/// <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); }
/// <summary> /// Builds this instance. /// </summary> /// <returns></returns> public Payment Build() { var px = PaymentHelper.Create(PayerPartyReference.href, ReceiverPartyReference.href, PaymentAmount.currency.Value, Math.Abs(PaymentAmount.amount), PaymentDate); px.id = Id; //px.paymentAmount = PaymentAmount;//this is the raw amount without the multiplier effect. px.paymentDate = AdjustableOrAdjustedDateHelper.CreateAdjustedDate(AdjustedPaymentDate.Value, PaymentDateAdjustments); if (CalculationPerformedIndicator) { var payment = Math.Abs(ForecastAmount.amount); px.paymentAmount = MoneyHelper.GetNonNegativeAmount(payment, ForecastAmount.currency.Value); var npv = Math.Abs(NPV.amount); var money = MoneyHelper.GetAmount(npv, PaymentAmount.currency.Value); px.discountFactor = PaymentDiscountFactor; px.discountFactorSpecified = true; px.presentValueAmount = money; } return(px); }
/// <summary> /// /// </summary> /// <param name="logger"></param> /// <param name="cache"></param> /// <param name="nameSpace"></param> /// <param name="tradeDate"></param> /// <param name="effectiveDate"></param> /// <param name="referenceEquity"></param> /// <param name="settlementCalendar"></param> /// <param name="equityFpML"></param> /// <param name="basePartyReference"></param> /// <param name="forecastRateInterpolation"></param> public EquityTransactionPricer(ILogger logger, ICoreCache cache, string nameSpace, DateTime tradeDate, DateTime effectiveDate, String referenceEquity, IBusinessCalendar settlementCalendar, EquityTransaction equityFpML, string basePartyReference, Boolean forecastRateInterpolation) { logger.LogInfo("EquityType set. Commence to build a equity transaction."); if (equityFpML == null) { return; } SettlementDate = effectiveDate; TradeDate = tradeDate; Multiplier = 1.0m; BuyerReference = equityFpML.buyerPartyReference.href; PaymentCurrencies = new List <string> { equityFpML.unitPrice.currency.Value }; SellerReference = equityFpML.sellerPartyReference.href; BasePartyBuyer = basePartyReference == equityFpML.buyerPartyReference.href; ForecastRateInterpolation = forecastRateInterpolation; SettlementCalendar = settlementCalendar; ReferenceEquity = referenceEquity; NumberOfShares = Convert.ToInt16(equityFpML.numberOfUnits); PurchasePrice = MoneyHelper.GetAmount(equityFpML.unitPrice.amount, equityFpML.unitPrice.currency.Value); PaymentCurrencies = new List <string> { equityFpML.unitPrice.currency.Value }; var exchangeMIC = equityFpML.equity.exchangeId; var exchangeMICData = InstrumentDataHelper.CreateEquityExchangeKey(nameSpace, exchangeMIC.Value); var exchangeData = cache.LoadItem <ExchangeConfigData>(exchangeMICData); if (exchangeData?.Data is ExchangeConfigData) { var exchange = (ExchangeConfigData)exchangeData.Data; var equityTypeInfo = new EquityNodeStruct { SettlementDate = exchange.SettlementDate }; if (equityFpML.equity != null) { if (SettlementCalendar == null) { SettlementCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, equityTypeInfo.SettlementDate .businessCenters, nameSpace); } if (PaymentCalendar == null) { PaymentCalendar = SettlementCalendar; } var equity = XmlSerializerHelper.Clone(equityFpML.equity); EquityTypeInfo = XmlSerializerHelper.Clone(equityTypeInfo); EquityTypeInfo.Equity = equity;; RiskMaturityDate = SettlementDate; MaturityDate = SettlementDate; if (!PaymentCurrencies.Contains(equityFpML.equity.currency.Value)) { PaymentCurrencies.Add(equityFpML.equity.currency.Value); } logger.LogInfo("Equity transaction has been successfully created."); } } else { logger.LogInfo("Equity type data not available."); } //Add payments like the settlement price if (PurchasePrice == null || !PurchasePrice.amountSpecified) { return; } var amount = PurchasePrice.amount * NumberOfShares; var settlementPayment = PaymentHelper.Create("EquitySettlemetAmount", BuyerReference, SellerReference, amount, SettlementDate); AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, new[] { settlementPayment }, PaymentCalendar); if (!PaymentCurrencies.Contains(settlementPayment.paymentAmount.currency.Value)) { PaymentCurrencies.Add(settlementPayment.paymentAmount.currency.Value); } }
