/// <summary>
/// Initializes a new instance of the <see cref="PriceableLeaseAsset"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="paymentCalendar">The payment Calendar.</param>
/// <param name="marketQuote">The market quote.</param>
/// <param name="lease">The lease.</param>
public PriceableLeaseAsset(DateTime baseDate, FpML.V5r3.Reporting.Lease lease, IBusinessCalendar paymentCalendar,
BasicQuotation marketQuote)
{
PaymentCalendar = paymentCalendar;
Multiplier = 1.0m;
YearFractions = new[] { 0.25m };
ModelIdentifier = "LeaseAsset";
StartAmount = lease.startGrossPrice.amount;
MaturityDate = lease.leaseExpiryDate.Value;
Frequency = lease.paymentFrequency;
LeaseRate = lease.reviewChange;
Currency = lease.currency;
BaseDate = baseDate;
SettlementDate = baseDate;
PaymentBusinessDayAdjustments = lease.businessDayAdjustments;
FirstPaymentDate = lease.startDate.Value;
ReviewFrequency = lease.reviewFrequency;
NextReviewDate = lease.nextReviewDate.Value;
if (MaturityDate > BaseDate)
{
var rollConvention =
RollConventionEnumHelper.Parse(MaturityDate.Day.ToString(CultureInfo.InvariantCulture));
UnAdjustedPeriodDates = DateScheduler.GetUnadjustedCouponDatesFromMaturityDate(SettlementDate,
MaturityDate,
Frequency,
rollConvention,
out _,
out var nextCouponDate);
LastPaymentDate = UnAdjustedPeriodDates[0];
AdjustedPeriodDates =
AdjustedDateScheduler.GetAdjustedDateSchedule(UnAdjustedPeriodDates,
PaymentBusinessDayAdjustments.businessDayConvention,
paymentCalendar).ToArray();
AdjustedPeriodDates[0] = SettlementDate;
NextPaymentDate = nextCouponDate;
}
RiskMaturityDate = AdjustedPeriodDates[AdjustedPeriodDates.Length - 1];
Weightings =
CreateWeightings(CDefaultWeightingValue, AdjustedPeriodDates.Length - 1);//, LeaseRate,
//TODO Need to add a credit spread to this.
LeaseDiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Currency.Value, true);
}
///<summary>
///</summary>
public override FpML.V5r3.Reporting.Lease GetLease()
{
var lease = new FpML.V5r3.Reporting.Lease
{
currency = new IdentifiedCurrency {
Value = Currency.Value, id = "Currency"
},
definition = null,
description = Description,
id = Id,
leaseTenor = LeaseTenor,
leaseExpiryDate = IdentifiedDateHelper.Create("MaturityDate", MaturityDate),
paymentFrequency = Frequency,
};
if (InstrumentIds != null)
{
lease.instrumentId = InstrumentIds.ToArray();
}
return(lease);
}