//-------------------------------------------------------------------------
public FxSwapTrade toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double nearFxRate, double farLegForwardPoints)
{
Optional <LocalDate> tradeDate = tradeInfo.TradeDate;
if (tradeDate.Present)
{
ArgChecker.inOrderOrEqual(tradeDate.get(), startDate, "tradeDate", "startDate");
}
double amount1 = BuySell.BUY.normalize(notional);
return(FxSwapTrade.builder().info(tradeInfo).product(FxSwap.ofForwardPoints(CurrencyAmount.of(currencyPair.Base, amount1), FxRate.of(currencyPair, nearFxRate), farLegForwardPoints, startDate, endDate, BusinessDayAdjustment)).build());
}
/// <summary>
/// Builds this instance and returns the underlying instrument associated with the controller
/// </summary>
/// <returns></returns>
public FxSwap Build()
{
var fxSwap = new FxSwap();
var leg1 = Legs[0].Build();
var leg2 = Legs[1].Build();
fxSwap.nearLeg = leg1;
fxSwap.farLeg = leg2;
fxSwap.id = Id;
fxSwap.Items = new object[] { ProductTypeHelper.Create(ProductTypeSimpleEnum.FxSwap.ToString()) };
fxSwap.ItemsElementName = new[] { ItemsChoiceType2.productType };
return(fxSwap);
}
//-------------------------------------------------------------------------
public virtual void test_createTrade()
{
FxSwapTemplate @base = FxSwapTemplate.of(NEAR_PERIOD, FAR_PERIOD, CONVENTION);
LocalDate tradeDate = LocalDate.of(2015, 10, 29);
FxSwapTrade test = @base.createTrade(tradeDate, BUY, NOTIONAL_EUR, FX_RATE_NEAR, FX_RATE_PTS, REF_DATA);
LocalDate spotDate = PLUS_TWO_DAYS.adjust(tradeDate, REF_DATA);
LocalDate nearDate = spotDate.plus(NEAR_PERIOD);
LocalDate farDate = spotDate.plus(FAR_PERIOD);
BusinessDayAdjustment bda = CONVENTION.BusinessDayAdjustment;
FxSwap expected = FxSwap.ofForwardPoints(CurrencyAmount.of(EUR, NOTIONAL_EUR), FxRate.of(EUR, USD, FX_RATE_NEAR), FX_RATE_PTS, nearDate, farDate, bda);
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
//-------------------------------------------------------------------------
public virtual void test_toTrade_periods()
{
ImmutableFxSwapConvention @base = ImmutableFxSwapConvention.of(EUR_USD, PLUS_TWO_DAYS, BDA_FOLLOW);
Period startPeriod = Period.ofMonths(3);
Period endPeriod = Period.ofMonths(6);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate spotDate = PLUS_TWO_DAYS.adjust(tradeDate, REF_DATA);
LocalDate nearDate = spotDate.plus(startPeriod);
LocalDate farDate = spotDate.plus(endPeriod);
FxSwapTrade test = @base.createTrade(tradeDate, startPeriod, endPeriod, BUY, NOTIONAL_EUR, FX_RATE_NEAR, FX_RATE_PTS, REF_DATA);
FxSwap expected = FxSwap.ofForwardPoints(CurrencyAmount.of(EUR, NOTIONAL_EUR), FxRate.of(EUR, USD, FX_RATE_NEAR), FX_RATE_PTS, nearDate, farDate, BDA_FOLLOW);
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
}
public virtual void test_toTrade_dates()
{
ImmutableFxSwapConvention @base = ImmutableFxSwapConvention.of(EUR_USD, PLUS_TWO_DAYS, BDA_FOLLOW);
LocalDate tradeDate = LocalDate.of(2015, 5, 5);
LocalDate nearDate = LocalDate.of(2015, 7, 5);
LocalDate nearDateAdj = LocalDate.of(2015, 7, 6); // Adjusted: 5 is Sunday
LocalDate farDate = LocalDate.of(2015, 9, 5);
LocalDate farDateAdj = LocalDate.of(2015, 9, 7); // Adjusted: 5 is Saturday
FxSwapTrade test = @base.toTrade(tradeDate, nearDate, farDate, BUY, NOTIONAL_EUR, FX_RATE_NEAR, FX_RATE_PTS);
FxSwap expected = FxSwap.ofForwardPoints(CurrencyAmount.of(EUR, NOTIONAL_EUR), FxRate.of(EUR, USD, FX_RATE_NEAR), FX_RATE_PTS, nearDate, farDate, BDA_FOLLOW);
assertEquals(test.Info.TradeDate, tradeDate);
assertEquals(test.Product, expected);
ResolvedFxSwap resolvedExpected = ResolvedFxSwap.ofForwardPoints(CurrencyAmount.of(EUR, NOTIONAL_EUR), USD, FX_RATE_NEAR, FX_RATE_PTS, nearDateAdj, farDateAdj);
assertEquals(test.Product.resolve(REF_DATA), resolvedExpected);
}
/// <summary>
/// Builds a fx swap.
