public static void UpdateStreamCashflowsAmounts(SwapLegParametersRange_Old legParameters,
InterestRateStream stream,
ISwapLegEnvironment marketEnvironment,
DateTime valuationDate)
{
IRateCurve forecastCurve = null;
if (!String.IsNullOrEmpty(legParameters.ForecastCurve))
{
forecastCurve = marketEnvironment.GetForecastRateCurve();
}
IRateCurve discountingCurve = marketEnvironment.GetDiscountRateCurve();
FixedAndFloatingRateStreamCashflowGenerator.UpdateCashflowsAmounts(stream, forecastCurve, discountingCurve, valuationDate);
}
/// <summary>
///
/// </summary>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <param name="capFloorLeg"></param>
/// <param name="spreadSchedule"></param>
/// <param name="capOrFloorSchedule"></param>
/// <param name="notionalSchedule"></param>
/// <param name="marketEnvironment"></param>
/// <param name="valuationDate"></param>
/// <returns></returns>
public static CapFloor GenerateDefinitionCashflowsAmounts(IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
CapFloorLegParametersRange_Old capFloorLeg,
Schedule spreadSchedule,
Schedule capOrFloorSchedule,
NonNegativeAmountSchedule notionalSchedule,
ISwapLegEnvironment marketEnvironment,
DateTime valuationDate)
{
CapFloor capFloor = GenerateDefinitionCashflows(fixingCalendar, paymentCalendar, capFloorLeg, spreadSchedule, capOrFloorSchedule, notionalSchedule);
IRateCurve payStreamDiscountingCurve = marketEnvironment.GetDiscountRateCurve();
IRateCurve payStreamForecastCurve = marketEnvironment.GetForecastRateCurve();
FixedAndFloatingRateStreamCashflowGenerator.UpdateCashflowsAmounts(capFloor.capFloorStream, payStreamForecastCurve, payStreamDiscountingCurve, valuationDate);
return(capFloor);
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="leg1Parameters"></param>
/// <param name="leg1Calendars"></param>
/// <param name="leg2Parameters"></param>
/// <param name="leg2Calendars"></param>
/// <param name="fixedRateSchedule"></param>
/// <param name="spreadSchedule"></param>
/// <param name="notionalSchedule"></param>
/// <param name="marketEnvironment"></param>
/// <param name="valuationDate"></param>
/// <returns></returns>
public static Swap GenerateDefinitionCashflowsAmounts(ILogger logger, ICoreCache cache,
string nameSpace, SwapLegParametersRange_Old leg1Parameters,
Pair <IBusinessCalendar, IBusinessCalendar> leg1Calendars,
SwapLegParametersRange_Old leg2Parameters,
Pair <IBusinessCalendar, IBusinessCalendar> leg2Calendars,
Schedule fixedRateSchedule,
Schedule spreadSchedule,
NonNegativeAmountSchedule notionalSchedule,
ISwapLegEnvironment marketEnvironment,
DateTime valuationDate)
{
var swap = GenerateDefinitionCashflows(logger, cache, nameSpace, leg1Parameters, leg1Calendars, leg2Parameters, leg2Calendars, fixedRateSchedule, spreadSchedule, notionalSchedule);
InterestRateStream stream1 = swap.swapStream[0];
InterestRateStream stream2 = swap.swapStream[1];
UpdateStreamCashflowsAmounts(leg1Parameters, stream1, marketEnvironment, valuationDate);
UpdateStreamCashflowsAmounts(leg2Parameters, stream2, marketEnvironment, valuationDate);
return(swap);
}
static public void ProcessInstrumentControllerResultsEvolve(InstrumentControllerBase instrumentController, string[] metrics, DateTime baseDate, DateTime valuationDate)
{
Assert.IsNotNull(instrumentController);
//Double[] times = { 0, 1, 2, 3, 4, 5 };
//Double[] dfs = { 1, 0.98, 0.96, 0.91, 0.88, 0.85};
ISwapLegEnvironment market = CreateInterestRateStreamTestEnvironment(baseDate);
IInstrumentControllerData controllerData = CreateInstrumentModelData(metrics, valuationDate, market);
Assert.IsNotNull(controllerData);
var results = instrumentController.Calculate(controllerData);
Debug.Print("Id : {0}", instrumentController.Id);
foreach (var metric in results.quote)
{
Debug.Print("Id : {0} Metric Name : {1} Metric Value : {2}", instrumentController.Id, metric.measureType.Value, metric.value);
}
}
///<summary>
/// A market environment can only contain 2 swap market environments:
/// Each swap market can contain a maximum of:
/// A forecast rate curve, a discount curve, a commodity curve,
/// a reporting currency fx curve and a volatility surface.
/// This type is use in priceable instruments valuations via the Evaluate method.
///</summary>
///<param name="id"></param>
///<param name="exchangeCurrencyMarket1"></param>
///<param name="exchangeCurrencyMarket2"></param>
public FxLegEnvironment(string id, ISwapLegEnvironment exchangeCurrencyMarket1, ISwapLegEnvironment exchangeCurrencyMarket2)
: base(id)
{
ExchangeCurrencyMarket1 = exchangeCurrencyMarket1;
ExchangeCurrencyMarket2 = exchangeCurrencyMarket2;
}
