public static Notional Create(Money initialValue)
{
var result = new Notional {
notionalStepSchedule = new NonNegativeAmountSchedule
{
initialValue = initialValue.amount,
initialValueSpecified = true,
currency = initialValue.currency
}
};
return(result);
}
public static Decimal GetNotionalValue(Notional notional, DateTime dateTime)
{
if (null == notional.notionalStepSchedule.step)
{
return(notional.notionalStepSchedule.initialValue);
}
else
{
// I assume that the dates in a step schedule are in the ascensing order.
//
NonNegativeAmountSchedule notionalStepSchedule = notional.notionalStepSchedule;
ArrayList listOfStepDates = new ArrayList();
ArrayList listOfStepValues = new ArrayList();
foreach (var step in notionalStepSchedule.step)
{
listOfStepDates.Add(step.stepDate);
listOfStepValues.Add(step.stepValue);
}
int foundAtIndex = listOfStepDates.BinarySearch(dateTime);
if (foundAtIndex < 0)
{
int indexOfLargeDate = ~foundAtIndex;
if (0 == indexOfLargeDate)
{
return(notional.notionalStepSchedule.initialValue);
}
else
{
decimal val = (decimal)listOfStepValues[indexOfLargeDate - 1];
return(val);
}
}
else
{
return((decimal)listOfStepValues[foundAtIndex]);
}
}
}
private static Notional ReadNotional(EntryObject o)
{
foreach (String property in s_Properties.Except(s_PropertiesAmount.Union(s_PropertiesCommon).Union(s_PropertiesTrade).Union(s_PropertiesModel)))
{
if (!String.IsNullOrEmpty((String)o.GetType().GetProperty(property)?.GetValue(o)))
{
throw new InvalidDataException($"The CRIF file cannot specify the {property} property for Notional entries.");
}
}
if (!Enum.TryParse(o.ProductClass, out Schedule.Product product))
{
throw new InvalidDataException("The CRIF file contains a Notional entry with an invalid ProductClass property.");
}
Amount amount = ReadAmount(o);
RegulationsInfo regulationsInfo = ReadRegulationsInfo(o);
TradeInfo tradeInfo = ReadTradeInfo(o);
return(Notional.OfUnchecked(product, amount, regulationsInfo, tradeInfo));
}
private void SyncViewWithModel()
{
AddDisposable(_router.GetModelObservable().Observe(model =>
{
using (_entryMonitor.Enter())
{
Log.DebugFormat("Model update received. Version: {0}", model.Version);
QuoteId = model.Rfq.QuoteId;
OrderSummary = model.Inputs.OrderSummary;
RfqSummary = model.Rfq.RfqSummary;
Notional.Sync(model.Inputs.Notional);
CurrencyPair.Sync(model.Inputs.CurrencyPair);
Status = model.Rfq.Status;
Rate = model.Rfq.Rate;
RequestQuote.RaiseCanExecuteChanged();
AcceptQuoteCommand.RaiseCanExecuteChanged();
RejectQuoteCommand.RaiseCanExecuteChanged();
IsRequestQuoteButtonVisible = !model.Rfq.Status.RfqInFlight();
QuotingButtonsVisible = model.Rfq.Status == QuoteStatus.Quoting;
}
}));
}
private void ObserveChanges()
{
RequestQuote = new DelegateCommand(
_ => _router.PublishEvent(new RequestQuoteEvent()),
_ => Notional.HasValue && CurrencyPair.HasValue && _status != QuoteStatus.Quoting
);
AcceptQuoteCommand = new DelegateCommand(
_ => _router.PublishEvent(new AcceptQuoteEvent(_quoteId)),
_ => _status == QuoteStatus.Quoting
);
RejectQuoteCommand = new DelegateCommand(
_ => _router.PublishEvent(new RejectQuoteEvent(_quoteId)),
_ => _status == QuoteStatus.Quoting
);
Notional
.ObserveProperty(q => q.Value)
.Where(_ => !_entryMonitor.IsBusy)
.Subscribe(quantity => _router.PublishEvent(new NotionalChangedEvent(quantity)));
CurrencyPair
.ObserveProperty(q => q.Value)
.Where(_ => !_entryMonitor.IsBusy)
.Subscribe(symbol => _router.PublishEvent(new CurrencyPairChangedEvent(symbol)));
}
public static void CalculationSetNotionalSchedule(Calculation calculation, Notional value)
{
calculation.Items = new object[] { value };
}
private static void CalculateForecastPaymentAmount(Calculation calculation,
FloatingRateCalculation floatingRateCalculation,
PaymentCalculationPeriod paymentCalculationPeriod,
IRateCurve forecastCurve,
IRateCurve discountCurve,
DateTime valuationDate)
{
var amountAccruedPerPaymentPeriod = new List <Money>();
decimal interestFromPreviousPeriods = 0;
Notional notionalSchedule = XsdClassesFieldResolver.CalculationGetNotionalSchedule(calculation);
Currency notionalCurrency = notionalSchedule.notionalStepSchedule.currency;
// Cashflows
//
foreach (CalculationPeriod calculationPeriod in XsdClassesFieldResolver.GetPaymentCalculationPeriodCalculationPeriodArray(paymentCalculationPeriod))
{
decimal notional = XsdClassesFieldResolver.CalculationPeriodGetNotionalAmount(calculationPeriod);
decimal finalRate = 0.0m;
// If has a fixed rate (fixed rate coupon)
//
if (XsdClassesFieldResolver.CalculationPeriodHasFixedRate(calculationPeriod))
{
finalRate = XsdClassesFieldResolver.CalculationPeriodGetFixedRate(calculationPeriod);
}
else if (XsdClassesFieldResolver.CalculationPeriodHasFloatingRateDefinition(calculationPeriod))
{
if (null != forecastCurve)
{
FloatingRateDefinition floatingRateDefinition = XsdClassesFieldResolver.CalculationPeriodGetFloatingRateDefinition(calculationPeriod);
// Apply spread from schedule if it hasn't been specified yet.
