private static List <CashflowCombined> CombineByPaymentDates(IEnumerable <CashflowCombined> input)
{
var result = new List <CashflowCombined>(input);
var comparer = new CashflowCombinedComparer();
result.Sort(comparer);
for (int i = 0; i < result.Count - 1; ++i)
{
CashflowCombined cf = result[i];
CashflowCombined cfNext = result[i + 1];
if (0 == comparer.Compare(cf, cfNext))
{
// do combine
//
cf.SwapIntFV += cfNext.SwapIntFV;
cf.SwapIntPV += cfNext.SwapIntPV;
if (0 == cf.FloatIntFV)
{
cf.FloatIntFV = cfNext.FloatIntFV;
}
if (0 == cf.FloatIntPV)
{
cf.FloatIntPV = cfNext.FloatIntPV;
}
if (0 == cf.FixedIntFV)
{
cf.FixedIntFV = cfNext.FixedIntFV;
}
if (0 == cf.FixedIntPV)
{
cf.FixedIntPV = cfNext.FixedIntPV;
}
if (0 == cf.FixedRate)
{
cf.FixedRate = cfNext.FixedRate;
}
if (0 == cf.ForwardRate)
{
cf.ForwardRate = cfNext.ForwardRate;
}
// remove cf next
//
result.RemoveAt(i + 1);
return(CombineByPaymentDates(result));
}
}
return(result);
}
public static object[,] GetCashflowsSideBySideExcelRange(List <PriceableRateCoupon> payFloatingCashflows,
List <PriceableRateCoupon> recFixedCashflows)
{
var result2 = new List <CashflowCombined>();
payFloatingCashflows.ForEach
(
payFloatingCashflow =>
{
var payFloatingCashflowCombined = new CashflowCombined
{
AccrualStartDate = payFloatingCashflow.AccrualStartDate,
AccrualEndDate = payFloatingCashflow.AccrualEndDate,
PaymentDate = payFloatingCashflow.PaymentDate,
YearFraction = payFloatingCashflow.CouponYearFraction,
FloatIntFV = payFloatingCashflow.AccruedInterest,
FloatIntPV = payFloatingCashflow.AccruedInterestPV,
SwapIntFV = -payFloatingCashflow.AccruedInterest,
SwapIntPV = -payFloatingCashflow.AccruedInterestPV,
ForwardRate = (decimal)payFloatingCashflow.Rate,
DiscountFactor = payFloatingCashflow.PaymentDiscountFactor,
Notional = payFloatingCashflow.Notional
};
// ReSharper disable AccessToModifiedClosure
result2.Add(payFloatingCashflowCombined);
// ReSharper restore AccessToModifiedClosure
}
);
recFixedCashflows.ForEach
(
recFixedCashflow =>
{
var recFixedCashflowCombined = new CashflowCombined
{
AccrualStartDate = recFixedCashflow.AccrualStartDate,
AccrualEndDate = recFixedCashflow.AccrualEndDate,
PaymentDate = recFixedCashflow.PaymentDate,
YearFraction = recFixedCashflow.CouponYearFraction,
FixedIntFV = recFixedCashflow.AccruedInterest,
FixedIntPV = recFixedCashflow.AccruedInterestPV,
SwapIntFV = +recFixedCashflow.AccruedInterest,
SwapIntPV = +recFixedCashflow.AccruedInterestPV,
FixedRate = (decimal)recFixedCashflow.Rate,
DiscountFactor = recFixedCashflow.PaymentDiscountFactor,
Notional = recFixedCashflow.Notional
};
// ReSharper disable AccessToModifiedClosure
result2.Add(recFixedCashflowCombined);
// ReSharper restore AccessToModifiedClosure
}
);
result2 = CombineByPaymentDates(result2);
//
//
var result2Array = new object[2 + result2.Count, 12];
int currentRow2 = 0;
result2Array[currentRow2, 0] = "Pay and received cashflows:";
for (int i = 1; i < 12; ++i)
{
result2Array[currentRow2, i] = "";
}
++currentRow2;
result2Array[currentRow2, 0] = "Accrual start";
result2Array[currentRow2, 1] = "Accrual end";
result2Array[currentRow2, 2] = "Payment";
result2Array[currentRow2, 3] = "Year fraction";
result2Array[currentRow2, 4] = "Fixed Int FV";
result2Array[currentRow2, 5] = "Float Int FV";
result2Array[currentRow2, 6] = "Swap Int FV";
result2Array[currentRow2, 7] = "Swap Int PV";
result2Array[currentRow2, 8] = "Fixed rate";
result2Array[currentRow2, 9] = "Forward rate";
result2Array[currentRow2, 10] = "Discount factor";
result2Array[currentRow2, 11] = "Notional";
++currentRow2;
foreach (var cashflowCombined in result2)
{
result2Array[currentRow2, 0] = cashflowCombined.AccrualStartDate;
result2Array[currentRow2, 1] = cashflowCombined.AccrualEndDate;
result2Array[currentRow2, 2] = cashflowCombined.PaymentDate;
result2Array[currentRow2, 3] = cashflowCombined.YearFraction;
result2Array[currentRow2, 4] = cashflowCombined.FixedIntFV;
result2Array[currentRow2, 5] = cashflowCombined.FloatIntFV;
result2Array[currentRow2, 6] = cashflowCombined.SwapIntFV;
result2Array[currentRow2, 7] = cashflowCombined.SwapIntPV;
result2Array[currentRow2, 8] = cashflowCombined.FixedRate;
result2Array[currentRow2, 9] = cashflowCombined.ForwardRate;
result2Array[currentRow2, 10] = cashflowCombined.DiscountFactor;
result2Array[currentRow2, 11] = cashflowCombined.Notional;
++currentRow2;
}
return(result2Array);
}