///<summary>
///</summary>
///<param name="termsRange"></param>
///<param name="metaScheduleDefinitionRange"></param>
///<param name="paymentCalendar"></param>
///<returns></returns>
public static List <AmortResultItem> GenerateCashflowSchedule(BillsSwapPricer2TermsRange termsRange,
List <MetaScheduleRangeItem> metaScheduleDefinitionRange, IBusinessCalendar paymentCalendar)
{
RollConventionEnum rollConventionEnum = RollConventionEnumHelper.Parse(termsRange.RollDay);
BusinessDayAdjustments businessDayAdjustments = BusinessDayAdjustmentsHelper.Create(termsRange.DateRollConvention, termsRange.Calendar);
bool backwardGeneration = (termsRange.BuildDates.ToLower() == "backward");
List <DateTime> adjustedDatesResult;
List <DateTime> unadjustedDatesResult;
if (termsRange.RollFrequency.ToLower().Contains("custom"))
{
var rollsMetaSchedule = metaScheduleDefinitionRange.Select(item => new MetaScheduleItem
{
RollFrequency = PeriodHelper.Parse(item.RollFrequency), Period = PeriodHelper.Parse(item.Period), RollConvention = RollConventionEnumHelper.Parse(item.RollConvention)
}).ToList();
unadjustedDatesResult = DatesMetaSchedule.GetUnadjustedDates3(termsRange.StartDate, termsRange.EndDate,
rollsMetaSchedule, backwardGeneration);
adjustedDatesResult = AdjustedDatesMetaSchedule.GetAdjustedDates3(termsRange.StartDate, termsRange.EndDate,
rollsMetaSchedule, backwardGeneration, businessDayAdjustments, paymentCalendar);
}
else
{
Period interval = PeriodHelper.Parse(termsRange.RollFrequency);
unadjustedDatesResult = DatesMetaSchedule.GetUnadjustedDates2(termsRange.StartDate, termsRange.EndDate,
interval, rollConventionEnum, backwardGeneration);
adjustedDatesResult = AdjustedDatesMetaSchedule.GetAdjustedDates2(termsRange.StartDate, termsRange.EndDate,
interval, rollConventionEnum, backwardGeneration, businessDayAdjustments, paymentCalendar);
}
var result = new List <AmortResultItem>();
for (int i = 0; i < adjustedDatesResult.Count; i++)
{
DateTime adjustedTime = adjustedDatesResult[i];
DateTime unadjustedTime = unadjustedDatesResult[i];
var amortResultItem = new AmortResultItem
{
WasRolled = (adjustedTime == unadjustedTime) ? "No" : "Yes",
RollDate = adjustedTime,
AmortAmount = 0,
OutstandingValue = termsRange.FaceValue
};
result.Add(amortResultItem);
}
return(result);
}
public static List <AmortResultItem> GetAmortizationSchedule(List <Pair <DateTime, string> > rollDates, double initialNotional, List <AmortScheduleItem> amortSchedule)
{
var result = rollDates.Select(pair => new AmortResultItem
{
RollDate = pair.First, WasRolled = pair.Second, OutstandingValue = initialNotional
}).ToList();
double currentNotional = initialNotional;
foreach (AmortScheduleItem amortScheduleItem in amortSchedule)
{
DateTime startDate = amortScheduleItem.StartDate;
DateTime endDate = amortScheduleItem.EndDate;
IEnumerable <DateTime> rollDatesForItem = GetRollsForSchedule(rollDates, startDate, endDate);
int cashflowNumber = 0;
foreach (DateTime time in rollDatesForItem)
{
if (cashflowNumber % amortScheduleItem.ApplyEveryNthRoll == 0)
{
// implement AS EVERY 1ST ROLL (amortScheduleItem.ApplyEveryNthRoll)
//
AmortResultItem amortResultItem = GetItem(result, time);
amortResultItem.AmortAmount = amortScheduleItem.AmortAmount;
amortResultItem.OutstandingValue = currentNotional + amortResultItem.AmortAmount;
currentNotional = amortResultItem.OutstandingValue;
}
++cashflowNumber;
}
}
// normalize notionals
//
for (int i = 0; i < result.Count; ++i)
{
AmortResultItem currentItem = result[i];
if (currentItem.AmortAmount == 0 && i > 0)
{
AmortResultItem prevItem = result[i - 1];
currentItem.OutstandingValue = prevItem.OutstandingValue;
}
}
return(result);
}