//
if (!floatingRateDefinition.spreadSpecified)
{
floatingRateDefinition.spread = floatingRateCalculation.spreadSchedule[0].initialValue;
floatingRateDefinition.spreadSpecified = true;
}
ForecastRateHelper.UpdateFloatingRateDefinition(floatingRateDefinition, floatingRateCalculation,
calculation.dayCountFraction,
calculationPeriod,
forecastCurve);
calculationPeriod.Item1 = floatingRateDefinition;
decimal calculatedRate = floatingRateDefinition.calculatedRate;
// final rate after application of Cap/Floor rates
//
finalRate = calculatedRate;
// If has a Cap rate, finalRate = MAX(0, FinalRate - CapRate)
//
if (null != floatingRateDefinition.capRate)
{
Strike strike = floatingRateDefinition.capRate[0];
finalRate = System.Math.Max(0, finalRate - strike.strikeRate);
}
// If has a Floor rate, finalRate = MAX(0, FloorRate - FinalRate)
//
if (null != floatingRateDefinition.floorRate)
{
Strike strike = floatingRateDefinition.floorRate[0];
finalRate = System.Math.Max(0, strike.strikeRate - finalRate);
}
}
}
else
{
throw new System.Exception("CalculationPeriod has neither fixedRate nor floatngRateDefinition.");
}
// Compound interest accrued during previos calculation periods in this payment period.
//
decimal notionalAdjustedForInterestFromPreviousPeriods = notional + interestFromPreviousPeriods;
if (calculation.discounting == null)
{
interestFromPreviousPeriods = notionalAdjustedForInterestFromPreviousPeriods * finalRate * calculationPeriod.dayCountYearFraction;
}
else if (calculation.discounting.discountingType == DiscountingTypeEnum.FRA || calculation.discounting.discountingType == DiscountingTypeEnum.Standard)
{
interestFromPreviousPeriods = notionalAdjustedForInterestFromPreviousPeriods * (1.0m - 1.0m / (1.0m + finalRate * calculationPeriod.dayCountYearFraction));
}
else
{
throw new NotSupportedException("The specified discountingType is not supported.");
}
Money amountAccruedPerCalculationPeriod = MoneyHelper.GetAmount(interestFromPreviousPeriods, notionalCurrency);
amountAccruedPerPaymentPeriod.Add(amountAccruedPerCalculationPeriod);
}
paymentCalculationPeriod.forecastPaymentAmount = MoneyHelper.Sum(amountAccruedPerPaymentPeriod);
paymentCalculationPeriod.discountFactor = (decimal)discountCurve.GetDiscountFactor(valuationDate, paymentCalculationPeriod.adjustedPaymentDate);
paymentCalculationPeriod.discountFactorSpecified = true;
paymentCalculationPeriod.presentValueAmount = MoneyHelper.Mul(paymentCalculationPeriod.forecastPaymentAmount, paymentCalculationPeriod.discountFactor);
}
public static void CalculationSetNotionalSchedule(Calculation calculation, Notional value)
{
calculation.Item = value;
}
void ReleaseDesignerOutlets()
{
if (Activity != null)
{
Activity.Dispose();
Activity = null;
}
if (CurrencyPair != null)
{
CurrencyPair.Dispose();
CurrencyPair = null;
}
if (Executing != null)
{
Executing.Dispose();
Executing = null;
}
if (LeftSideAction != null)
{
LeftSideAction.Dispose();
LeftSideAction = null;
}
if (LeftSideBigNumber != null)
{
LeftSideBigNumber.Dispose();
LeftSideBigNumber = null;
}
if (LeftSideButton != null)
{
LeftSideButton.Dispose();
LeftSideButton = null;
}
if (LeftSideNumber != null)
{
LeftSideNumber.Dispose();
LeftSideNumber = null;
}
if (LeftSidePips != null)
{
LeftSidePips.Dispose();
LeftSidePips = null;
}
if (Notional != null)
{
Notional.Dispose();
Notional = null;
}
if (NotionalCCY != null)
{
NotionalCCY.Dispose();
NotionalCCY = null;
}
if (PriceMovementDown != null)
{
PriceMovementDown.Dispose();
PriceMovementDown = null;
}
if (PriceMovementUp != null)
{
PriceMovementUp.Dispose();
PriceMovementUp = null;
}
if (RightSideAction != null)
{
RightSideAction.Dispose();
RightSideAction = null;
}
if (RightSideBigNumber != null)
{
RightSideBigNumber.Dispose();
RightSideBigNumber = null;
}
if (RightSideButton != null)
{
RightSideButton.Dispose();
RightSideButton = null;
}
if (RightSideNumber != null)
{
RightSideNumber.Dispose();
RightSideNumber = null;
}
if (RightSidePips != null)
{
RightSidePips.Dispose();
RightSidePips = null;
}
if (SpotDate != null)
{
SpotDate.Dispose();
SpotDate = null;
}
if (Spread != null)
{
Spread.Dispose();
Spread = null;
}
}
private static void UpdateCalculationPeriodData(Calculation calculation, CalculationPeriod calculationPeriod, Notional notinalSchedule)
{
bool hasFloatingRateCalculation = XsdClassesFieldResolver.CalculationHasFloatingRateCalculation(calculation);
bool hasFixedRate = XsdClassesFieldResolver.CalculationHasFixedRateSchedule(calculation);
if (!(hasFloatingRateCalculation ^ hasFixedRate))
{
throw new System.Exception("at least one type of rate (floating or fixed) must be specified.");
}
decimal notional = NotionalHelper.GetNotionalValue(notinalSchedule, calculationPeriod.adjustedStartDate);
// Notional amount
//
XsdClassesFieldResolver.CalculationPeriodSetNotionalAmount(calculationPeriod, notional);
// Fixed rate
//
if (hasFixedRate)
{
Schedule fixedRateSchedule = XsdClassesFieldResolver.CalculationGetFixedRateSchedule(calculation);
decimal fixedRate = ScheduleHelper.GetValue(fixedRateSchedule, calculationPeriod.adjustedStartDate);
XsdClassesFieldResolver.SetCalculationPeriodFixedRate(calculationPeriod, fixedRate);
}
// Floating rate
//
else// if (hasFloatingRateCalculation)
{
// no observed, no calculated rate, spread == 0.0
//
var floatingRateDefinition = (FloatingRateDefinition)calculationPeriod.Item1 ?? new FloatingRateDefinition();
// check if stream has spreadSchedule
//
if (XsdClassesFieldResolver.CalculationHasSpreadSchedule(calculation))
{
Schedule spreadSchedule = XsdClassesFieldResolver.GetCalculationSpreadSchedule(calculation);
decimal spread = ScheduleHelper.GetValue(spreadSchedule, calculationPeriod.adjustedStartDate);
floatingRateDefinition.spread = spread;
floatingRateDefinition.spreadSpecified = true;
