/// <summary>
/// Initializes a new instance of the <see cref="RateBasisCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="referenceCurveData">The market data. This must contain both the underlying base curve and the spread curve.
/// Otherwise the RateBasisInterpolator can not instantiate.</param>
/// <param name="derivedCurveData">The spread Curve Data</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public ClearedRateCurve(ILogger logger, ICoreCache cache, String nameSpace,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> referenceCurveData,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> derivedCurveData, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(derivedCurveData.Third, GenerateHolder(logger, cache, nameSpace, derivedCurveData.Third))
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, derivedCurveData.Third);
var curveId = GetRateCurveId();
//Set the identifier.
var nvs = derivedCurveData.Third;
var pricingStructureId = GetRateCurveId();
var refCurveId = PropertyHelper.ExtractReferenceCurveUniqueId(nvs);
ReferenceDiscountingCurveId = refCurveId != null ? new Identifier(refCurveId) : ReferenceDiscountingCurveId = null;
if (pricingStructureId.PricingStructureType != PricingStructureTypeEnum.ClearedRateCurve)
{
return;
}
//Set the reference curve
var baseCurveFpml = new Pair <PricingStructure, PricingStructureValuation>(referenceCurveData.First, referenceCurveData.Second);
var baseCurveProps = referenceCurveData.Third;
BaseDiscountingCurve = (IRateCurve)PricingStructureFactory.Create(logger, cache, nameSpace, fixingCalendar, rollCalendar, baseCurveFpml, baseCurveProps);
//Get the spread Data
var spreadCurveFpml = new Pair <PricingStructure, PricingStructureValuation>(derivedCurveData.First, derivedCurveData.Second);
//Override properties.
//var optimize = PropertyHelper.ExtractOptimizeBuildFlag(properties);
var bootstrap = PropertyHelper.ExtractBootStrapOverrideFlag(nvs);
var tempFpml = (YieldCurveValuation)spreadCurveFpml.Second;
var spreadAssets = tempFpml.inputs;
//This is to catch it when there are no discount factor points.
var discountsAbsent = tempFpml.discountFactorCurve?.point == null || tempFpml.discountFactorCurve.point.Length == 0;
var indexTenor = curveId.ForecastRateIndex?.indexTenor;
if (bootstrap || discountsAbsent)
{
//There must be a valid quoted asset set in order to bootstrap.
if (!XsdClassesFieldResolver.QuotedAssetSetIsValid(spreadAssets))
{
return;
}
PriceableClearedRateAssets =
PriceableAssetFactory.CreatePriceableClearedRateAssetsWithBasisSwaps(logger, cache, nameSpace, indexTenor, spreadAssets, pricingStructureId.BaseDate, fixingCalendar, rollCalendar);
GetYieldCurveValuation().zeroCurve = null;
TermCurve termCurve = tempFpml.discountFactorCurve ?? SetConfigurationData();
DateTime baseDate = GetYieldCurveValuation().baseDate.Value;
termCurve.point = ClearedRateBootstrapper.Bootstrap(PriceableClearedRateAssets, BaseDiscountingCurve, baseDate, termCurve.extrapolationPermitted, termCurve.interpolationMethod, Tolerance);
SetFpMLData(new Pair <PricingStructure, PricingStructureValuation>(PricingStructure, PricingStructureValuation), false);
SetInterpolator(termCurve);
}
else
{
// the discount curve is already built, so don't rebuild
PriceableClearedRateAssets = PriceableAssetFactory.CreatePriceableClearedRateAssetsWithBasisSwaps(logger, cache, nameSpace, indexTenor, spreadAssets, pricingStructureId.BaseDate, fixingCalendar, rollCalendar);
//Order the assets.