/// </summary>
/// <returns></returns>
public static FxSwap Parse(string exchangeCurrency1PayPartyReference, string exchangeCurrency2PayPartyReference,
decimal exchangeCurrency1Amount, string exchangeCurrency1, string exchangeCurrency2, QuoteBasisEnum quoteBasis,
DateTime startValueDate, DateTime forwardValueDate, Decimal startRate, Decimal forwardRate, Decimal?forwardPoints)
{
var fxSwap = new FxSwap
{
Items = new object[] { ProductTypeHelper.Create(ProductTypeSimpleEnum.FxSwap.ToString()) },
ItemsElementName = new[] { ItemsChoiceType2.productType }
};
var leg1 = ParseSpot(exchangeCurrency1PayPartyReference, exchangeCurrency2PayPartyReference, exchangeCurrency1Amount,
exchangeCurrency1, exchangeCurrency2, quoteBasis, startValueDate, startRate);
var leg2 = PriceableFxSwapLeg.ParseForward(exchangeCurrency2PayPartyReference, exchangeCurrency1PayPartyReference, exchangeCurrency1Amount,
exchangeCurrency1, exchangeCurrency2, quoteBasis, forwardValueDate, forwardRate, forwardRate, forwardPoints);
fxSwap.nearLeg = leg1;
fxSwap.farLeg = leg2;
return(fxSwap);
}
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);
}
public static void TradeSetFxSwap(Trade trade, FxSwap swap)
{
trade.Item = swap;
trade.ItemElementName = ItemChoiceType15.fxSwap;
}
public static object CreateFxSwap(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Value Date")] DateTime ValDate,
[ExcelArgument(Description = "Tenor")] string Tenor,
[ExcelArgument(Description = "Spot Price")] double SpotPrice,
[ExcelArgument(Description = "Domestic Currency")] string DomesticCcy,
[ExcelArgument(Description = "Foreign Currency")] string ForeignCcy,
[ExcelArgument(Description = "Domestic Notional")] double DomesticNotional,
[ExcelArgument(Description = "Swap Points")] double SwapPoints,
[ExcelArgument(Description = "Foreign Discount Curve")] string DiscountCurve,
[ExcelArgument(Description = "Solve Curve name ")] string SolveCurve,
[ExcelArgument(Description = "Solve Pillar Date")] object SolvePillarDate,
[ExcelArgument(Description = "Divisor, defualt 10,000")] object Divisor,
[ExcelArgument(Description = "Spot lag, defualt 2b")] object SpotLag)
{
return(ExcelHelper.Execute(_logger, () =>
{
var spotLag = SpotLag.OptionalExcel("2b");
var divisor = Divisor.OptionalExcel(10000.0);
ContainerStores.SessionContainer.GetService <ICalendarProvider>().Collection.TryGetCalendar(DomesticCcy, out var domesticCal);
ContainerStores.SessionContainer.GetService <ICalendarProvider>().Collection.TryGetCalendar(ForeignCcy, out var foreignCal);
var domesticCCY = ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(DomesticCcy);
var foreignCCY = ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(ForeignCcy);
var pair = new FxPair()
{
Domestic = domesticCCY, Foreign = foreignCCY, SpotLag = new Frequency(spotLag), PrimaryCalendar = domesticCal, SecondaryCalendar = foreignCal
};
var SettleDate = new DateTime();
var SolveDate = new DateTime();
var fwd = SpotPrice;
switch (Tenor.ToUpper())
{
case "ON":
case "O/N":
case "OVERNIGHT":
SettleDate = ValDate.AddPeriod(RollType.F, domesticCal, 1.Bd());
SettleDate = SettleDate.IfHolidayRollForward(foreignCal);
var swapProduct = new FxSwap(SwapPoints, ValDate, SettleDate, DomesticNotional, ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(DomesticCcy), ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(ForeignCcy))
{
SolveCurve = SolveCurve,
PillarDate = DateTime.FromOADate(SolvePillarDate.OptionalExcel(SettleDate.ToOADate())),
};
return ExcelHelper.PushToCache(swapProduct, ObjectName);
case "T/N":
case "TN":
SettleDate = pair.SpotDate(ValDate).SubtractPeriod(RollType.P, domesticCal, 1.Bd());
var startDate = SettleDate.IfHolidayRollBack(foreignCal);
SolveDate = DateTime.FromOADate(SolvePillarDate.OptionalExcel(pair.SpotDate(ValDate).ToOADate()));
fwd -= SwapPoints / divisor;
break;
default:
SettleDate = pair.SpotDate(ValDate);
var rt = Tenor.EndsWith("M") || Tenor.EndsWith("Y") ? RollType.MF : RollType.F;
SettleDate = SettleDate.AddPeriod(rt, domesticCal, new Frequency(Tenor));
SettleDate = SettleDate.IfHolidayRollForward(foreignCal);
fwd += SwapPoints / divisor;
SolveDate = DateTime.FromOADate(SolvePillarDate.OptionalExcel(SettleDate.ToOADate()));;
break;
}
var product = new FxForward
{
DomesticCCY = ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(DomesticCcy),
ForeignCCY = ContainerStores.GlobalContainer.GetRequiredService <ICurrencyProvider>().GetCurrency(ForeignCcy),
DomesticQuantity = DomesticNotional,
DeliveryDate = SettleDate,
ForeignDiscountCurve = DiscountCurve,
SolveCurve = SolveCurve,
PillarDate = SolveDate,
Strike = fwd,
TradeId = ObjectName
};
return ExcelHelper.PushToCache(product, ObjectName);
}));
}
/// <summary>
/// The main constructor.