}
FloatingRateCalculation floatingRateCalculation = XsdClassesFieldResolver.CalculationGetFloatingRateCalculation(calculation);
// Check if there's a capRateSchedule
//
if (null != floatingRateCalculation.capRateSchedule)
{
StrikeSchedule capRateSchedule = floatingRateCalculation.capRateSchedule[0];
var capStrike = new Strike();
var capRate = ScheduleHelper.GetValue(capRateSchedule, calculationPeriod.adjustedStartDate);
capStrike.strikeRate = capRate;
floatingRateDefinition.capRate = new[] { capStrike };
}
// Check if there's a capRateSchedule
//
if (null != floatingRateCalculation.floorRateSchedule)
{
StrikeSchedule floorRateSchedule = floatingRateCalculation.floorRateSchedule[0];
var floorStrike = new Strike();
decimal floorRate = ScheduleHelper.GetValue(floorRateSchedule, calculationPeriod.adjustedStartDate);
floorStrike.strikeRate = floorRate;
floatingRateDefinition.floorRate = new[] { floorStrike };
}
calculationPeriod.Item1 = floatingRateDefinition;
}
}
private static void UpdateStubCalculationPeriodData(InterestRateStream interestRateStream, CalculationPeriod stubCalculationPeriod, StubValue stubValue, Notional notinalSchedule)
{
StubCalculationPeriodAmountHelper.UpdateStubCalculationPeriod(interestRateStream, stubCalculationPeriod, stubValue);
decimal notional = NotionalHelper.GetNotionalValue(notinalSchedule, stubCalculationPeriod.adjustedStartDate);
// Notinal amount
//
XsdClassesFieldResolver.CalculationPeriodSetNotionalAmount(stubCalculationPeriod, notional);
}
/// <summary>
/// Update calculation periods with rates/notional.
/// </summary>
/// <param name="interestRateStream"></param>
/// <param name="calculationPeriodsPrincipalExchangesAndStubs"></param>
public static void UpdateCalculationPeriodsData(InterestRateStream interestRateStream, CalculationPeriodsPrincipalExchangesAndStubs calculationPeriodsPrincipalExchangesAndStubs)
{
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(interestRateStream.calculationPeriodAmount);
Notional notionalSchedule = XsdClassesFieldResolver.CalculationGetNotionalSchedule(calculation);
#region Generate FUTURE amounts for principle exchanges
// Initial PE
//
if (null != calculationPeriodsPrincipalExchangesAndStubs.InitialPrincipalExchange)
{
// initial OUTflow
//
decimal initialNotionalValue = ScheduleHelper.GetValue(notionalSchedule.notionalStepSchedule, calculationPeriodsPrincipalExchangesAndStubs.InitialPrincipalExchange.adjustedPrincipalExchangeDate);
calculationPeriodsPrincipalExchangesAndStubs.InitialPrincipalExchange.principalExchangeAmount = -initialNotionalValue;
calculationPeriodsPrincipalExchangesAndStubs.InitialPrincipalExchange.principalExchangeAmountSpecified = true;
}
// intermediatory PE
//
foreach (PrincipalExchange intermediatoryExchange in calculationPeriodsPrincipalExchangesAndStubs.IntermediatePrincipalExchanges)
{
DateTime principleExchangeDate = intermediatoryExchange.adjustedPrincipalExchangeDate;
//value at the day before principle exchange day
//
decimal prevNotionalValue = ScheduleHelper.GetValue(notionalSchedule.notionalStepSchedule, principleExchangeDate.AddDays(-1));
//value at principle exchange day ..
//
decimal newNotionalValue = ScheduleHelper.GetValue(notionalSchedule.notionalStepSchedule, principleExchangeDate);
decimal principalExchangeAmount = prevNotionalValue - newNotionalValue;
intermediatoryExchange.principalExchangeAmount = principalExchangeAmount;
intermediatoryExchange.principalExchangeAmountSpecified = true;
}
// Final PE
//
if (null != calculationPeriodsPrincipalExchangesAndStubs.FinalPrincipalExchange)
{
// pay the rest ot the notional back
//
decimal newNotionalValue = ScheduleHelper.GetValue(notionalSchedule.notionalStepSchedule,
calculationPeriodsPrincipalExchangesAndStubs.FinalPrincipalExchange.adjustedPrincipalExchangeDate);
calculationPeriodsPrincipalExchangesAndStubs.FinalPrincipalExchange.principalExchangeAmount = newNotionalValue;
calculationPeriodsPrincipalExchangesAndStubs.FinalPrincipalExchange.principalExchangeAmountSpecified = true;
}
#endregion
// Process standard calculation periods
//
foreach (CalculationPeriod calculationPeriod in calculationPeriodsPrincipalExchangesAndStubs.CalculationPeriods)
{
UpdateCalculationPeriodData(calculation, calculationPeriod, notionalSchedule);
}
// Process stub calculation periods
//
if (null != interestRateStream.stubCalculationPeriodAmount)
{
if ((null == interestRateStream.stubCalculationPeriodAmount.initialStub) &&
(null == interestRateStream.stubCalculationPeriodAmount.finalStub))
{
throw new System.Exception(
"interestRateStream.stubCalculationPeriodAmount.initialStub && interestRateStream.stubCalculationPeriodAmount.finalStub are null");
}
StubValue initialStub = interestRateStream.stubCalculationPeriodAmount.initialStub;
StubValue finalStub = interestRateStream.stubCalculationPeriodAmount.finalStub;
if (null != calculationPeriodsPrincipalExchangesAndStubs.InitialStubCalculationPeriod && null != initialStub)
{
UpdateStubCalculationPeriodData(interestRateStream, calculationPeriodsPrincipalExchangesAndStubs.InitialStubCalculationPeriod, initialStub, notionalSchedule);
}
if (null != calculationPeriodsPrincipalExchangesAndStubs.FinalStubCalculationPeriod && null != finalStub)
{
UpdateStubCalculationPeriodData(interestRateStream, calculationPeriodsPrincipalExchangesAndStubs.FinalStubCalculationPeriod, finalStub, notionalSchedule);
}
}
else
{
foreach (CalculationPeriod calculationPeriod in new[] { calculationPeriodsPrincipalExchangesAndStubs.InitialStubCalculationPeriod, calculationPeriodsPrincipalExchangesAndStubs.FinalStubCalculationPeriod })
{
if (null != calculationPeriod)
{
UpdateCalculationPeriodData(calculation, calculationPeriod, notionalSchedule);
}
}
}
}
/// <summary>
/// Don't generate stubs?