public FutureTransactionPricer(ILogger logger, ICoreCache cache, string nameSpace, DateTime tradeDate, ExchangeContractTypeEnum futuresType, IBusinessCalendar settlementCalendar, FutureTransaction futureFpML, string basePartyReference, Boolean forecastRateInterpolation) { logger.LogInfo("FuturesType set. Commence to build a future transaction."); if (futureFpML == null) { return; } Multiplier = 1.0m; BuyerReference = futureFpML.buyerPartyReference.href; PaymentCurrencies = new List <string> { futureFpML.unitPrice.currency.Value }; SellerReference = futureFpML.sellerPartyReference.href; BasePartyBuyer = basePartyReference == futureFpML.buyerPartyReference.href; if (!BasePartyBuyer) { Multiplier = -1.0m; } ForecastRateInterpolation = forecastRateInterpolation; SettlementCalendar = settlementCalendar; FuturesType = futuresType; ReferenceContract = futureFpML.future.id; var futuresCode = ReferenceContract.Split('-')[2]; NumberOfContracts = Convert.ToInt16(futureFpML.numberOfUnits); PurchasePrice = MoneyHelper.GetAmount(futureFpML.unitPrice.amount, futureFpML.unitPrice.currency.Value); var exchangeMIC = futureFpML.future.exchangeId; FuturesCurveName = CurveNameHelpers.GetExchangeTradedCurveName(futureFpML.unitPrice.currency.Value, exchangeMIC.Value, futuresCode); DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(futureFpML.unitPrice.currency, true); FuturesTypeInfo = new FutureNodeStruct(); var exchangeMICData = InstrumentDataHelper.CreateEquityExchangeKey(nameSpace, exchangeMIC.Value); var exchangeData = cache.LoadItem <ExchangeConfigData>(exchangeMICData); if (exchangeData?.Data is ExchangeConfigData) { Exchange = (ExchangeConfigData)exchangeData.Data; FuturesTypeInfo.SpotDate = Exchange.SettlementDate; } if (futureFpML.future != null) { if (SettlementCalendar == null) { SettlementCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, FuturesTypeInfo.SpotDate .businessCenters, nameSpace); } var future = XmlSerializerHelper.Clone(futureFpML.future); FuturesTypeInfo.Future = future; if (FuturesTypeInfo.SpotDate != null) { SettlementDate = GetSettlementDate(tradeDate, SettlementCalendar, FuturesTypeInfo.SpotDate); } //Instantiate the priceable future. NamedValueSet namedValueSet = PriceableAssetFactory.BuildPropertiesForAssets(nameSpace, FuturesTypeInfo.Future.id, tradeDate); var asset = AssetHelper.Parse(FuturesTypeInfo.Future.id, 0.0m, 0.0m); UnderlyingFuture = PriceableAssetFactory.Create(logger, cache, nameSpace, asset.Second, namedValueSet, null, null) as IPriceableFuturesAssetController; if (UnderlyingFuture != null) { RiskMaturityDate = UnderlyingFuture.GetRiskMaturityDate(); MaturityDate = RiskMaturityDate; LastTradeDate = UnderlyingFuture.LastTradeDate; } if (!PaymentCurrencies.Contains(futureFpML.future.currency.Value)) { PaymentCurrencies.Add(futureFpML.future.currency.Value); } logger.LogInfo("Futures transaction has been successfully created."); } else { logger.LogInfo("Futures type data not available."); } //Add payments like the settlement price if (!PurchasePrice.amountSpecified) { return; } var amount = PurchasePrice.amount * NumberOfContracts / 100; var settlementPayment = PaymentHelper.Create("FuturesSettlemetAmount", BuyerReference, SellerReference, amount, SettlementDate); AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, new[] { settlementPayment }, SettlementCalendar); if (!PaymentCurrencies.Contains(settlementPayment.paymentAmount.currency.Value)) { PaymentCurrencies.Add(settlementPayment.paymentAmount.currency.Value); } }