/// </summary>
/// <param name="fxSwapFpML"></param>
/// <param name="basePartyReference"></param>
public FxSwapPricer(FxSwap fxSwapFpML, string basePartyReference)
{
//BusinessCentersResolver.ResolveBusinessCenters(swapFpML);
Multiplier = 1.0m;
Id = fxSwapFpML.id;
OrderedPartyNames = new List <string>();
//We make the assumption that the termination date is the same for all legs..
var lastDate = new DateTime();
ProductType = ProductTypeSimpleEnum.FxSwap;
PaymentCurrencies = new List <string>();
var tempDate = new DateTime();
var fxSwapStream = fxSwapFpML.nearLeg;
if (fxSwapStream != null)
{
//Set the id of the first stream.
fxSwapStream.id = fxSwapStream.id + "_" + "nearLeg";
var leg = new PriceableFxSwapLeg(fxSwapStream, basePartyReference, ProductTypeSimpleEnum.FxSwap);
Legs.Add(leg);
//Add the currencies for the trade pricer.
if (!PaymentCurrencies.Contains(leg.Currency1.Value))
{
PaymentCurrencies.Add(leg.Currency1.Value);
}
if (!PaymentCurrencies.Contains(leg.Currency2.Value))
{
PaymentCurrencies.Add(leg.Currency2.Value);
}
//find the last date.
tempDate = leg.LastDate();
//Add the payments
Currency1Payments = new List <InstrumentControllerBase>();
Currency2Payments = new List <InstrumentControllerBase>();
Currency1Payments.Add(leg.Currency1Payment);
Currency2Payments.Add(leg.Currency2Payment);
}
fxSwapStream = fxSwapFpML.farLeg;
if (fxSwapStream != null)
{
//Set the id of the first stream.
fxSwapStream.id = fxSwapStream.id + "_" + "farLeg";
var leg = new PriceableFxSwapLeg(fxSwapStream, basePartyReference, ProductTypeSimpleEnum.FxSwap);
Legs.Add(leg);
//Add the currencies for the trade pricer.
if (!PaymentCurrencies.Contains(leg.Currency1.Value))
{
PaymentCurrencies.Add(leg.Currency1.Value);
}
if (!PaymentCurrencies.Contains(leg.Currency2.Value))
{
PaymentCurrencies.Add(leg.Currency2.Value);
}
//Add the payments
Currency1Payments = new List <InstrumentControllerBase>();
Currency2Payments = new List <InstrumentControllerBase>();
Currency1Payments.Add(leg.Currency1Payment);
Currency2Payments.Add(leg.Currency2Payment);
}
if (lastDate < tempDate)
{
lastDate = tempDate;
}
RiskMaturityDate = lastDate;
}
// create an FX Swap trade
private static Trade createTrade3()
{
FxSwap swap = FxSwap.ofForwardPoints(CurrencyAmount.of(GBP, 10000), FxRate.of(GBP, USD, 1.62), 0.03, LocalDate.of(2014, 6, 14), LocalDate.of(2014, 9, 14));
return(FxSwapTrade.builder().product(swap).info(TradeInfo.builder().id(StandardId.of("example", "3")).addAttribute(AttributeType.DESCRIPTION, "GBP 10,000/USD @ 1.62 swap").counterparty(StandardId.of("example", "BigBankA")).settlementDate(LocalDate.of(2014, 9, 15)).build()).build());
}