/// </summary>
/// <param name="interestRateStream"></param>
/// <param name="rollDates">from #1st roll date to last roll date (last roll dates is effectively the end of the swap)</param>
/// <param name="paymentCalendar"></param>
/// <returns></returns>
public static CalculationPeriodsPrincipalExchangesAndStubs GenerateCalculationPeriodsPrincipalExchangesAndStubsFromRollDates(InterestRateStream interestRateStream,
List <DateTime> rollDates,
IBusinessCalendar paymentCalendar)
{
CalculationPeriodDates calculationPeriodDates = interestRateStream.calculationPeriodDates;
AdjustableDate adjustableEffectiveDate = XsdClassesFieldResolver.CalculationPeriodDatesGetEffectiveDate(calculationPeriodDates);
var result = new CalculationPeriodsPrincipalExchangesAndStubs();
for (int rollDateIndex = 0; rollDateIndex < rollDates.Count - 1; ++rollDateIndex)
{
DateTime startOfThePeriod = rollDates[rollDateIndex];
DateTime endOfThePeriod = rollDates[rollDateIndex + 1];
var calculationPeriod = new CalculationPeriod();
// Set adjusted period dates
//
CalculationPeriodHelper.SetAdjustedDates(calculationPeriod,
startOfThePeriod,
endOfThePeriod);
result.Add(calculationPeriod);
}
// Add principle exchanges if this need is defined in parametric representation of the interest rate steam.
//
if (null != interestRateStream.principalExchanges)
{
// Initial PE
//
if (interestRateStream.principalExchanges.initialExchange)
{
//if (paymentCalendar == null)
//{
// paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, adjustableEffectiveDate.dateAdjustments.businessCenters);
//}
PrincipalExchange initialExchange = PrincipalExchangeHelper.Create(AdjustedDateHelper.ToAdjustedDate(paymentCalendar, adjustableEffectiveDate));
result.InitialPrincipalExchange = initialExchange;
}
// intermediatory PE
//
if (interestRateStream.principalExchanges.intermediateExchange)
{
// Generate a list of intermediatory PE exchanges
//
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(interestRateStream.calculationPeriodAmount);
Notional notionalSchedule = XsdClassesFieldResolver.CalculationGetNotionalSchedule(calculation);
if (null != notionalSchedule.notionalStepSchedule.step)//there should be steps - otherwise NO interm. exchanges.
{
foreach (DateTime stepDate in ScheduleHelper.GetStepDates(notionalSchedule.notionalStepSchedule))
{
PrincipalExchange intermediatoryExchange = PrincipalExchangeHelper.Create(stepDate);
result.Add(intermediatoryExchange);
}
}
}
//AdjustableDate adjustableTerminationDate = XsdClassesFieldResolver.CalculationPeriodDates_GetTerminationDate(calculationPeriodDates);
DateTime lastRollDate = rollDates[rollDates.Count - 1];
// Final PE
//
if (interestRateStream.principalExchanges.finalExchange)
{
//PrincipalExchange finalExchange = PrincipalExchangeHelper.Create(DateTypesHelper.ToAdjustedDate(adjustableTerminationDate));
PrincipalExchange finalExchange = PrincipalExchangeHelper.Create(lastRollDate);
result.FinalPrincipalExchange = finalExchange;
}
}
return(result);
}
public static CalculationPeriodsPrincipalExchangesAndStubs GenerateCalculationPeriodsPrincipalExchangesAndStubs(
InterestRateStream interestRateStream, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar)
{
CalculationPeriodDates calculationPeriodDates = interestRateStream.calculationPeriodDates;
AdjustableDate adjustableEffectiveDate = XsdClassesFieldResolver.CalculationPeriodDatesGetEffectiveDate(calculationPeriodDates);
AdjustableDate adjustableTerminationDate = XsdClassesFieldResolver.CalculationPeriodDatesGetTerminationDate(calculationPeriodDates);
AdjustableDate adjustableFirstPeriodDate = adjustableEffectiveDate;
DateTime?firstRegularPeriodStartDate =
XsdClassesFieldResolver.CalculationPeriodDatesGetFirstRegularPeriodStartDate(calculationPeriodDates);
var tempDate = XsdClassesFieldResolver.CalculationPeriodDatesGetFirstPeriodStartDate(calculationPeriodDates);
if (tempDate != null && firstRegularPeriodStartDate != null)
{
adjustableFirstPeriodDate = tempDate;
Frequency frequency = calculationPeriodDates.calculationPeriodFrequency;
var startDate = CalculationPeriodGenerator.AddPeriod((DateTime)firstRegularPeriodStartDate, IntervalHelper.FromFrequency(frequency), -1);
adjustableFirstPeriodDate.unadjustedDate = IdentifiedDateHelper.Create(startDate);
}
DateTime?lastRegularPeriodEndDate =
XsdClassesFieldResolver.CalculationPeriodDatesGetLastRegularPeriodEndDate(calculationPeriodDates);
// This assumes automatic adjustment of calculationperiods.
CalculationPeriodsPrincipalExchangesAndStubs result = CalculationPeriodGenerator.GenerateAdjustedCalculationPeriods(
adjustableFirstPeriodDate.unadjustedDate.Value,
adjustableTerminationDate.unadjustedDate.Value,
firstRegularPeriodStartDate,
lastRegularPeriodEndDate,
calculationPeriodDates.calculationPeriodFrequency,
calculationPeriodDates.calculationPeriodDatesAdjustments,
paymentCalendar);
//Determine whether the reset dates must be calcuated.
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(interestRateStream.calculationPeriodAmount);
// Add principle exchanges if this need is defined in parametric representation of the interest rate steam.