PriceableClearedRateAssets = PriceableClearedRateAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
CreatePricingStructure(pricingStructureId, tempFpml.discountFactorCurve, spreadAssets);
// CreatePricingStructure(pricingStructureId, tempFpml.discountFactorCurve, PriceableAssetFactory.Parse(PriceableClearedRateAssets));
SetInterpolator(GetYieldCurveValuation().discountFactorCurve);
}
}
public static void SetCalculationPeriodStartDate(PaymentCalculationPeriod paymentCalculationPeriod, DateTime startDate)
{
CalculationPeriod[] calculationPeriodArray = XsdClassesFieldResolver.GetPaymentCalculationPeriod_CalculationPeriodArray(paymentCalculationPeriod);
calculationPeriodArray[0].adjustedStartDate = startDate;
calculationPeriodArray[0].adjustedStartDateSpecified = true;
}
/// <summary>
/// Gets and sets the required pricing structures to value this leg.
/// </summary>
public List <String> GetRequiredPricingStructures()
{
var result = new List <String>();
var amount = calculationPeriodAmount.Item as Calculation;
if (amount != null)
{
var currency = XsdClassesFieldResolver.Calculation_GetNotionalSchedule(amount);
if (currency != null && currency.notionalStepSchedule != null)
{
var discountCurve = Helpers.GetDiscountCurveName(currency.notionalStepSchedule.currency);
result.Add(discountCurve);
}
var floatingRateCalculation = amount.Items[0] as FloatingRateCalculation;
if (floatingRateCalculation != null)
{
result.Add(Helpers.GetForecastCurveName(floatingRateCalculation.floatingRateIndex, floatingRateCalculation.indexTenor));
}
}
//TODO
if (stubCalculationPeriodAmount != null)
{
foreach (var stubIndex in stubCalculationPeriodAmount.Items)
{
result.AddRange(from value in stubIndex.Items
where value as Money != null
select Helpers.GetDiscountCurveName(((Money)value).currency));
}
}
return(result);
}
public static void SetCalculationPeriodEndDate(PaymentCalculationPeriod paymentCalculationPeriod, DateTime endDate)
{
CalculationPeriod[] calculationPeriodArray = XsdClassesFieldResolver.GetPaymentCalculationPeriod_CalculationPeriodArray(paymentCalculationPeriod);
calculationPeriodArray[calculationPeriodArray.Length - 1].adjustedEndDate = endDate;
calculationPeriodArray[calculationPeriodArray.Length - 1].adjustedEndDateSpecified = true;
}
public static void SetNotionalAmount(PaymentCalculationPeriod paymentCalculationPeriod, decimal notionalAmount)
{
foreach (CalculationPeriod calculationPeriod in XsdClassesFieldResolver.GetPaymentCalculationPeriod_CalculationPeriodArray(paymentCalculationPeriod))
{
XsdClassesFieldResolver.CalculationPeriod_SetNotionalAmount(calculationPeriod, notionalAmount);
}
}
public static Swaption Create(Swap swap, Money premium, string premiumPayer, string premiumReceiver,
AdjustableDate paymentDate,
AdjustableDate expirationDate,
DateTime earliestExerciseTime, DateTime expirationTime, bool automaticExercise)
{
var swaption = new Swaption {
swap = swap, premium = new[] { new Payment() }
};
swaption.buyerPartyReference = PartyOrTradeSideReferenceHelper.ToPartyOrTradeSideReference(premiumPayer);
swaption.sellerPartyReference = PartyOrTradeSideReferenceHelper.ToPartyOrTradeSideReference(premiumReceiver);
swaption.premium[0].paymentAmount = premium;
swaption.premium[0].paymentDate = paymentDate;
swaption.premium[0].payerPartyReference = PartyOrAccountReferenceFactory.Create(premiumPayer);
swaption.premium[0].receiverPartyReference = PartyOrAccountReferenceFactory.Create(premiumReceiver);
var europeanExercise = new EuropeanExercise
{
expirationDate = new AdjustableOrRelativeDate(),
