/// <summary>
///
/// </summary>
/// <param name="capFloorLeg"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <param name="spreadSchedule"></param>
/// <param name="capOrFloorSchedule"></param>
/// <param name="notionalSchedule"></param>
/// <returns></returns>
public static CapFloor GenerateDefinitionCashflows(IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
CapFloorLegParametersRange_Old capFloorLeg,
Schedule spreadSchedule,
Schedule capOrFloorSchedule,
NonNegativeAmountSchedule notionalSchedule)
{
CapFloor capFloor = GenerateDefiniton(capFloorLeg, spreadSchedule, capOrFloorSchedule, notionalSchedule);
if (null != spreadSchedule)
{
InterestRateStreamParametricDefinitionGenerator.SetSpreadSchedule(capFloor.capFloorStream, spreadSchedule);
}
if (null != notionalSchedule)
{
InterestRateStreamParametricDefinitionGenerator.SetNotionalSchedule(capFloor.capFloorStream, notionalSchedule);
}
if (null != capOrFloorSchedule)
{
if (capFloorLeg.CapOrFloor == CapFloorType.Cap)
{
InterestRateStreamParametricDefinitionGenerator.SetCapRateSchedule(capFloor.capFloorStream, capOrFloorSchedule, true);
}
else
{
InterestRateStreamParametricDefinitionGenerator.SetFloorRateSchedule(capFloor.capFloorStream, capOrFloorSchedule, true);
}
}
capFloor.capFloorStream.cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(capFloor.capFloorStream, fixingCalendar, paymentCalendar);
return(capFloor);
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="capFloorLeg"></param>
/// <param name="nameSpace"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <param name="spreadSchedule"></param>
/// <param name="capOrFloorSchedule"></param>
/// <param name="notionalSchedule"></param>
/// <returns></returns>
public static CapFloor GenerateDefinitionCashflows(ILogger logger, ICoreCache cache,
string nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
CapFloorLegParametersRange capFloorLeg,
Schedule spreadSchedule,
Schedule capOrFloorSchedule,
NonNegativeAmountSchedule notionalSchedule)
{
if (paymentCalendar == null)
{
if (!string.IsNullOrEmpty(capFloorLeg.PaymentCalendar))
{
var payCalendar = BusinessCentersHelper.Parse(capFloorLeg.PaymentCalendar);
paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, payCalendar, nameSpace);
}
}
if (fixingCalendar == null)
{
if (!string.IsNullOrEmpty(capFloorLeg.FixingCalendar))
{
var fixCalendar = BusinessCentersHelper.Parse(capFloorLeg.FixingCalendar);
fixingCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, fixCalendar, nameSpace);
}
}
CapFloor capFloor = GenerateDefiniton(capFloorLeg, spreadSchedule, capOrFloorSchedule, notionalSchedule);
if (null != spreadSchedule)
{
InterestRateStreamParametricDefinitionGenerator.SetSpreadSchedule(capFloor.capFloorStream, spreadSchedule);
}
if (null != notionalSchedule)
{
InterestRateStreamParametricDefinitionGenerator.SetNotionalSchedule(capFloor.capFloorStream, notionalSchedule);
}
if (null != capOrFloorSchedule)
{
if (capFloorLeg.CapOrFloor == CapFloorType.Cap)
{
InterestRateStreamParametricDefinitionGenerator.SetCapRateSchedule(capFloor.capFloorStream, capOrFloorSchedule, true);
}
else
{
InterestRateStreamParametricDefinitionGenerator.SetFloorRateSchedule(capFloor.capFloorStream, capOrFloorSchedule, true);
}
}
capFloor.capFloorStream.cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(capFloor.capFloorStream, fixingCalendar, paymentCalendar);
return(capFloor);
}
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>
/// <returns></returns>
public static Swap GenerateDefinitionCashflows(ILogger logger,
ICoreCache cache, string nameSpace,
SwapLegParametersRange leg1Parameters,
Pair <IBusinessCalendar, IBusinessCalendar> leg1Calendars,
SwapLegParametersRange leg2Parameters,
Pair <IBusinessCalendar, IBusinessCalendar> leg2Calendars,
Schedule fixedRateSchedule,
Schedule spreadSchedule,
NonNegativeAmountSchedule notionalSchedule)
{
IBusinessCalendar leg1PaymentCalendar = null;
IBusinessCalendar leg2PaymentCalendar = null;
IBusinessCalendar leg1FixingCalendar = null;
IBusinessCalendar leg2FixingCalendar = null;
if (leg1Calendars != null)
{
leg1FixingCalendar = leg1Calendars.First;
leg1PaymentCalendar = leg1Calendars.Second;
}
else
{
if (!string.IsNullOrEmpty(leg1Parameters.PaymentCalendar))
{
var payCalendar = BusinessCentersHelper.Parse(leg1Parameters.PaymentCalendar);
leg1PaymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, payCalendar, nameSpace);
leg1FixingCalendar = leg1PaymentCalendar;
}
if (!string.IsNullOrEmpty(leg1Parameters.FixingCalendar))
{
var fixingCalendar = BusinessCentersHelper.Parse(leg1Parameters.FixingCalendar);
leg1FixingCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, fixingCalendar, nameSpace);
}
}
if (leg2Calendars != null)
{
leg2FixingCalendar = leg2Calendars.First;
leg2PaymentCalendar = leg2Calendars.Second;
}
else
{
if (!string.IsNullOrEmpty(leg2Parameters.PaymentCalendar))
{
var payCalendar = BusinessCentersHelper.Parse(leg2Parameters.PaymentCalendar);
leg2PaymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, payCalendar, nameSpace);
leg2FixingCalendar = leg2PaymentCalendar;
}
if (!string.IsNullOrEmpty(leg2Parameters.FixingCalendar))
{
var fixingCalendar = BusinessCentersHelper.Parse(leg2Parameters.FixingCalendar);
leg2FixingCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, fixingCalendar, nameSpace);
}
}
var swap = GenerateDefiniton(leg1Parameters, leg2Parameters);
InterestRateStream stream1 = swap.swapStream[0];
InterestRateStream stream2 = swap.swapStream[1];
if (null != fixedRateSchedule)
{
// Set FixedRateSchedule (if this is a fixed leg)
//
if (leg1Parameters.IsFixedLegType())
{
InterestRateStreamParametricDefinitionGenerator.SetFixedRateSchedule(stream1, fixedRateSchedule);
}
// Set FixedRateSchedule (if this is a fixed leg)
//
if (leg2Parameters.IsFixedLegType())
{
InterestRateStreamParametricDefinitionGenerator.SetFixedRateSchedule(stream2, fixedRateSchedule);
}
}
if (null != spreadSchedule) //for float legs only
{
if (leg1Parameters.IsFloatingLegType())
{
InterestRateStreamParametricDefinitionGenerator.SetSpreadSchedule(stream1, spreadSchedule);
}
if (leg2Parameters.IsFloatingLegType())
{
InterestRateStreamParametricDefinitionGenerator.SetSpreadSchedule(stream2, spreadSchedule);
}
}
if (null != notionalSchedule)
{
// Set notional schedule
//
InterestRateStreamParametricDefinitionGenerator.SetNotionalSchedule(stream1, notionalSchedule);
InterestRateStreamParametricDefinitionGenerator.SetNotionalSchedule(stream2, notionalSchedule);
}
stream1.cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(stream1, leg1FixingCalendar, leg1PaymentCalendar);
stream2.cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(stream2, leg2FixingCalendar, leg2PaymentCalendar);
return(swap);
}
