/// <summary>
///
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="baseParty">THe base party is either Party1 or Party2</param>
/// <param name="depositFpML">THe FpML representation of the deposit correctly built.</param>
public TermDepositPricer(ILogger logger, ICoreCache cache, TermDeposit depositFpML, string baseParty)
{
Multiplier = 1.0m;
OrderedPartyNames = new List <string>();
FixedRate = depositFpML.fixedRate;
EffectiveDate = depositFpML.startDate;
TerminationDate = depositFpML.maturityDate;
DayCountFraction = new DayCountFraction {
Value = depositFpML.dayCountFraction.Value
};
BasePartyPayingFixed = !IsBasePartyLender(baseParty, depositFpML);
if (BasePartyPayingFixed)//From the viewpoint of the counterparty!
{
BaseParty = depositFpML.receiverPartyReference.href;
CounterParty = depositFpML.payerPartyReference.href;
}
else
{
BaseParty = depositFpML.payerPartyReference.href;
CounterParty = depositFpML.receiverPartyReference.href;
}
PaymentDate = TerminationDate;
RiskMaturityDate = TerminationDate;
Principal = MoneyHelper.GetMoney(depositFpML.principal);
Payments = new List <PriceablePayment>();
if (depositFpML.payment != null && depositFpML.payment.Length == 3)
{
//Modify to be principal and interest.
//A principal payment ->priceable payment
//An interest payment -> priceable fixed coupon
var initialDate = AdjustableOrAdjustedDateHelper.Create(null, EffectiveDate, null);
var maturityDate = AdjustableOrAdjustedDateHelper.Create(null, PaymentDate, null);
depositFpML.payment[0].paymentDate = initialDate;
depositFpML.payment[1].paymentDate = maturityDate;
depositFpML.payment[2].paymentDate = maturityDate;//Remove this and replace with depositFpML.interest
Payments.AddRange(PriceableInstrumentsFactory.CreatePriceablePayments(BaseParty, depositFpML.payment, null));
AddCashFlow(depositFpML, BasePartyPayingFixed);
}
else//This will change the input FpML as well!
{
var initial = PaymentHelper.Create(depositFpML.payerPartyReference.href, depositFpML.receiverPartyReference.href, Principal.currency.Value, Principal.amount, EffectiveDate);
Payments.Add(PriceableInstrumentsFactory.CreatePriceablePayment(BaseParty, initial, null));
var final = PaymentHelper.Create(depositFpML.receiverPartyReference.href, depositFpML.payerPartyReference.href, depositFpML.principal.currency.Value, Principal.amount, TerminationDate);
Payments.Add(PriceableInstrumentsFactory.CreatePriceablePayment(BaseParty, final, null));
//Payments.Add(PaymentHelper.Create("interest payment");
AddCashFlow(depositFpML, !BasePartyPayingFixed);
}
//Set the product type.
ProductType = ProductTypeSimpleEnum.TermDeposit;
Currency = depositFpML.principal.currency;
PaymentCurrencies = new List <string> {
Currency.Value
};
//Set the default discount curve name.
DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Currency.Value, true);
}
private void AddCashFlow(TermDeposit depositFpML, bool isLenderBase)
{
var fixedInterest = new PriceableFixedRateCoupon(depositFpML.id + "FixedCoupon_1"
, BasePartyPayingFixed
, EffectiveDate
, TerminationDate
, depositFpML.dayCountFraction
, depositFpML.fixedRate
, isLenderBase ? MoneyHelper.GetMoney(depositFpML.principal) : MoneyHelper.Neg(depositFpML.principal)
, null
, PaymentDate
, null
, null
, null
, null);
InterestAmount = fixedInterest;
}