earliestExerciseTime = BusinessCenterTimeHelper.Create(earliestExerciseTime),
expirationTime = BusinessCenterTimeHelper.Create(expirationTime)
};
europeanExercise.expirationDate.Item = expirationDate;
swaption.exerciseProcedure = new ExerciseProcedure();
if (automaticExercise)
{
XsdClassesFieldResolver.ExerciseProcedure_SetAutomaticExercise(swaption.exerciseProcedure, new AutomaticExercise());
}
else//manual exercise
{
XsdClassesFieldResolver.ExerciseProcedure_SetManualExercise(swaption.exerciseProcedure, new ManualExercise());
}
XsdClassesFieldResolver.Swaption_SetEuropeanExercise(swaption, europeanExercise);
return(swaption);
}
public static decimal GetRate(PaymentCalculationPeriod paymentCalculationPeriod)
{
decimal result = 0.0m;
decimal numberOfPeriods = 0.0m;
foreach (CalculationPeriod calculationPeriod in XsdClassesFieldResolver.GetPaymentCalculationPeriod_CalculationPeriodArray(paymentCalculationPeriod))
{
if (XsdClassesFieldResolver.CalculationPeriod_HasFixedRate(calculationPeriod))
{
result += XsdClassesFieldResolver.CalculationPeriod_GetFixedRate(calculationPeriod);
}
else if (XsdClassesFieldResolver.CalculationPeriod_HasFloatingRateDefinition(calculationPeriod))
{
result += XsdClassesFieldResolver.CalculationPeriod_GetFloatingRateDefinition(calculationPeriod).calculatedRate;
}
else
{
throw new NotImplementedException("PaymentCalculationPeriodHelper.GetRate");
}
numberOfPeriods += 1;
}
return(result / numberOfPeriods);
}
// need a based date?
//
///<summary>
///</summary>
///<param name="discountCurve"></param>
///<param name="baseDate"></param>
///<param name="frequency"></param>
///<param name="dayCounter"></param>
///<returns></returns>
///<exception cref="System.Exception"></exception>
public static TermCurve ToZeroCurve(TermCurve discountCurve, DateTime baseDate,
CompoundingFrequencyEnum frequency, IDayCounter dayCounter)
{
TermCurve result = TermCurve.Create(new List <TermPoint>());
foreach (TermPoint point in discountCurve.point)
{
DateTime pointDate = XsdClassesFieldResolver.TimeDimensionGetDate(point.term);
double zeroRateDouble;
if (baseDate != pointDate)
{
double time = dayCounter.YearFraction(baseDate, pointDate);
zeroRateDouble = RateAnalytics.DiscountFactorToZeroRate((double)point.mid, time, frequency);
}
else
{
// set after the loop
zeroRateDouble = 0;
}
TermPoint zeroPoint = TermPointFactory.Create(Convert.ToDecimal(zeroRateDouble), pointDate);
zeroPoint.id = point.id;
result.Add(zeroPoint);
}
if (result.point[0].mid == 0)
{
result.point[0].mid = result.point[1].mid;
}
return(result);
}
/// <summary>
/// Initializes a new instance of the <see cref="ClearedRateCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="fpmlData">The FPML data.</param>
/// <param name="properties">The properties.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public ClearedRateCurve(ILogger logger, ICoreCache cache, string nameSpace,
Pair <PricingStructure, PricingStructureValuation> fpmlData,
NamedValueSet properties, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, new RateCurveIdentifier(properties), fixingCalendar, rollCalendar)
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, properties);
var refCurveId = PropertyHelper.ExtractReferenceCurveUniqueId(properties);
ReferenceDiscountingCurveId = refCurveId != null ? new Identifier(refCurveId) : ReferenceDiscountingCurveId = null;
var tempFpml = (YieldCurveValuation)fpmlData.Second;
var curveId = GetRateCurveId();
Initialize(properties, Holder);
FixingCalendar = fixingCalendar;
PaymentCalendar = rollCalendar;
//Override properties.