//
if (null != interestRateStream.principalExchanges)
{
//if (paymentCalendar == null)
//{
// paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, adjustableEffectiveDate.dateAdjustments.businessCenters);
//}
// Initial PE
//
if (interestRateStream.principalExchanges.initialExchange)
{
PrincipalExchange initialExchange = PrincipalExchangeHelper.Create(AdjustedDateHelper.ToAdjustedDate(paymentCalendar, adjustableEffectiveDate));
result.InitialPrincipalExchange = initialExchange;
}
// intermediatory PE
//
if (interestRateStream.principalExchanges.intermediateExchange)
{
// Generate a list of intermediatory PE exchanges
//
Notional notionalSchedule = XsdClassesFieldResolver.CalculationGetNotionalSchedule(calculation);
if (null != notionalSchedule.notionalStepSchedule.step)//there should be steps - otherwise NO interm. exchanges.
{
foreach (DateTime stepDate in ScheduleHelper.GetStepDates(notionalSchedule.notionalStepSchedule))
{
PrincipalExchange intermediatoryExchange = PrincipalExchangeHelper.Create(stepDate);
result.Add(intermediatoryExchange);
}
}
}
// Final PE
// Assume the same calendar is used for the termination date as well!
if (interestRateStream.principalExchanges.finalExchange)
{
PrincipalExchange finalExchange = PrincipalExchangeHelper.Create(AdjustedDateHelper.ToAdjustedDate(paymentCalendar, adjustableTerminationDate));
result.FinalPrincipalExchange = finalExchange;
}
}
//Only does upfront resetRelativeTo start date.
if (interestRateStream.resetDates != null && calculation.Items[0].GetType() == typeof(FloatingRateCalculation))
{
//Get the fixing date convention.
var fixingDateConvention = interestRateStream.resetDates.resetDatesAdjustments;
//if (fixingCalendar == null)
//{
// fixingCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, fixingDateConvention.businessCenters);
//}
foreach (var calculationPeriod in result.CalculationPeriods)
{
if (calculationPeriod.adjustedStartDateSpecified)
{
//Set the adjusted fixing date.
var adjustedFixingDate = AdjustedDateHelper.ToAdjustedDate(fixingCalendar, calculationPeriod.adjustedStartDate,
fixingDateConvention);
var floatingRateDefinition = new FloatingRateDefinition();
var rateObservation = new RateObservation
{
observedRateSpecified = false,
adjustedFixingDateSpecified = true,
adjustedFixingDate = adjustedFixingDate
};
floatingRateDefinition.rateObservation = new[] { rateObservation };
calculationPeriod.Item1 = floatingRateDefinition;
}
}
//The initial stub period.
if (result.InitialStubCalculationPeriod != null)
{
if (result.InitialStubCalculationPeriod.adjustedStartDateSpecified)
{
//Set the adjusted fixing date.
var adjustedFixingDate = AdjustedDateHelper.ToAdjustedDate(fixingCalendar, result.InitialStubCalculationPeriod.adjustedStartDate,
fixingDateConvention);
var floatingRateDefinition = new FloatingRateDefinition();
var rateObservation = new RateObservation
{
observedRateSpecified = false,
adjustedFixingDateSpecified = true,
adjustedFixingDate = adjustedFixingDate
};
floatingRateDefinition.rateObservation = new[] { rateObservation };
result.InitialStubCalculationPeriod.Item1 = floatingRateDefinition;
}
}
//The final stub period
if (result.FinalStubCalculationPeriod != null)
{
if (result.FinalStubCalculationPeriod.adjustedStartDateSpecified)
{
//Set the adjusted fixing date.
var adjustedFixingDate = AdjustedDateHelper.ToAdjustedDate(fixingCalendar, result.FinalStubCalculationPeriod.adjustedStartDate,
fixingDateConvention);
var floatingRateDefinition = new FloatingRateDefinition();
var rateObservation = new RateObservation
{
observedRateSpecified = false,
adjustedFixingDateSpecified = true,
adjustedFixingDate = adjustedFixingDate
};
floatingRateDefinition.rateObservation = new[] { rateObservation };
result.FinalStubCalculationPeriod.Item1 = floatingRateDefinition;
}
}
}
return(result);
}
private static ReadOnlyCollection <DataEntity> CreateDataEntities()
{
DateTime today = DateTime.Today;
DateTime todayPlus3M = today.AddMonths(3);
DateTime todayPlus4Y = today.AddYears(4);
DateTime todayPlus10Y = today.AddYears(10);
Int32 tradeId = 0;
RegulationsInfo ri = RegulationsInfo.Of(Regulation.Cftc);
List <DataEntity> dataEntities = new List <DataEntity>
{
// Model - Sensitivities - Base Correlation
Sensitivity.BaseCorrelation("CDX HY", Amount.Of(Currency.Usd, 200000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.BaseCorrelation("CDX HY", Amount.Of(Currency.Usd, -300000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.BaseCorrelation("CDX IG", Amount.Of(Currency.Usd, 100000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.BaseCorrelation("iTraxx XO", Amount.Of(Currency.Usd, 450000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Delta - Commodity
Sensitivity.CommodityDelta("Coal Americas", BucketCommodity.Bucket1, Amount.Of(Currency.Usd, 3000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityDelta("Coal Europe", BucketCommodity.Bucket1, Amount.Of(Currency.Usd, -5000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityDelta("Middle Distillates America", BucketCommodity.Bucket3, Amount.Of(Currency.Usd, 15000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityDelta("Middle Distillates Europe", BucketCommodity.Bucket3, Amount.Of(Currency.Usd, -20000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityDelta("Middle Distillates Asia", BucketCommodity.Bucket3, Amount.Of(Currency.Usd, 32000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityDelta("NA Natural Gas Gulf Coast", BucketCommodity.Bucket6, Amount.Of(Currency.Usd, 6500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityDelta("NA Natural Gas West", BucketCommodity.Bucket6, Amount.Of(Currency.Usd, 4000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityDelta("Freight Wet", BucketCommodity.Bucket10, Amount.Of(Currency.Usd, 35000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityDelta("Freight Dry", BucketCommodity.Bucket10, Amount.Of(Currency.Usd, -10000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityDelta("Softs Coffee", BucketCommodity.Bucket14, Amount.Of(Currency.Usd, 2500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityDelta("Livestock Feeder Cattle", BucketCommodity.Bucket15, Amount.Of(Currency.Usd, -1200000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Delta - Credit Qualifying
