeriod);
}
}
return(list);
}
public string CreateValuation(
ILogger logger,
ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
List <StringObjectRangeItem> valuationSet,
ValuationRange valuationRange,
TradeRange tradeRange,
SwapLegParametersRange_Old leg1ParametersRange,
List <DetailedCashflowRangeItem> leg1DetailedCashflowsListArray,
List <PrincipalExchangeCashflowRangeItem> leg1PrincipalExchangeCashflowListArray,
List <AdditionalPaymentRangeItem> leg1AdditionalPaymentListArray,
List <PartyIdRangeItem> partyIdList,//optional
List <OtherPartyPaymentRangeItem> otherPartyPaymentList
)
{
Swap floater = GetPriceAndGeneratedFpMLSwap(logger, cache, nameSpace, fixingCalendar, paymentCalendar, valuationRange, tradeRange, leg1ParametersRange, leg1DetailedCashflowsListArray, leg1PrincipalExchangeCashflowListArray, leg1AdditionalPaymentListArray).Second;
string baseParty = valuationRange.BaseParty;
string valuationReportAndProductId = tradeRange.Id ?? Guid.NewGuid().ToString();
floater.id = valuationReportAndProductId;
var uniqueCurves = GetUniqueCurves(logger, cache, nameSpace, leg1ParametersRange);
Market fpMLMarket = InterestRateProduct.CreateFpMLMarketFromCurves(uniqueCurves);
var valuation = new Valuations.Valuation();
// TODO: add Trade Id & Trade data into valuation. (Trade.Id & Trade.TradeHeader.TradeDate)
//
AssetValuation assetValuation = InterestRateProduct.CreateAssetValuationFromValuationSet(valuationSet);
valuation.CreateSwapValuationReport(cache, nameSpace, valuationReportAndProductId, baseParty, tradeRange.Id, tradeRange.TradeDate, floater, fpMLMarket, assetValuation);
ValuationReport valuationReport = valuation.Get(cache, nameSpace, valuationReportAndProductId);
InterestRateProduct.ReplacePartiesInValuationReport(valuationReport, partyIdList);
InterestRateProduct.AddOtherPartyPayments(valuationReport, otherPartyPaymentList);
return(valuationReportAndProductId);
}
public InterestRateSwapParRateObjectiveFunction(SwapLegParametersRange payLegParametersRange, SwapLegParametersRange receiveLegParametersRange, ValuationRange valuationRange)
{
_payLegParametersRange = payLegParametersRange;
_receiveLegParametersRange = receiveLegParametersRange;
_valuationRange = valuationRange;
}
public List <DetailedCashflowRangeItem> GetDetailedCashflowsWithNotionalSchedule(
ILogger logger, ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
CapFloorLegParametersRange_Old legParametersRange,
List <DateTimeDoubleRangeItem> notionalValueItems,
ValuationRange valuationRange)
{
//Check if the calendars are null. If not build them!
var list1 = notionalValueItems.Select(item => new Pair <DateTime, decimal>(item.DateTime, Convert.ToDecimal(item.Value))).ToList();
NonNegativeSchedule notionalScheduleFpML = NonNegativeScheduleHelper.Create(list1);
Currency currency = CurrencyHelper.Parse(legParametersRange.Currency);
NonNegativeAmountSchedule amountSchedule = NonNegativeAmountScheduleHelper.Create(notionalScheduleFpML, currency);
InterestRateStream interestRateStream = GetCashflowsScheduleWithNotionalSchedule(fixingCalendar, paymentCalendar, legParametersRange, amountSchedule);
//Add the principal exchanges to the cashflows.