//var optimize = PropertyHelper.ExtractOptimizeBuildFlag(properties);//TODO removed optimisation as it means that partial hedges can not be undertaken.
var bootstrap = PropertyHelper.ExtractBootStrapOverrideFlag(properties);
var termCurve = SetConfigurationData();
var qas = tempFpml.inputs;
var indexTenor = curveId.ForecastRateIndex?.indexTenor;
//This is to catch it when there are no discount factor points.
var discountsAbsent = tempFpml.discountFactorCurve?.point == null || tempFpml.discountFactorCurve.point.Length == 0;
//This is an override if the cache is null, as the bootstrapper will not work.
if (cache == null)
{
//optimize = true;
bootstrap = false;
}
bool validAssets = XsdClassesFieldResolver.QuotedAssetSetIsValid(qas);
//Test to see if a bootstrap is required.
if (bootstrap || discountsAbsent)
{
//There must be a valid quoted asset set in order to bootstrap.
if (!validAssets)
{
return;
}
PriceableClearedRateAssets = PriceableAssetFactory.CreatePriceableClearedRateAssetsWithBasisSwaps(logger, cache, nameSpace, indexTenor, qas, GetRateCurveId().BaseDate, fixingCalendar, rollCalendar);
termCurve.point = RateBootstrapper.Bootstrap(PriceableClearedRateAssets, curveId.BaseDate,
termCurve.extrapolationPermitted,
termCurve.interpolationMethod,
Tolerance);
CreatePricingStructure(curveId, termCurve, qas);
SetInterpolator(termCurve);
}
else
{
// the discount curve is already built, so don't rebuild
SetFpMLData(fpmlData, false);
SetInterpolator(((YieldCurveValuation)PricingStructureValuation).discountFactorCurve);
//Set the priceable assets.
if (validAssets)//!optimize &&
{
PriceableClearedRateAssets = PriceableAssetFactory.CreatePriceableClearedRateAssetsWithBasisSwaps(logger, cache, nameSpace, indexTenor, qas, GetRateCurveId().BaseDate, fixingCalendar, rollCalendar);
}
}
}
/// <summary>
///
/// </summary>
/// <param name="interestRateStream"></param>
/// <param name="stubCalculationPeriod"></param>
/// <param name="stubValue"></param>
public static void UpdateStubCalculationPeriod(InterestRateStream interestRateStream, CalculationPeriod stubCalculationPeriod, StubValue stubValue)
{
if (XsdClassesFieldResolver.StubValueHasStubRateArray(stubValue))
{
Decimal fixedRate = XsdClassesFieldResolver.GetStubValueStubRateArray(stubValue)[0];
// Fixed rate
//
XsdClassesFieldResolver.SetCalculationPeriodFixedRate(stubCalculationPeriod, fixedRate);
}
//else if (XsdClassesFieldResolver.StubValue_HasFloatingRateArray(stubValue))
//{
// //Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmount_GetCalculation(interestRateStream.calculationPeriodAmount);
// //FloatingRate floatingRate = XsdClassesFieldResolver.GetStubValue_FloatingRateArray(stubValue)[0];
// //FloatingRateDefinition floatingRateDefinition = ForecastRateHelper.UpdateFloatingRateDefinition(floatingRate,
// // calculation.dayCountFraction,
// // stubCalculationPeriod);
// // no observed, no calculated rate, spread == 0.0
// //
// FloatingRateDefinition floatingRateDefinition = ForecastRateHelper.CreateFloatingRateDefinition(stubCalculationPeriod);
// XsdClassesFieldResolver.CalculationPeriod_SetFloatingRateDefinition(stubCalculationPeriod, floatingRateDefinition);
// //// Floating rate is set on UpdateCashflows phase.
// ////
// //XsdClassesFieldResolver.CalculationPeriod_SetFloatingRateDefinition(stubCalculationPeriod, floatingRateDefinition);
// //throw new NotImplementedException("");
//}
else if (XsdClassesFieldResolver.StubValueHasStubAmountArray(stubValue))
{
throw new NotImplementedException("stubCalculationPeriodAmount with stubAmount is not implemented.");
}
}
/// <summary>
/// Gets the unadjusted calculation date schedule.
