public static Trade CreateFxSwap(string tradeId, DateTime tradeDate, string exchangeCurrency1PayPartyReference, string exchangeCurrency2PayPartyReference,
decimal exchangeCurrency1Amount, string exchangeCurrency1, string exchangeCurrency2, QuoteBasisEnum quoteBasis,
DateTime startValueDate, DateTime forwardValueDate, Decimal startRate, Decimal forwardRate, Decimal?forwardPoints)
{
var trade = new Trade {
id = tradeId, tradeHeader = new TradeHeader()
};
var party1 = PartyTradeIdentifierHelper.Parse(tradeId, "party1");
var party2 = PartyTradeIdentifierHelper.Parse(tradeId, "party2");
trade.tradeHeader.partyTradeIdentifier = new[] { party1, party2 };
trade.tradeHeader.tradeDate = new IdentifiedDate {
Value = tradeDate
};
var fxSwap = Parse(exchangeCurrency1PayPartyReference, exchangeCurrency2PayPartyReference, exchangeCurrency1Amount,
exchangeCurrency1, exchangeCurrency2, quoteBasis, startValueDate, forwardValueDate, startRate, forwardRate, forwardPoints);
FpMLFieldResolver.TradeSetFxSwap(trade, fxSwap);
return(trade);
}
public static Trade CreateFxSwap(string tradeId, DateTime tradeDate, string exchangeCurrency1PayPartyReference, string exchangeCurrency2PayPartyReference,
decimal exchangeCurrency1Amount, string exchangeCurrency1, string exchangeCurrency2, QuoteBasisEnum quoteBasis,
DateTime valueDate, Decimal spotRate, Decimal?forwardRate, Decimal?forwardPoints)
{
var trade = new Trade {
id = tradeId, tradeHeader = new TradeHeader()
};
var party1 = PartyTradeIdentifierHelper.Parse(tradeId, "party1");
var party2 = PartyTradeIdentifierHelper.Parse(tradeId, "party2");
trade.tradeHeader.partyTradeIdentifier = new[] { party1, party2 };
trade.tradeHeader.tradeDate = new IdentifiedDate {
Value = tradeDate
};
var nearLeg = new FxSwapLeg();
var farLeg = new FxSwapLeg();
if (forwardRate == null)
{
nearLeg = ParseSpot(exchangeCurrency1PayPartyReference, exchangeCurrency2PayPartyReference, exchangeCurrency1Amount,
exchangeCurrency1, exchangeCurrency2, quoteBasis, valueDate, spotRate);
}
else
{
farLeg = PriceableFxSwapLeg.ParseForward(exchangeCurrency1PayPartyReference, exchangeCurrency2PayPartyReference, exchangeCurrency1Amount,
exchangeCurrency1, exchangeCurrency2, quoteBasis, valueDate, spotRate, (decimal)forwardRate, forwardPoints);
}
var fxSwap = new FxSwap
{
nearLeg = nearLeg,
farLeg = farLeg,
Items = new object[] { ProductTypeHelper.Create(ProductTypeSimpleEnum.FxSwap.ToString()) },
ItemsElementName = new[] { ItemsChoiceType2.productType }
};
FpMLFieldResolver.TradeSetFxSwap(trade, fxSwap);
return(trade);
}