var principalExchangeList = list1.Select(cashflow => new PrincipalExchange
{
adjustedPrincipalExchangeDate = cashflow.First, adjustedPrincipalExchangeDateSpecified = true, principalExchangeAmount = cashflow.Second, principalExchangeAmountSpecified = true
}).ToArray();
interestRateStream.cashflows.principalExchange = principalExchangeList;
UpdateCashflowsWithAmounts(logger, cache, nameSpace, interestRateStream, legParametersRange, valuationRange);
var list = new List <DetailedCashflowRangeItem>();
foreach (PaymentCalculationPeriod paymentCalculationPeriod in interestRateStream.cashflows.paymentCalculationPeriod)
{
var detailedCashflowRangeItem = new DetailedCashflowRangeItem();
detailedCashflowRangeItem.PaymentDate = paymentCalculationPeriod.adjustedPaymentDate;
detailedCashflowRangeItem.StartDate = PaymentCalculationPeriodHelper.GetCalculationPeriodStartDate(paymentCalculationPeriod);
detailedCashflowRangeItem.EndDate = PaymentCalculationPeriodHelper.GetCalculationPeriodEndDate(paymentCalculationPeriod);
detailedCashflowRangeItem.NumberOfDays = PaymentCalculationPeriodHelper.GetNumberOfDays(paymentCalculationPeriod);
detailedCashflowRangeItem.FutureValue = MoneyHelper.ToDouble(paymentCalculationPeriod.forecastPaymentAmount);
detailedCashflowRangeItem.PresentValue = MoneyHelper.ToDouble(paymentCalculationPeriod.presentValueAmount);
detailedCashflowRangeItem.DiscountFactor = (double)paymentCalculationPeriod.discountFactor;
detailedCashflowRangeItem.NotionalAmount = (double)PaymentCalculationPeriodHelper.GetNotionalAmount(paymentCalculationPeriod);
detailedCashflowRangeItem.CouponType = GetCouponType(paymentCalculationPeriod);
detailedCashflowRangeItem.Rate = (double)PaymentCalculationPeriodHelper.GetRate(paymentCalculationPeriod);
CalculationPeriod calculationPeriod = PaymentCalculationPeriodHelper.GetCalculationPeriods(paymentCalculationPeriod)[0];
FloatingRateDefinition floatingRateDefinition = XsdClassesFieldResolver.CalculationPeriodGetFloatingRateDefinition(calculationPeriod);
switch (detailedCashflowRangeItem.CouponType.ToLower())
{
case "cap":
{
Strike strike = floatingRateDefinition.capRate[0];
detailedCashflowRangeItem.StrikeRate = (double)strike.strikeRate;
break;
}
case "floor":
{
Strike strike = floatingRateDefinition.floorRate[0];
detailedCashflowRangeItem.StrikeRate = (double)strike.strikeRate;
break;
}
default:
{
string message =
String.Format("Specified coupon type : '{0}' is not supported. Please use one of these: 'cap, floor'", detailedCashflowRangeItem.CouponType.ToLower());
throw new NotSupportedException(message);
}
}
// If floating rate - retrieve the spread.
//
detailedCashflowRangeItem.Spread = (double)PaymentCalculationPeriodHelper.GetSpread(paymentCalculationPeriod);
var fixingDate = new DateTime();
var tempDate = PaymentCalculationPeriodHelper.GetFirstFloatingFixingDate(paymentCalculationPeriod);
if (tempDate != null)
{
fixingDate = (DateTime)tempDate;
}
detailedCashflowRangeItem.FixingDate = fixingDate;
detailedCashflowRangeItem.Currency = "Not Specified";
if (currency != null)
{
detailedCashflowRangeItem.Currency = currency.Value;
}
list.Add(detailedCashflowRangeItem);
}
return(list);
}
public static Pair <ValuationResultRange, CapFloor> GetPriceAndGeneratedFpML(
ILogger logger, ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
ValuationRange valuationRange, TradeRange tradeRange,
CapFloorLegParametersRange_Old leg1ParametersRange,
List <InputCashflowRangeItem> leg1DetailedCashflowsList,
List <InputPrincipalExchangeCashflowRangeItem> legPrincipalExchangeCashflowListArray,
List <AdditionalPaymentRangeItem> leg1AdditionalPaymentList,
List <FeePaymentRangeItem> feePaymentList
)
{
//Check if the calendars are null. If not build them!
InterestRateStream stream1 = GetCashflowsSchedule(fixingCalendar, paymentCalendar, leg1ParametersRange);//parametric definiton + cashflows schedule
// Update FpML cashflows
//
stream1.cashflows = UpdateCashflowsWithDetailedCashflows(leg1DetailedCashflowsList);
if (null != legPrincipalExchangeCashflowListArray)
{
// create principal exchanges
//
InterestRateSwapPricer.CreatePrincipalExchangesFromListOfRanges(stream1.cashflows, legPrincipalExchangeCashflowListArray);
}
// Add bullet payments...