/// </summary>
/// <param name="calculationPeriodDates">The calculation period dates.</param>
/// <returns></returns>
public List <CalculationPeriod> GetUnadjustedCalculationDateSchedule(CalculationPeriodDates calculationPeriodDates)
{
CalculationPeriodDates = calculationPeriodDates;
PeriodInterval = CalculationPeriodHelper.CalculationPeriodFrequencyToInterval(calculationPeriodDates.calculationPeriodFrequency);
_effectiveDate = XsdClassesFieldResolver.CalculationPeriodDatesGetEffectiveDate(calculationPeriodDates).unadjustedDate.Value;
_termDate = XsdClassesFieldResolver.CalculationPeriodDatesGetTerminationDate(calculationPeriodDates).unadjustedDate.Value;
RollConvention = calculationPeriodDates.calculationPeriodFrequency.rollConvention;
_unadjustedDateScheduleList = CalculationPeriodHelper.GenerateUnadjustedCalculationDates(_effectiveDate, _termDate, calculationPeriodDates);
return(_unadjustedDateScheduleList);
}
///<summary>
/// Gets all the Forecast curve name.
///</summary>
///<returns></returns>
public static string GetRateVolatilityMatrixName(Swap swap)
{
AdjustableDate adjustableEffectiveDate = XsdClassesFieldResolver.CalculationPeriodDates_GetEffectiveDate(swap.swapStream[0].calculationPeriodDates);
AdjustableDate adjustableTerminationDate = XsdClassesFieldResolver.CalculationPeriodDates_GetTerminationDate(swap.swapStream[0].calculationPeriodDates);
var years = adjustableTerminationDate.unadjustedDate.Value.Year - adjustableEffectiveDate.unadjustedDate.Value.Year;
var calculation = (Calculation)swap.swapStream[0].calculationPeriodAmount.Item;
var notional = XsdClassesFieldResolver.Calculation_GetNotionalSchedule(calculation);
var currency = notional.notionalStepSchedule.currency.Value;
return("RateVolatilityMatrix." + currency + "-IRSwap-" + years + "Y");
}
public static int GetNumberOfDays(PaymentCalculationPeriod paymentCalculationPeriod)
{
int result = 0;
foreach (CalculationPeriod calculationPeriod in XsdClassesFieldResolver.GetPaymentCalculationPeriod_CalculationPeriodArray(paymentCalculationPeriod))
{
result += int.Parse(calculationPeriod.calculationPeriodNumberOfDays);
}
return(result);
}
public List <String> GetRequiredCurrencies()
{
var result = new List <string>();
var item = XsdClassesFieldResolver.Calculation_GetNotionalSchedule((Calculation)calculationPeriodAmount.Item);
if (item != null && item.notionalStepSchedule != null && item.notionalStepSchedule.currency != null)
{
result.Add(item.notionalStepSchedule.currency.Value);
}
return(result);
}
public List <DateTime> GetListTermDates()
{
List <DateTime> result = new List <DateTime>();
foreach (TermPoint eachPoint in point)
{
DateTime dateTime = XsdClassesFieldResolver.TimeDimension_GetDate(eachPoint.term);
result.Add(dateTime);
}
return(result);
}
public static decimal GetNotionalAmount(PaymentCalculationPeriod paymentCalculationPeriod)
{
decimal result = 0.0m;
decimal numberOfPeriods = 0.0m;
foreach (CalculationPeriod calculationPeriod in XsdClassesFieldResolver.GetPaymentCalculationPeriod_CalculationPeriodArray(paymentCalculationPeriod))
{
result += XsdClassesFieldResolver.CalculationPeriod_GetNotionalAmount(calculationPeriod);
numberOfPeriods += 1;
}
return(result / numberOfPeriods);
}
public static TermPoint Create(decimal mid, DateTime term)
{
TermPoint termPoint = new TermPoint();
termPoint.mid = mid;
