/// <summary>
/// Return a Cashflows object containing array of the payment calculation periods and array of principal exchanges.
/// </summary>
/// <param name="paymentCalendar"> </param>
/// <param name="interestRateStream">The interest rate stream.</param>
/// <param name="rollDates">The list of roll dates.</param>
/// <returns></returns>
public static Cashflows GetCashflows(List <DateTime> rollDates, IBusinessCalendar paymentCalendar, InterestRateStream interestRateStream)
{
CalculationPeriodsPrincipalExchangesAndStubs calculationPeriodsPrincipalExchangesAndStubs =
StreamCashflowsGenerator.GenerateCalculationPeriodsPrincipalExchangesAndStubsFromRollDates(interestRateStream, rollDates, paymentCalendar);
return(GetCashfows(interestRateStream, calculationPeriodsPrincipalExchangesAndStubs, paymentCalendar));
}
/// <summary>
/// Return a Cashflows object containing array of the payment calculation periods and array of principal exchanges.
/// </summary>
/// <param name="interestRateStream">The interest rate stream.</param>
/// <param name="fixingCalendar"> </param>
/// <param name="paymentCalendar"> </param>
/// <returns></returns>
public static Cashflows GetCashflows(InterestRateStream interestRateStream, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar)
{
CalculationPeriodsPrincipalExchangesAndStubs calculationPeriodsPrincipalExchangesAndStubs =
StreamCashflowsGenerator.GenerateCalculationPeriodsPrincipalExchangesAndStubs(interestRateStream, fixingCalendar, paymentCalendar);
return(GetCashfows(interestRateStream, calculationPeriodsPrincipalExchangesAndStubs, paymentCalendar));
}
private static Cashflows GetCashfows(
InterestRateStream interestRateStream, CalculationPeriodsPrincipalExchangesAndStubs calculationPeriodsPrincipalExchangesAndStubs,
IBusinessCalendar paymentCalendar)
{
// Assign notionals, rates, cap/floor rate, etc
//
StreamCashflowsGenerator.UpdateCalculationPeriodsData(interestRateStream, calculationPeriodsPrincipalExchangesAndStubs);
List <PaymentCalculationPeriod> paymentCalculationPeriods = StreamCashflowsGenerator.GetPaymentCalculationPeriods(interestRateStream, calculationPeriodsPrincipalExchangesAndStubs, paymentCalendar);
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(interestRateStream.calculationPeriodAmount);
UpdateNumberOfDaysAndYearFraction(paymentCalculationPeriods, calculation);
return(CashflowsFactory.Create(paymentCalculationPeriods, calculationPeriodsPrincipalExchangesAndStubs.GetAllPrincipalExchanges(), true));//TODO THe cashflowsmatch paraqmeter at the end could be a problem!
}