//
var bulletPaymentList = new List <Payment>();
if (null != leg1AdditionalPaymentList)
{
bulletPaymentList.AddRange(leg1AdditionalPaymentList.Select(bulletPaymentRangeItem => new Payment
{
payerPartyReference = PartyReferenceFactory.Create(leg1ParametersRange.Payer),
receiverPartyReference = PartyReferenceFactory.Create(leg1ParametersRange.Receiver),
paymentAmount = MoneyHelper.GetNonNegativeAmount(bulletPaymentRangeItem.Amount, bulletPaymentRangeItem.Currency),
paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(bulletPaymentRangeItem.PaymentDate)
}));
}
CapFloor capFloor = CapFloorFactory.Create(stream1);
capFloor.additionalPayment = bulletPaymentList.ToArray();
var feeList = new List <Payment>();
if (null != feePaymentList)
{
feeList.AddRange(feePaymentList.Select(feePaymentRangeItem => new Payment
{
paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(feePaymentRangeItem.PaymentDate),
paymentAmount = MoneyHelper.GetNonNegativeAmount(feePaymentRangeItem.Amount, feePaymentRangeItem.Currency),
payerPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Payer),
receiverPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Receiver)
}));
}
capFloor.premium = feeList.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);
CapFloorGenerator.UpdatePaymentsAmounts(paymentCalendar, capFloor, leg1ParametersRange, leg1DiscountCurve, valuationRange.ValuationDate);
//~ Update additional payments
string baseParty = valuationRange.BaseParty;
return(new Pair <ValuationResultRange, CapFloor>(CreateValuationRange(capFloor, baseParty), capFloor));
}
public void CreateSwaptionValuation()
{
DateTime valuationDate = DateTime.Today;
SwaptionPricer irSwaptionPricer = new InterestRateSwaptionPricer();
string discountCurveID = BuildAndCacheRateCurve(valuationDate); //RateCurveExcelInterfaceTests.ExcelInterface_CreateAUDCurveFromDepostSwapsFuturesFras_WithDates(valuationDate, valuationDate);
string projectionCurveID = discountCurveID;
SwapLegParametersRange_Old payFixed = CreateFixedAUD_6MSwapLegParametersRange(_NAB, CounterParty, valuationDate, 0.065m, "ACT/365.FIXED", "AUSY", "FOLLOWING", "AUSY", "NONE", discountCurveID);
SwapLegParametersRange_Old receiveFloat = CreateFloatingAUD_6MSwapLegParametersRange(CounterParty, _NAB, valuationDate, 0, "ACT/365.FIXED", "AUSY", "FOLLOWING", "AUSY", "NONE", discountCurveID, projectionCurveID);
ValuationRange valuationRange = CreateValuationRangeForNAB(valuationDate);
var payCFRangeItemList = InterestRateSwapPricer.GetDetailedCashflowsTestOnly(Engine.Logger, Engine.Cache, Engine.NameSpace, payFixed, valuationRange);
payCFRangeItemList[0].CouponType = "fixed"; // that should test case insensitive nature of coupons
payCFRangeItemList[1].CouponType = "Fixed"; //
var receiveCFRangeItemList = InterestRateSwapPricer.GetDetailedCashflowsTestOnly(Engine.Logger, Engine.Cache, Engine.NameSpace, receiveFloat, valuationRange);
receiveCFRangeItemList[0].CouponType = "float"; // that should test case insensitive nature of coupons
receiveCFRangeItemList[1].CouponType = "Float"; //
var tradeRange = new TradeRange {
Id = "TradeId_12345", TradeDate = valuationDate
};
var leg1PrincipalExchangeCashflowList = new List <InputPrincipalExchangeCashflowRangeItem>();
var leg2PrincipalExchangeCashflowList = new List <InputPrincipalExchangeCashflowRangeItem>();
var leg1BulletPaymentList = new List <AdditionalPaymentRangeItem>();
var leg2BulletPaymentList = new List <AdditionalPaymentRangeItem>();
var swaptionParametersRange = new SwaptionParametersRange
{
Premium = 456789.12m,
PremiumCurrency = "AUD",
PremiumPayer = CounterParty,
PremiumReceiver = _NAB,
ExpirationDate = valuationDate.AddDays(10),
ExpirationDateCalendar = "AUSY-GBLO",
ExpirationDateBusinessDayAdjustments = "FOLLOWING",
PaymentDate = valuationDate.AddDays(20),
PaymentDateCalendar = "USNY-GBLO",
PaymentDateBusinessDayAdjustments = "MODFOLLOWING",
EarliestExerciseTime = new TimeSpan(10, 0, 0).TotalDays,
ExpirationTime = new TimeSpan(11, 0, 0).TotalDays,
AutomaticExcercise = false
};
List <PartyIdRangeItem> partyList = GetPartyList("NAB", "book", "MCHammer", "counterparty");
List <OtherPartyPaymentRangeItem> otherPartyPaymentRangeItems = GetOtherPartyPaymentList("counterparty", "cost center");
List <FeePaymentRangeItem> feePaymentRangeItems = GetFeeList("counterparty", "book");
// Get price and swap representation using non-vanilla PRICE function.