termPoint.midSpecified = true;
TimeDimension timeDimension = new TimeDimension();
XsdClassesFieldResolver.TimeDimension_SetDate(timeDimension, term);
termPoint.term = timeDimension;
return(termPoint);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableSimpleInflationAsset"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <param name="fixedRate">The fixed rate.</param>
public PriceableSimpleZeroCouponInflationSwap(DateTime baseDate, SimpleIRSwapNodeStruct nodeStruct,
IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar, BasicQuotation fixedRate)
: base(baseDate,
XsdClassesFieldResolver.CalculationGetNotionalSchedule(nodeStruct.Calculation).notionalStepSchedule.initialValue, nodeStruct.DateAdjustments, fixedRate)
{
Id = nodeStruct.SimpleIRSwap.id;
SimpleInflationSwap = nodeStruct.SimpleIRSwap;
SpotDateOffset = nodeStruct.SpotDate;
Calculation = nodeStruct.Calculation;
UnderlyingRateIndex = nodeStruct.UnderlyingRateIndex;
DayCounter = DayCounterHelper.Parse(Calculation.dayCountFraction.Value);
AdjustedStartDate = GetSpotDate(baseDate, fixingCalendar, SpotDateOffset);
RiskMaturityDate = GetEffectiveDate(AdjustedStartDate, paymentCalendar, SimpleInflationSwap.term, nodeStruct.DateAdjustments.businessDayConvention);
YearFraction = GetYearFractions()[0];
}
public static void SetSpread(PaymentCalculationPeriod paymentCalculationPeriod, decimal value)
{
foreach (CalculationPeriod calculationPeriod in XsdClassesFieldResolver.GetPaymentCalculationPeriod_CalculationPeriodArray(paymentCalculationPeriod))
{
if (XsdClassesFieldResolver.CalculationPeriod_HasFloatingRateDefinition(calculationPeriod))
{
FloatingRateDefinition floatingRateDefinition = XsdClassesFieldResolver.CalculationPeriod_GetFloatingRateDefinition(calculationPeriod);
floatingRateDefinition.spread = value;
floatingRateDefinition.spreadSpecified = true;
}
else
{
throw new NotImplementedException("PaymentCalculationPeriodHelper.SetSpread cannot be called on a fixed rate cashflow.");
}
}
}
public static void SetRate(PaymentCalculationPeriod paymentCalculationPeriod, decimal rate)
{
foreach (CalculationPeriod calculationPeriod in XsdClassesFieldResolver.GetPaymentCalculationPeriod_CalculationPeriodArray(paymentCalculationPeriod))
{
if (XsdClassesFieldResolver.CalculationPeriod_HasFixedRate(calculationPeriod))
{
XsdClassesFieldResolver.SetCalculationPeriod_FixedRate(calculationPeriod, rate);
}
else if (XsdClassesFieldResolver.CalculationPeriod_HasFloatingRateDefinition(calculationPeriod))
{
throw new NotImplementedException("Cannot modify floating rate, PaymentCalculationPeriodHelper.SetRate");
//XsdClassesFieldResolver.CalculationPeriod_GetFloatingRateDefinition(calculationPeriod).calculatedRate;
}
else
{
throw new NotImplementedException("PaymentCalculationPeriodHelper.SetRate");
}
}
}
public static Swaption Create(Swap swap, Payment[] premium, EuropeanExercise exercise, bool automaticExercise)
{
var swaption = new Swaption {
swap = swap, premium = premium
};
var europeanExercise = exercise;
swaption.exerciseProcedure = new ExerciseProcedure();
if (automaticExercise)
{
XsdClassesFieldResolver.ExerciseProcedure_SetAutomaticExercise(swaption.exerciseProcedure, new AutomaticExercise());
}
else//manual exercise
{
XsdClassesFieldResolver.ExerciseProcedure_SetManualExercise(swaption.exerciseProcedure, new ManualExercise());