Sensitivity.CreditQualifyingDelta("ISIN:US3949181045", BucketCreditQualifying.Bucket1, Tenor.Y2, false, Amount.Of(Currency.Usd, 100000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:US3949181045", BucketCreditQualifying.Bucket1, Tenor.Y5, false, Amount.Of(Currency.Usd, -1500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:US3949181045", BucketCreditQualifying.Bucket1, Tenor.Y3, false, Amount.Of(Currency.Usd, 1450000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:XS1061333921", BucketCreditQualifying.Bucket1, Tenor.Y10, false, Amount.Of(Currency.Usd, 400000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:CH0419041295", BucketCreditQualifying.Bucket4, Tenor.Y1, true, Amount.Of(Currency.Usd, -650000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:JP1718441K71", BucketCreditQualifying.Bucket4, Tenor.Y1, false, Amount.Of(Currency.Usd, 200000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:RU000A100H37", BucketCreditQualifying.Bucket7, Tenor.Y2, false, Amount.Of(Currency.Usd, -100000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:RU000A100H37", BucketCreditQualifying.Bucket7, Tenor.Y3, false, Amount.Of(Currency.Usd, 150000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:XS1886258598", BucketCreditQualifying.Bucket7, Tenor.Y1, false, Amount.Of(Currency.Usd, -120000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:XS1120672716", BucketCreditQualifying.Bucket7, Tenor.Y2, false, Amount.Of(Currency.Usd, 330000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:GB0702134646", BucketCreditQualifying.Bucket11, Tenor.Y2, false, Amount.Of(Currency.Usd, 1000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:GB0702134646", BucketCreditQualifying.Bucket11, Tenor.Y10, false, Amount.Of(Currency.Usd, -475000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:GB0702134646", BucketCreditQualifying.Bucket11, Tenor.Y3, false, Amount.Of(Currency.Usd, -500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:FR0003504418", BucketCreditQualifying.BucketResidual, Tenor.Y2, false, Amount.Of(Currency.Usd, 400000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingDelta("ISIN:XS2023221601", BucketCreditQualifying.BucketResidual, Tenor.Y10, false, Amount.Of(Currency.Usd, -300000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Delta - Credit Non-qualifying
Sensitivity.CreditNonQualifyingDelta("ISIN:US3949181045", BucketCreditNonQualifying.Bucket1, Tenor.Y3, Amount.Of(Currency.Usd, 300000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingDelta("ISIN:US3949181045", BucketCreditNonQualifying.Bucket1, Tenor.Y5, Amount.Of(Currency.Usd, 700000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingDelta("ISIN:XS1061333921", BucketCreditNonQualifying.Bucket1, Tenor.Y2, Amount.Of(Currency.Usd, -500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingDelta("ISIN:XS1980681200", BucketCreditNonQualifying.Bucket2, Tenor.Y1, Amount.Of(Currency.Usd, -220000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingDelta("ISIN:XS1980681200", BucketCreditNonQualifying.Bucket2, Tenor.Y10, Amount.Of(Currency.Usd, 200000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingDelta("ISIN:DE000HVB34J9", BucketCreditNonQualifying.Bucket2, Tenor.Y2, Amount.Of(Currency.Usd, 800000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingDelta("ISIN:FR0003507418", BucketCreditNonQualifying.BucketResidual, Tenor.Y5, Amount.Of(Currency.Usd, 300000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingDelta("ISIN:XS2023221601", BucketCreditNonQualifying.BucketResidual, Tenor.Y3, Amount.Of(Currency.Usd, -270000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Delta - Equity
Sensitivity.EquityDelta("ISIN:XS1980681200", BucketEquity.Bucket2, Amount.Of(Currency.Usd, 200000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("ISIN:DE000HVB34J9", BucketEquity.Bucket2, Amount.Of(Currency.Usd, 500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("ISIN:DE000TK0T291", BucketEquity.Bucket5, Amount.Of(Currency.Usd, -1000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("ISIN:DE000FF2AKA7", BucketEquity.Bucket5, Amount.Of(Currency.Usd, 3300000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("ISIN:XS1896686544", BucketEquity.Bucket5, Amount.Of(Currency.Usd, 500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("ISIN:BE5631439402", BucketEquity.Bucket9, Amount.Of(Currency.Usd, 100000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("ISIN:XS1006556794", BucketEquity.Bucket10, Amount.Of(Currency.Usd, 50000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("ISIN:GB02BALKJB79", BucketEquity.Bucket10, Amount.Of(Currency.Usd, -150000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("FTSE100", BucketEquity.Bucket11, Amount.Of(Currency.Usd, 600000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("S&P500", BucketEquity.Bucket11, Amount.Of(Currency.Usd, -450000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("ISIN:FR0003504418", BucketEquity.BucketResidual, Amount.Of(Currency.Usd, -75000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityDelta("ISIN:XS2023221601", BucketEquity.BucketResidual, Amount.Of(Currency.Usd, 56000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Delta - FX
Sensitivity.FxDelta(Currency.Eur, Amount.Of(Currency.Usd, 10000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.FxDelta(Currency.Eur, Amount.Of(Currency.Usd, -10000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.FxDelta(Currency.Nok, Amount.Of(Currency.Usd, 200000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.FxDelta(Currency.Mru, Amount.Of(Currency.Usd, 60000000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Delta - Rates - Cross-currency Basis