/// <summary> /// /// </summary> /// <param name="logger"></param> /// <param name="cache"></param> /// <param name="nameSpace"></param> /// <param name="tradeDate"></param> /// <param name="settlementDate">The payment settlement date.</param> /// <param name="settlementCalendar"></param> /// <param name="paymentCalendar"></param> /// <param name="bondFpML"></param> /// <param name="basePartyReference"></param> /// <param name="bondType"></param> /// <param name="forecastRateInterpolation"></param> public BondTransactionPricer(ILogger logger, ICoreCache cache, string nameSpace, DateTime tradeDate, DateTime settlementDate, IBusinessCalendar settlementCalendar, IBusinessCalendar paymentCalendar, BondTransaction bondFpML, string basePartyReference, string bondType, Boolean forecastRateInterpolation) { Multiplier = 1.0m; TradeDate = tradeDate; BondType = EnumHelper.Parse <BondTypesEnum>(bondType); logger.LogInfo("BondType set. Commence to build a bond transaction."); if (bondFpML == null) { return; } BuyerReference = bondFpML.buyerPartyReference.href; PaymentCurrencies = new List <string> { bondFpML.notionalAmount.currency.Value }; SellerReference = bondFpML.sellerPartyReference.href; BasePartyBuyer = basePartyReference == bondFpML.buyerPartyReference.href; if (!BasePartyBuyer) { Multiplier = -1.0m; } ForecastRateInterpolation = forecastRateInterpolation; SettlementCalendar = settlementCalendar; PaymentCalendar = paymentCalendar; //Set the bond price information BondPrice = new BondPrice(); if (bondFpML.price.accrualsSpecified) { BondPrice.accrualsSpecified = true; BondPrice.accruals = bondFpML.price.accruals; } if (bondFpML.price.dirtyPriceSpecified) { BondPrice.dirtyPriceSpecified = true; BondPrice.dirtyPrice = bondFpML.price.dirtyPrice; } BondPrice.cleanOfAccruedInterest = bondFpML.price.cleanOfAccruedInterest; BondPrice.cleanPrice = bondFpML.price.cleanPrice; //Set the notional information NotionalAmount = MoneyHelper.GetAmount(bondFpML.notionalAmount.amount, bondFpML.notionalAmount.currency.Value); //Determines the quotation and units QuoteType = BondPriceEnum.YieldToMaturity; //We need to get the ytm in until there is a bond market price/spread. if (BondPrice.dirtyPriceSpecified) { QuoteType = BondPriceEnum.DirtyPrice; Quote = BasicQuotationHelper.Create(BondPrice.dirtyPrice, RateQuotationType); } //Get the insturment configuration information. var assetIdentifier = bondFpML.bond.currency.Value + "-Bond-" + BondType; BondNodeStruct bondTypeInfo = null; var instrument = InstrumentDataHelper.GetInstrumentConfigurationData(cache, nameSpace, assetIdentifier); if (instrument != null) { bondTypeInfo = instrument.InstrumentNodeItem as BondNodeStruct; } if (bondFpML.bond != null && bondTypeInfo != null) { if (SettlementCalendar == null) { SettlementCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, bondTypeInfo.SettlementDate.businessCenters, nameSpace); } if (PaymentCalendar == null) { PaymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, bondTypeInfo.BusinessDayAdjustments.businessCenters, nameSpace); } //Preprocesses the data for the priceableasset. var bond = XmlSerializerHelper.Clone(bondFpML.bond); BondTypeInfo = XmlSerializerHelper.Clone(bondTypeInfo); BondTypeInfo.Bond = bond; //This is done because the config data