}
XsdClassesFieldResolver.Swaption_SetEuropeanExercise(swaption, europeanExercise);
return(swaption);
}
public static void ReplaceFloatingRateWithFixedRate(PaymentCalculationPeriod paymentCalculationPeriod, decimal fixedRate)
{
foreach (CalculationPeriod calculationPeriod in XsdClassesFieldResolver.GetPaymentCalculationPeriod_CalculationPeriodArray(paymentCalculationPeriod))
{
if (XsdClassesFieldResolver.CalculationPeriod_HasFixedRate(calculationPeriod))
{
throw new Exception("calculation period already uses a fixed rate.");
}
else if (XsdClassesFieldResolver.CalculationPeriod_HasFloatingRateDefinition(calculationPeriod))
{
// Replace FloatingRateDefinition with decimal (fixed rate)
//
XsdClassesFieldResolver.SetCalculationPeriod_FixedRate(calculationPeriod, fixedRate);
}
else
{
throw new NotSupportedException("PaymentCalculationPeriodHelper.ReplaceFloatingRateWithFixedRate");
}
}
}
public static Swaption Create(Swap swap, decimal premiumAmount, DateTime expirationDate)
{
var swaption = new Swaption {
swap = swap, premium = new[] { new Payment() }
};
swaption.premium[0].paymentAmount = MoneyHelper.GetAmount(premiumAmount);
var europeanExercise = new EuropeanExercise
{
expirationDate = new AdjustableOrRelativeDate()
};
var adjustableDate = new AdjustableDate
{
unadjustedDate = new IdentifiedDate
{
Value = expirationDate
}
};
europeanExercise.expirationDate.Item = adjustableDate;
XsdClassesFieldResolver.Swaption_SetEuropeanExercise(swaption, europeanExercise);
return(swaption);
}
public static decimal GetSpread(PaymentCalculationPeriod paymentCalculationPeriod)
{
decimal result = 0.0m;
decimal numberOfPeriods = 0.0m;
foreach (CalculationPeriod calculationPeriod in XsdClassesFieldResolver.GetPaymentCalculationPeriod_CalculationPeriodArray(paymentCalculationPeriod))
{
if (XsdClassesFieldResolver.CalculationPeriod_HasFloatingRateDefinition(calculationPeriod))
{
FloatingRateDefinition floatingRateDefinition = XsdClassesFieldResolver.CalculationPeriod_GetFloatingRateDefinition(calculationPeriod);
result += floatingRateDefinition.spread;
}
else
{
throw new NotImplementedException("PaymentCalculationPeriodHelper.GetSpread cannot be called on fixed rate cashflow.");
}
numberOfPeriods += 1;
}
return(result / numberOfPeriods);
}
internal static TermCurve ConstructDiscountFactors(ILogger logger, ICoreCache cache, string nameSpace, TermCurve inputCurve, DateTime baseDate, string currency)
{
List <DateTime> dates = inputCurve.point.Select(a => (DateTime)a.term.Items[0]).ToList();
List <decimal> values = inputCurve.point.Select(a => a.mid).ToList();
var properties = new NamedValueSet();
properties.Set(CurveProp.PricingStructureType, PricingStructureTypeEnum.RateCurve.ToString());
properties.Set(CurveProp.Market, "ConstructDiscountFactors");
properties.Set(CurveProp.IndexTenor, "0M");
properties.Set(CurveProp.Currency1, currency);
properties.Set(CurveProp.IndexName, "XXX-XXX");
properties.Set(CurveProp.Algorithm, "FastLinearZero");
properties.Set(CurveProp.BaseDate, baseDate);
var curveId = new RateCurveIdentifier(properties);
var algorithmHolder = new PricingStructureAlgorithmsHolder(logger, cache, nameSpace, curveId.PricingStructureType, curveId.Algorithm);
var curve = new RateCurve(properties, algorithmHolder, dates, values);
var termPoints = new List <TermPoint>();
