public static InterestRateStream GetReceiverStream(CapFloor capFloor, string baseParty)
{
if (capFloor.capFloorStream.receiverPartyReference.href == baseParty)
{
return(capFloor.capFloorStream);
}
throw new System.Exception(String.Format("No receiver stream was found for the specified receiver : '{0}'", baseParty));
}
public static Money GetPayFutureValueOfAdditionalPayments(CapFloor capFloor, string baseParty)
{
var valueList = new List <MoneyBase>();
if (null != capFloor.additionalPayment)
{
valueList.AddRange((from payment in capFloor.additionalPayment where baseParty == payment.payerPartyReference.href select payment.paymentAmount));
}
return(MoneyHelper.Sum(valueList));
}
public static Money GetFutureValue(CapFloor capFloor, string baseParty)
{
var list = new List <Money>();
InterestRateStream stream = capFloor.capFloorStream;
Money futureValueOfStream = CashflowsHelper.GetForecastValue(stream.cashflows);
list.AddRange(GetValue(stream.payerPartyReference.href, stream.receiverPartyReference.href, baseParty, futureValueOfStream));
Money futureValueOfAdditionalPayments = GetValueOfAdditionalPayments(capFloor, baseParty);
list.Add(futureValueOfAdditionalPayments);
return(MoneyHelper.Sum(list));
}
public static Money GetPresentValueOfAdditionalPayments(CapFloor capFloor, string baseParty)
{
var list = new List <Money>();
if (null != capFloor.additionalPayment)
{
foreach (Payment payment in capFloor.additionalPayment)
{
list.AddRange(GetValue(payment.payerPartyReference.href, payment.receiverPartyReference.href, baseParty, payment.presentValueAmount));
}
}
return(MoneyHelper.Sum(list));
}
public static Money GetPayFutureValue(CapFloor capFloor, string baseParty)
{
var list = new List <Money>();
InterestRateStream stream = capFloor.capFloorStream;
{
Money presentValueOfStream = CashflowsHelper.GetForecastValue(stream.cashflows);
if (baseParty == stream.payerPartyReference.href)
{
list.Add(presentValueOfStream);
}
}
Money payFutureValueOfAdditionalPayments = GetPayFutureValueOfAdditionalPayments(capFloor, baseParty);
list.Add(payFutureValueOfAdditionalPayments);
return(MoneyHelper.Sum(list));
}
public static void TradeSetCapFloor(Trade trade, CapFloor capFloor)
{
trade.Item = capFloor;
//trade.ItemElementName = ItemChoiceType15.capFloor;
}