is not stored in the ciorrect way. Need to add a price quote units. if (bond.couponRateSpecified) { var coupon = bond.couponRate; BondTypeInfo.Bond.couponRate = coupon; } BondTypeInfo.Bond.faceAmount = NotionalAmount.amount; if (BondTypeInfo.Bond.maturitySpecified) { RiskMaturityDate = BondTypeInfo.Bond.maturity; } SettlementDate = settlementDate; if (!PaymentCurrencies.Contains(bondFpML.bond.currency.Value)) { PaymentCurrencies.Add(bondFpML.bond.currency.Value); } logger.LogInfo("Bond transaction has been successfully created."); } else { logger.LogInfo("Bond type data not available."); } //Add payments like the settlement price if (!BondPrice.dirtyPriceSpecified) { return; } var amount = BondPrice.dirtyPrice * NotionalAmount.amount / 100; var settlementPayment = PaymentHelper.Create("BondSettlemetAmount", BuyerReference, SellerReference, amount, SettlementDate); AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, new[] { settlementPayment }, SettlementCalendar); if (!PaymentCurrencies.Contains(settlementPayment.paymentAmount.currency.Value)) { PaymentCurrencies.Add(settlementPayment.paymentAmount.currency.Value); } }
/// <summary> /// /// </summary> /// <param name="logger"></param> /// <param name="cache"></param> /// <param name="nameSpace"></param> /// <param name="tradeDate"></param> /// <param name="settlementDate">The payment settlement date.</param> /// <param name="settlementCalendar"></param> /// <param name="paymentCalendar"></param> /// <param name="bondFpML"></param> /// <param name="basePartyReference"></param> /// <param name="bondType"></param> /// <param name="forecastRateInterpolation"></param> public BondTransactionPricer(ILogger logger, ICoreCache cache, string nameSpace, DateTime tradeDate, DateTime settlementDate, IBusinessCalendar settlementCalendar, IBusinessCalendar paymentCalendar, BondTransaction bondFpML, string basePartyReference, string bondType, bool forecastRateInterpolation) { Multiplier = 1.0m; TradeDate = tradeDate; BondType = EnumHelper.Parse <BondTypesEnum>(bondType); logger.LogInfo("BondType set. Commence to build a bond transaction."); if (bondFpML == null) { return; } BuyerReference = bondFpML.buyerPartyReference.href; PaymentCurrencies = new List <string> { bondFpML.notionalAmount.currency.Value }; SellerReference = bondFpML.sellerPartyReference.href; BasePartyBuyer = basePartyReference == bondFpML.buyerPartyReference.href; if (!BasePartyBuyer) { Multiplier = -1.0m; } ForecastRateInterpolation = forecastRateInterpolation; SettlementCalendar = settlementCalendar; PaymentCalendar = paymentCalendar; //Set the bond price information BondPrice = new BondPrice(); if (bondFpML.price.accrualsSpecified) { BondPrice.accrualsSpecified = true; BondPrice.accruals = bondFpML.price.accruals; } if (bondFpML.price.dirtyPriceSpecified) { BondPrice.dirtyPriceSpecified = true; BondPrice.dirtyPrice = bondFpML.price.dirtyPrice; } BondPrice.cleanOfAccruedInterest = bondFpML.price.cleanOfAccruedInterest; BondPrice.cleanPrice = bondFpML.price.cleanPrice; //Set the currencies CouponCurrency = bondFpML.notionalAmount.currency; PaymentCurrency = bondFpML.notionalAmount.currency;//This could be another currency! //Set the notional information NotionalAmount = MoneyHelper.GetAmount(bondFpML.notionalAmount.amount, bondFpML.notionalAmount.currency.Value); //Determines the quotation and units QuoteType = BondPriceEnum.YieldToMaturity; //We need to get the ytm in until there is a bond market price/spread. if (BondPrice.dirtyPriceSpecified) { QuoteType = BondPriceEnum.DirtyPrice; Quote = BasicQuotationHelper.Create(BondPrice.dirtyPrice, RateQuotationType); } //Get the instrument configuration