public static void UpdatePaymentsAmounts(IBusinessCalendar paymentCalendar,
CapFloor capFloor,
CapFloorLegParametersRange capFloorLeg,
IRateCurve discountCurve,
DateTime valuationDate)
{
foreach (Payment payment in capFloor.additionalPayment)
{
var date = AdjustedDateHelper.GetAdjustedDate(paymentCalendar, payment.paymentDate);
if (date != null)
{
payment.discountFactor = (decimal)discountCurve.GetDiscountFactor(valuationDate, (DateTime)date);
payment.discountFactorSpecified = true;
payment.presentValueAmount = MoneyHelper.Mul(payment.paymentAmount, payment.discountFactor);
}
}
}
public static void UpdatePaymentsAmounts(ILogger logger, ICoreCache cache,
String nameSpace, Swap swap,
SwapLegParametersRange leg1Parameters,
SwapLegParametersRange leg2Parameters,
IRateCurve leg1DiscountCurve,
IRateCurve leg2DiscountCurve,
DateTime valuationDate, IBusinessCalendar paymentCalendar)
{
foreach (Payment payment in swap.additionalPayment)
{
// choose correct discount curve
//
IRateCurve discountCurve;
if (payment.payerPartyReference.href == leg1Parameters.Payer)
{
discountCurve = leg1DiscountCurve;
}
else if (payment.payerPartyReference.href == leg2Parameters.Payer)
{
discountCurve = leg2DiscountCurve;
}
else
{
throw new NotImplementedException();
}
if (paymentCalendar == null)
{
var containsPaymentDateAdjustments = AdjustableOrAdjustedDateHelper.Contains(payment.paymentDate, ItemsChoiceType.dateAdjustments, out var dateAdjustments);
if (containsPaymentDateAdjustments && dateAdjustments != null)
{
paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, ((BusinessDayAdjustments)dateAdjustments).
businessCenters, nameSpace);
}
}
var date = AdjustedDateHelper.GetAdjustedDate(paymentCalendar, payment.paymentDate);
if (date == null)
{
continue;
}
payment.discountFactor = (decimal)discountCurve.GetDiscountFactor(valuationDate, (DateTime)date);
payment.discountFactorSpecified = true;
payment.presentValueAmount = MoneyHelper.Mul(payment.paymentAmount, payment.discountFactor);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableCashflow"/> class.
/// </summary>
/// <param name="cashflowId">The identifier.</param>
/// <param name="payerIsBaseParty">The is base party flag.</param>
/// <param name="modelIdentifier">The _model identifier.</param>
/// <param name="amount">The amount.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="paymentType">Type of the payment.</param>
/// <param name="cashflowType">Type of the cashflow.</param>
/// <param name="includePaymentDate">if set to <c>true</c> [include payment date].</param>
/// <param name="paymentCalendar">Type paymentCalendar.</param>
protected PriceableCashflow
(
string cashflowId
, string modelIdentifier
, bool payerIsBaseParty
, Money amount
, AdjustableOrAdjustedDate paymentDate
, PaymentType paymentType
, CashflowType cashflowType
, bool includePaymentDate
, IBusinessCalendar paymentCalendar)
{
Multiplier = 1.0m;
var date = AdjustedDateHelper.GetAdjustedDate(paymentCalendar, paymentDate);
if (date != null)
{
PaymentDate = (DateTime)date;
}
var containsPaymentDateAdjustments = AdjustableOrAdjustedDateHelper.Contains(paymentDate, ItemsChoiceType.dateAdjustments, out var dateAdjustments);
if (containsPaymentDateAdjustments && dateAdjustments != null)
{
PaymentDateAdjustments = (BusinessDayAdjustments)dateAdjustments;
}
PayerIsBaseParty = payerIsBaseParty;
Id = cashflowId;
ModelIdentifier = modelIdentifier;
PaymentType = paymentType;
PaymentAmount = amount;
ForecastAmount = amount;
CashflowType = cashflowType;
PaymentDateIncluded = includePaymentDate;
PricingStructureEvolutionType = PricingStructureEvolutionType.ForwardToSpot;
RiskMaturityDate = PaymentDate;
DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(amount.currency.Value, true);
if (!PaymentCurrencies.Contains(amount.currency.Value))
{
PaymentCurrencies.Add(amount.currency.Value);
}
}
/// <summary>
///
/// </summary>
/// <param name="nameSpace"></param>
/// <param name="baseDateForRelativeOffset"></param>
/// <param name="baseParty"></param>
/// <param name="optionPremia"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"> </param>
/// <param name="cache"></param>
/// <returns></returns>
public static PriceableFxOptionPremium CreatePriceableFxOptionPremium(ICoreCache cache, String nameSpace,
DateTime?baseDateForRelativeOffset, string baseParty, FxOptionPremium optionPremia,
IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar)
{
bool payerIsBase = baseParty == optionPremia.payerPartyReference.href;
var multiplier = payerIsBase ? -1.0m : 1.0m;
var settlementDate = AdjustedDateHelper.GetAdjustedDate(cache, nameSpace, fixingCalendar, baseDateForRelativeOffset, optionPremia.paymentDate);
if (settlementDate == null)
{
return(null);
}
var date = new PriceableFxOptionPremium("FxOptionPremiumPayment", optionPremia.payerPartyReference.href,
optionPremia.receiverPartyReference.href, payerIsBase,
MoneyHelper.Mul(optionPremia.paymentAmount, multiplier),
(DateTime)settlementDate, optionPremia.quote,
optionPremia.settlementInformation, paymentCalendar);
return(date);
}