for (DateTime date = dates.First(); date <= dates.Last(); date = date.AddMonths(1))
{
var discountFactor = (decimal)curve.GetDiscountFactor(date);
var timeDimension = new TimeDimension();
XsdClassesFieldResolver.TimeDimensionSetDate(timeDimension, date);
var termPoint = new TermPoint
{
mid = discountFactor,
midSpecified = true,
term = timeDimension
};
termPoints.Add(termPoint);
}
var termCurve = new TermCurve {
point = termPoints.ToArray()
};
return(termCurve);
}
public List <ValuationInfoRangeItem> GetInfo(ICoreCache cache, string nameSpace, string valuationId)
{
var list = new List <ValuationInfoRangeItem>();
var item = cache.LoadItem <ValuationReport>(nameSpace + "." + valuationId);
if (item != null)
{
var valuationReport = (ValuationReport)item.Data;
var envelope = new ValuationInfoRangeItem
{
Id = valuationReport.header.messageId.Value,
Description = "envelope"
};
list.Add(envelope);
foreach (TradeValuationItem tradeValuationItem in valuationReport.tradeValuationItem)
{
foreach (Trade trade in tradeValuationItem.Items)
{
if (trade.tradeHeader.partyTradeIdentifier[0].Items[0] is TradeId tradeId)
{
var product = new ValuationInfoRangeItem
{
Id = tradeId.Value
};
if (trade.Item is Swap swap1)
{
product.Description = "swap";
var swap = swap1;
string leg1Type = GetInterestRateStreamType(swap.swapStream[0]);
string leg2Type = GetInterestRateStreamType(swap.swapStream[1]);
product.Description += $"({leg1Type}/{leg2Type})";
}
else if (trade.Item is Swaption)
{
product.Description = "swaption";
}
else
{
if (trade.Item is CapFloor floor)//could be cap, floor, or collar
{
var capFloor = floor;
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(
capFloor.capFloorStream.calculationPeriodAmount);
FloatingRateCalculation floatingRateCalculation = XsdClassesFieldResolver.CalculationGetFloatingRateCalculation(calculation);
if (null != floatingRateCalculation.capRateSchedule & null != floatingRateCalculation.floorRateSchedule)
{
product.Description = "collar";
}
else if (null != floatingRateCalculation.capRateSchedule)
{
product.Description = "cap";
}
else
{
product.Description = null != floatingRateCalculation.floorRateSchedule ? "floor" : "unknown product";
}
}
else
{
product.Description = "unknown product";
}
}
list.Add(product);
}
}
}
}
return(list);
}
private static string GetInterestRateStreamType(InterestRateStream interestRateStream)
{
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(interestRateStream.calculationPeriodAmount);
return(XsdClassesFieldResolver.CalculationHasFloatingRateCalculation(calculation) ? "float" : "fixed");
}
public static CalculationPeriod[] GetCalculationPeriods(PaymentCalculationPeriod paymentCalculationPeriod)
{
return(XsdClassesFieldResolver.GetPaymentCalculationPeriod_CalculationPeriodArray(paymentCalculationPeriod));
}
public static DateTime GetCalculationPeriodEndDate(PaymentCalculationPeriod paymentCalculationPeriod)
{
CalculationPeriod[] calculationPeriodArray = XsdClassesFieldResolver.GetPaymentCalculationPeriod_CalculationPeriodArray(paymentCalculationPeriod);
return(calculationPeriodArray[calculationPeriodArray.Length - 1].adjustedEndDate);
}
public static CalculationPeriod GetFirstCalculationPeriod(PaymentCalculationPeriod paymentCalculationPeriod)
{
return(XsdClassesFieldResolver.GetPaymentCalculationPeriod_CalculationPeriodArray(paymentCalculationPeriod)[0]);
}