Sensitivity.CrossCurrencyBasis(Currency.Gbp, Amount.Of(Currency.Usd, -15000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CrossCurrencyBasis(Currency.Usd, Amount.Of(Currency.Usd, 10000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CrossCurrencyBasis(Currency.Usd, Amount.Of(Currency.Usd, 10000000m), ri, CreateTradeInfoModel(++tradeId)),
// Sensitivities - Delta - Rates - Inflation
Sensitivity.InflationDelta(Currency.Cad, Amount.Of(Currency.Usd, 3000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InflationDelta(Currency.Gbp, Amount.Of(Currency.Usd, -10000000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Delta - Rates - Interest Rate
Sensitivity.InterestRateDelta(Currency.Gbp, Tenor.Y5, Curve.Libor6M, Amount.Of(Currency.Usd, -5000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InterestRateDelta(Currency.Gbp, Tenor.M6, Curve.Ois, Amount.Of(Currency.Usd, 20000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InterestRateDelta(Currency.Gbp, Tenor.Y2, Curve.Ois, Amount.Of(Currency.Usd, 30000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InterestRateDelta(Currency.Jpy, Tenor.Y10, Curve.Libor3M, Amount.Of(Currency.Usd, 9000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InterestRateDelta(Currency.Jpy, Tenor.Y20, Curve.Libor3M, Amount.Of(Currency.Usd, 1000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InterestRateDelta(Currency.Inr, Tenor.W2, Curve.Ois, Amount.Of(Currency.Usd, -2000000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Vega - Commodity
Sensitivity.CommodityVega("Precious Metals Silver", BucketCommodity.Bucket12, Tenor.W2, Amount.Of(Currency.Usd, 3500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityVega("Precious Metals Silver", BucketCommodity.Bucket12, Tenor.Y5, Amount.Of(Currency.Usd, -3200000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityVega("Precious Metals Gold", BucketCommodity.Bucket12, Tenor.M6, Amount.Of(Currency.Usd, 1500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityVega("EU Power Germany", BucketCommodity.Bucket9, Tenor.Y1, Amount.Of(Currency.Usd, 1000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityVega("EU Power Germany", BucketCommodity.Bucket9, Tenor.W2, Amount.Of(Currency.Usd, 4500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CommodityVega("Crude Oil Americas", BucketCommodity.Bucket2, Tenor.Y15, Amount.Of(Currency.Usd, -1500000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Vega - Credit Qualifying
Sensitivity.CreditQualifyingVega("EU.HY", BucketCreditQualifying.BucketResidual, Tenor.Y5, Amount.Of(Currency.Usd, -4000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingVega("EU.IG", BucketCreditQualifying.BucketResidual, Tenor.Y1, Amount.Of(Currency.Usd, 1500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingVega("EU.IG", BucketCreditQualifying.Bucket2, Tenor.Y2, Amount.Of(Currency.Usd, 3000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingVega("EU.IG", BucketCreditQualifying.Bucket2, Tenor.Y2, Amount.Of(Currency.Usd, -2000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditQualifyingVega("US.HY", BucketCreditQualifying.Bucket7, Tenor.Y10, Amount.Of(Currency.Usd, 3500000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Vega - Credit Non-qualifying
Sensitivity.CreditNonQualifyingVega("EU.HY", BucketCreditNonQualifying.BucketResidual, Tenor.Y3, Amount.Of(Currency.Usd, 1200000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingVega("EU.IG", BucketCreditNonQualifying.Bucket1, Tenor.Y2, Amount.Of(Currency.Usd, -2300000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingVega("EU.IG", BucketCreditNonQualifying.BucketResidual, Tenor.Y3, Amount.Of(Currency.Usd, 4000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingVega("EU.IG", BucketCreditNonQualifying.BucketResidual, Tenor.Y1, Amount.Of(Currency.Usd, -3500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.CreditNonQualifyingVega("US.HY", BucketCreditNonQualifying.BucketResidual, Tenor.Y10, Amount.Of(Currency.Usd, -2600000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Vega - Equity
Sensitivity.EquityVega("ISIN:US3949181045", BucketEquity.Bucket1, Tenor.Y5, Amount.Of(Currency.Usd, 2000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityVega("ISIN:US3949181045", BucketEquity.Bucket1, Tenor.Y2, Amount.Of(Currency.Usd, -1800000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityVega("ISIN:US3949181045", BucketEquity.Bucket1, Tenor.W2, Amount.Of(Currency.Usd, 6000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityVega("ISIN:CH0419041295", BucketEquity.Bucket4, Tenor.Y3, Amount.Of(Currency.Usd, 5000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityVega("ISIN:DE000HVB34J9", BucketEquity.Bucket4, Tenor.Y10, Amount.Of(Currency.Usd, -4500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityVega("ISIN:RU000A100H37", BucketEquity.Bucket7, Tenor.Y20, Amount.Of(Currency.Usd, -2700000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityVega("VIX", BucketEquity.Bucket12, Tenor.Y15, Amount.Of(Currency.Usd, -1500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityVega("ISIN:FR0003504418", BucketEquity.BucketResidual, Tenor.M6, Amount.Of(Currency.Usd, 3000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityVega("ISIN:FR0003504418", BucketEquity.BucketResidual, Tenor.M1, Amount.Of(Currency.Usd, -3200000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.EquityVega("ISIN:XS2023221601", BucketEquity.BucketResidual, Tenor.M3, Amount.Of(Currency.Usd, 4400000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Vega - FX