information. var assetIdentifier = bondFpML.bond.currency.Value + "-Bond-" + BondType; BondNodeStruct bondTypeInfo = null; //TODO Set the swap curves for asset swap valuation. // //Gets the template bond type var instrument = InstrumentDataHelper.GetInstrumentConfigurationData(cache, nameSpace, assetIdentifier); if (instrument != null) { bondTypeInfo = instrument.InstrumentNodeItem as BondNodeStruct; } if (bondFpML.bond != null && bondTypeInfo != null) { if (SettlementCalendar == null) { SettlementCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, bondTypeInfo.SettlementDate.businessCenters, nameSpace); } if (PaymentCalendar == null) { PaymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, bondTypeInfo.BusinessDayAdjustments.businessCenters, nameSpace); } //Pre-processes the data for the priceable asset. var bond = XmlSerializerHelper.Clone(bondFpML.bond); Bond = bond; bondTypeInfo.Bond = Bond; //Set the curves to use for valuations. BondCurveName = CurveNameHelpers.GetBondCurveName(Bond.currency.Value, Bond.id); //THe discount curve is only for credit calculations. DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Bond.currency.Value, true); if (bond.maturitySpecified) { MaturityDate = bond.maturity; } SettlementDateConvention = bondTypeInfo.SettlementDate; BusinessDayAdjustments = bondTypeInfo.BusinessDayAdjustments; ExDivDateConvention = bondTypeInfo.ExDivDate; //This is done because the config data is not stored in the correct way. Need to add a price quote units. if (bond.couponRateSpecified) { var coupon = bond.couponRate; Bond.couponRate = coupon; } bondTypeInfo.Bond.faceAmount = NotionalAmount.amount; bondTypeInfo.Bond.faceAmountSpecified = true; Bond.faceAmount = NotionalAmount.amount; if (Bond.maturitySpecified) { RiskMaturityDate = Bond.maturity; } SettlementDate = settlementDate; if (!PaymentCurrencies.Contains(bondFpML.bond.currency.Value)) { PaymentCurrencies.Add(bondFpML.bond.currency.Value); } logger.LogInfo("Bond transaction has been successfully created."); } else { logger.LogInfo("Bond type data not available."); } //Set the underlying bond UnderlyingBond = new PriceableSimpleBond(tradeDate, bondTypeInfo, SettlementCalendar, PaymentCalendar, Quote, QuoteType); BondIssuer = UnderlyingBond.Issuer; if (BondPrice.dirtyPriceSpecified) { UnderlyingBond.PurchasePrice = BondPrice.dirtyPrice / 100; //PriceQuoteUnits } //Set the coupons var bondId = Bond.id;//Could use one of the instrumentIds //bondStream is an interest Rate Stream but needs to be converted to a bond stream. //It automatically contains the coupon currency. Coupons = new PriceableBondCouponRateStream(logger, cache, nameSpace, bondId, tradeDate, bondFpML.notionalAmount.amount, CouponStreamType.GenericFixedRate, Bond, BusinessDayAdjustments, ForecastRateInterpolation, null, PaymentCalendar); //Add payments like the settlement price if (!BondPrice.dirtyPriceSpecified) { return; } var amount = BondPrice.dirtyPrice * NotionalAmount.amount / 100; var settlementPayment = PaymentHelper.Create(BuyerReference, SellerReference, PaymentCurrency.Value, amount, SettlementDate); AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, new[] { settlementPayment }, SettlementCalendar); // var finalPayment = PaymentHelper.Create(BondIssuer, BuyerReference, CouponCurrency.Value, NotionalAmount.amount, RiskMaturityDate); FinalRedemption = PriceableInstrumentsFactory.CreatePriceablePayment(basePartyReference, finalPayment, PaymentCalendar); AdditionalPayments.Add(FinalRedemption); if (!PaymentCurrencies.Contains(settlementPayment.paymentAmount.currency.Value)) { PaymentCurrencies.Add(settlementPayment.paymentAmount.currency.Value); } }