//
string valuatonId = irSwaptionPricer.CreateValuation(Engine.Logger, Engine.Cache, Engine.NameSpace, null, null,
swaptionParametersRange,
CreateValuationSetList2(12345.67, -0.321), valuationRange, tradeRange,
payFixed, receiveFloat,
payCFRangeItemList, receiveCFRangeItemList,
leg1PrincipalExchangeCashflowList, leg2PrincipalExchangeCashflowList,
leg1BulletPaymentList, leg2BulletPaymentList,
partyList, otherPartyPaymentRangeItems,
feePaymentRangeItems);
var valuationReport = Engine.Cache.LoadObject <ValuationReport>(Engine.NameSpace + "." + valuatonId);
Debug.Print(XmlSerializerHelper.SerializeToString(valuationReport));
}
public string CreateValuation(
ILogger logger,
ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
SwaptionParametersRange swaptionParametersRange,
List <StringObjectRangeItem> valuationSet,
ValuationRange valuationRange,
TradeRange tradeRange,
SwapLegParametersRange leg1ParametersRange,
SwapLegParametersRange leg2ParametersRange,
List <InputCashflowRangeItem> leg1DetailedCashflowsListArray,
List <InputCashflowRangeItem> leg2DetailedCashflowsListArray,
List <InputPrincipalExchangeCashflowRangeItem> leg1PrincipalExchangeCashflowListArray,
List <InputPrincipalExchangeCashflowRangeItem> leg2PrincipalExchangeCashflowListArray,
List <AdditionalPaymentRangeItem> leg1AdditionalPaymentListArray,
List <AdditionalPaymentRangeItem> leg2AdditionalPaymentListArray,
List <PartyIdRangeItem> partyIdList, //optional
List <OtherPartyPaymentRangeItem> otherPartyPaymentList, //opt
List <FeePaymentRangeItem> feePaymentList //opt
)
{
var swap = GetPriceAndGeneratedFpMLSwap(logger, cache, nameSpace,
fixingCalendar, paymentCalendar, valuationRange,
tradeRange, leg1ParametersRange, leg2ParametersRange,
leg1DetailedCashflowsListArray, leg2DetailedCashflowsListArray,
leg1PrincipalExchangeCashflowListArray, leg2PrincipalExchangeCashflowListArray,
leg1AdditionalPaymentListArray, leg2AdditionalPaymentListArray).Second;
string baseParty = valuationRange.BaseParty;
List <IRateCurve> uniqueCurves = GetUniqueCurves(logger, cache, nameSpace, leg1ParametersRange, leg2ParametersRange);
Market fpMLMarket = InterestRateProduct.CreateFpMLMarketFromCurves(uniqueCurves);
// TODO: add Trade Id & Trade data into valuation. (Trade.Id & Trade.TradeHeader.TradeDate)
//
// create ValuationReport and add it to in-memory collection.
// Add methods!
AssetValuation assetValuation = InterestRateProduct.CreateAssetValuationFromValuationSet(valuationSet);
NonNegativeMoney premium = MoneyHelper.GetNonNegativeAmount(swaptionParametersRange.Premium, swaptionParametersRange.PremiumCurrency);
AdjustableDate expirationDate = DateTypesHelper.ToAdjustableDate(swaptionParametersRange.ExpirationDate, swaptionParametersRange.ExpirationDateBusinessDayAdjustments, swaptionParametersRange.ExpirationDateCalendar);
AdjustableOrAdjustedDate paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(swaptionParametersRange.PaymentDate, swaptionParametersRange.PaymentDateBusinessDayAdjustments, swaptionParametersRange.PaymentDateCalendar);
TimeSpan earliestExerciseTimeAsTimeSpan = TimeSpan.FromDays(swaptionParametersRange.EarliestExerciseTime);
DateTime earliestExerciseTime = DateTime.MinValue.Add(earliestExerciseTimeAsTimeSpan);
TimeSpan expirationTimeAsTimeSpan = TimeSpan.FromDays(swaptionParametersRange.ExpirationTime);
DateTime expirationTime = DateTime.MinValue.Add(expirationTimeAsTimeSpan);
var swaption = SwaptionFactory.Create(swap, premium, swaptionParametersRange.PremiumPayer, swaptionParametersRange.PremiumReceiver,
paymentDate, expirationDate,
earliestExerciseTime, expirationTime, swaptionParametersRange.AutomaticExcercise);
// overrides the premium created by SwaptionFactort.Create
//
var feeList = new List <Payment>();
if (null != feePaymentList)
{
feeList.AddRange(feePaymentList.Select(feePaymentRangeItem => new Payment
{
paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(feePaymentRangeItem.PaymentDate),
paymentAmount = MoneyHelper.GetNonNegativeAmount(feePaymentRangeItem.Amount),
payerPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Payer),
receiverPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Receiver)
}));
}
swaption.premium = feeList.ToArray();
string valuationReportAndProductId = tradeRange.Id ?? Guid.NewGuid().ToString();
swaption.id = valuationReportAndProductId;
ValuationReport valuationReport = ValuationReportGenerator.Generate(valuationReportAndProductId, baseParty, valuationReportAndProductId, tradeRange.TradeDate, swaption, fpMLMarket, assetValuation);
cache.SaveObject(valuationReport, valuationReportAndProductId, null);
InterestRateProduct.ReplacePartiesInValuationReport(valuationReport, partyIdList);
InterestRateProduct.AddOtherPartyPayments(valuationReport, otherPartyPaymentList);
return(valuationReportAndProductId);
}