Sensitivity.FxVega(CurrencyPair.Of(Currency.Usd, Currency.Eur), Tenor.M6, Amount.Of(Currency.Usd, 2500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.FxVega(CurrencyPair.Of(Currency.Eur, Currency.Usd), Tenor.Y3, Amount.Of(Currency.Usd, 8500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.FxVega(CurrencyPair.Of(Currency.Usd, Currency.Eur), Tenor.Y20, Amount.Of(Currency.Usd, -10000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.FxVega(CurrencyPair.Of(Currency.Brl, Currency.Cny), Tenor.Y2, Amount.Of(Currency.Usd, 6500000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.FxVega(CurrencyPair.Of(Currency.Jpy, Currency.Sgd), Tenor.M6, Amount.Of(Currency.Usd, -2500000m), ri, CreateTradeInfoModel(++tradeId)),
// Sensitivities - Delta - Vega - Inflation
Sensitivity.InflationVega(Currency.Eur, Tenor.Y5, Amount.Of(Currency.Usd, 15000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InflationVega(Currency.Eur, Tenor.Y15, Amount.Of(Currency.Usd, -50000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InflationVega(Currency.Usd, Tenor.Y20, Amount.Of(Currency.Usd, 100000000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Sensitivities - Vega - Rates - Interest Rate
Sensitivity.InterestRateVega(Currency.Usd, Tenor.M3, Amount.Of(Currency.Usd, 20000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InterestRateVega(Currency.Usd, Tenor.Y1, Amount.Of(Currency.Usd, -30000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InterestRateVega(Currency.Aud, Tenor.W2, Amount.Of(Currency.Usd, -13000000m), ri, CreateTradeInfoModel(++tradeId)),
Sensitivity.InterestRateVega(Currency.Aud, Tenor.Y2, Amount.Of(Currency.Usd, -2500000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Add-on - Fixed Amounts
AddOnFixedAmount.Of(Amount.Of(Currency.Usd, 1650000m), ri),
AddOnFixedAmount.Of(Amount.Of(Currency.Usd, 2000000m), ri),
// Model - Add-on - Notionals
AddOnNotional.Of("FlexiCallOption", Amount.Of(Currency.Usd, 1000000m), ri, CreateTradeInfoModel(++tradeId)),
AddOnNotional.Of("FlexiCallOption", Amount.Of(Currency.Usd, -2000000m), ri, CreateTradeInfoModel(++tradeId)),
AddOnNotional.Of("FlexiCallOption", Amount.Of(Currency.Usd, 1500000m), ri, CreateTradeInfoModel(++tradeId)),
AddOnNotional.Of("FlexiPutOption", Amount.Of(Currency.Usd, -800000m), ri, CreateTradeInfoModel(++tradeId)),
AddOnNotional.Of("FlexiPutOption", Amount.Of(Currency.Usd, -2200000m), ri, CreateTradeInfoModel(++tradeId)),
// Model - Add-on - Notional Factors
AddOnNotionalFactor.Of("FlexiCallOption", 0.06105m, ri),
AddOnNotionalFactor.Of("FlexiPutOption", 0.02055m, ri),
// Model - Add-on - Product Multipliers
AddOnProductMultiplier.Of(Model.Product.Commodity, 0.075m, ri),
AddOnProductMultiplier.Of(Model.Product.Credit, 0.11m, ri),
AddOnProductMultiplier.Of(Model.Product.Equity, 0.015m, ri),
AddOnProductMultiplier.Of(Model.Product.RatesFx, 0.205m, ri),
// Schedule - Notionals
Notional.Of(Schedule.Product.Commodity, Amount.Of(Currency.Cad, 1850000m), ri, CreateTradeInfoSchedule(1, todayPlus3M)),
Notional.Of(Schedule.Product.Credit, Amount.Of(Currency.Usd, 2300000m), ri, CreateTradeInfoSchedule(2, todayPlus3M)),
Notional.Of(Schedule.Product.Credit, Amount.Of(Currency.Usd, -900000m), ri, CreateTradeInfoSchedule(3, todayPlus10Y)),
Notional.Of(Schedule.Product.Fx, Amount.Of(Currency.Usd, -5200000m), ri, CreateTradeInfoSchedule(4, todayPlus3M)),
Notional.Of(Schedule.Product.Equity, Amount.Of(Currency.Usd, 1200000m), ri, CreateTradeInfoSchedule(5, todayPlus4Y)),
Notional.Of(Schedule.Product.Rates, Amount.Of(Currency.Usd, 3700000m), ri, CreateTradeInfoSchedule(6, todayPlus3M)),
Notional.Of(Schedule.Product.Rates, Amount.Of(Currency.Usd, -2000000m), ri, CreateTradeInfoSchedule(7, todayPlus4Y)),
Notional.Of(Schedule.Product.Rates, Amount.Of(Currency.Gbp, -1750000m), ri, CreateTradeInfoSchedule(8, todayPlus10Y)),
Notional.Of(Schedule.Product.Rates, Amount.Of(Currency.Eur, 1620000m), ri, CreateTradeInfoSchedule(8, todayPlus10Y)),
Notional.Of(Schedule.Product.Other, Amount.Of(Currency.Usd, -120000m), ri, CreateTradeInfoSchedule(9, todayPlus3M)),
Notional.Of(Schedule.Product.Other, Amount.Of(Currency.Usd, 2140000m), ri, CreateTradeInfoSchedule(9, todayPlus3M)),
Notional.Of(Schedule.Product.Other, Amount.Of(Currency.Usd, 4350000m), ri, CreateTradeInfoSchedule(10, todayPlus4Y)),
Notional.Of(Schedule.Product.Other, Amount.Of(Currency.Usd, 4100000m), ri, CreateTradeInfoSchedule(11, todayPlus10Y)),
Notional.Of(Schedule.Product.Other, Amount.Of(Currency.Usd, -5120000m), ri, CreateTradeInfoSchedule(11, todayPlus10Y)),
// Schedule - Present Values
PresentValue.Of(Schedule.Product.Commodity, Amount.Of(Currency.Usd, 490000m), ri, CreateTradeInfoSchedule(1, todayPlus3M)),
PresentValue.Of(Schedule.Product.Credit, Amount.Of(Currency.Usd, -60000m), ri, CreateTradeInfoSchedule(2, todayPlus3M)),
PresentValue.Of(Schedule.Product.Credit, Amount.Of(Currency.Usd, 610000m), ri, CreateTradeInfoSchedule(3, todayPlus10Y)),
PresentValue.Of(Schedule.Product.Fx, Amount.Of(Currency.Usd, 320000m), ri, CreateTradeInfoSchedule(4, todayPlus3M)),
PresentValue.Of(Schedule.Product.Equity, Amount.Of(Currency.Usd, -230000m), ri, CreateTradeInfoSchedule(5, todayPlus4Y)),
PresentValue.Of(Schedule.Product.Rates, Amount.Of(Currency.Usd, 1850000m), ri, CreateTradeInfoSchedule(6, todayPlus3M)),
PresentValue.Of(Schedule.Product.Rates, Amount.Of(Currency.Usd, -450000m), ri, CreateTradeInfoSchedule(7, todayPlus4Y)),
PresentValue.Of(Schedule.Product.Rates, Amount.Of(Currency.Gbp, -170000m), ri, CreateTradeInfoSchedule(8, todayPlus10Y)),
PresentValue.Of(Schedule.Product.Rates, Amount.Of(Currency.Eur, 260000m), ri, CreateTradeInfoSchedule(8, todayPlus10Y)),
PresentValue.Of(Schedule.Product.Other, Amount.Of(Currency.Usd, -60000m), ri, CreateTradeInfoSchedule(9, todayPlus3M)),
PresentValue.Of(Schedule.Product.Other, Amount.Of(Currency.Usd, -240000m), ri, CreateTradeInfoSchedule(11, todayPlus10Y)),
};
return(dataEntities.AsReadOnly());
}