public static FxSingleLeg CreateSpot(string exchangeCurrency1PayPartyReference, string exchangeCurrency2PayPartyReference, decimal exchangeCurrency1Amount,
string exchangeCurrency1, string exchangeCurrency2, QuoteBasisEnum quoteBasis, DateTime valueDate, Decimal spotRate)
{
decimal exchange2Amount;
if (quoteBasis == QuoteBasisEnum.Currency2PerCurrency1)
{
exchange2Amount = exchangeCurrency1Amount * spotRate;
}
else
{
exchange2Amount = exchangeCurrency1Amount / spotRate;
}
var fxforward = new FxSingleLeg
{
exchangedCurrency1 =
PaymentHelper.Create(exchangeCurrency1PayPartyReference,
exchangeCurrency2PayPartyReference, exchangeCurrency1,
exchangeCurrency1Amount),
exchangedCurrency2 =
PaymentHelper.Create(exchangeCurrency2PayPartyReference,
exchangeCurrency1PayPartyReference, exchangeCurrency2,
exchange2Amount),
Items1 = new[] { valueDate },
exchangeRate =
ExchangeRate.Create(exchangeCurrency1, exchangeCurrency2, quoteBasis, spotRate),
Items1ElementName = new[] { Items1ChoiceType.valueDate }
};
return(fxforward);
}
/// <summary>
/// Builds an fx trade from the current vanillar fx option class.
/// </summary>
/// <param name="hasExpired"></param>
/// <returns></returns>
public FxSingleLeg CreateFxSingleLeg(bool hasExpired)//TODO This is not correct and will need to be fixed
{
QuoteBasisEnum quoteBasis = strike.strikeQuoteBasis == StrikeQuoteBasisEnum.CallCurrencyPerPutCurrency ? QuoteBasisEnum.Currency2PerCurrency1 : QuoteBasisEnum.Currency1PerCurrency2;
ExchangeRate exchangeRate = hasExpired ? ExchangeRate.Create(putCurrencyAmount.currency.Value, putCurrencyAmount.currency.Value, quoteBasis, strike.rate)
: ExchangeRate.Create(putCurrencyAmount.currency.Value, putCurrencyAmount.currency.Value, quoteBasis, strike.rate, strike.rate, null);
var fxforward = new FxSingleLeg
{
exchangedCurrency1 =
PaymentHelper.Create(sellerAccountReference.href, buyerAccountReference.href,
putCurrencyAmount.currency.Value, putCurrencyAmount.amount),
exchangedCurrency2 =
PaymentHelper.Create(buyerAccountReference.href, sellerAccountReference.href,
callCurrencyAmount.currency.Value, callCurrencyAmount.amount),
exchangeRate = exchangeRate,
Items1ElementName = new[] { Items1ChoiceType.valueDate }
};
var exercise = Item as FxEuropeanExercise;
if (exercise != null)
{
fxforward.Items1 = new[] { exercise.expiryDate };
}
return(fxforward);
}
/// <summary>
///
/// </summary>
/// <param name="hasExpired"></param>
/// <param name="putCurrencyPayPartyReference"></param>
/// <param name="callCurrencyPayPartyReference"></param>
/// <param name="putCurrencyAmount"></param>
/// <param name="putCurrency"></param>
/// <param name="callCurrencyAmount"></param>
/// <param name="callCurrency"></param>
/// <param name="strikeQuoteBasis"></param>
/// <param name="valueDate"></param>
/// <param name="fxRate"></param>
/// <returns></returns>
public static FxSingleLeg CreateFxSingleLeg(bool hasExpired, string putCurrencyPayPartyReference, string callCurrencyPayPartyReference, decimal putCurrencyAmount,
string putCurrency, decimal callCurrencyAmount, string callCurrency, StrikeQuoteBasisEnum strikeQuoteBasis, DateTime valueDate, Decimal fxRate)
{
QuoteBasisEnum quoteBasis = strikeQuoteBasis == StrikeQuoteBasisEnum.CallCurrencyPerPutCurrency ? QuoteBasisEnum.Currency2PerCurrency1 : QuoteBasisEnum.Currency1PerCurrency2;
ExchangeRate exchangeRate = hasExpired ? ExchangeRate.Create(putCurrency, callCurrency, quoteBasis, fxRate)
: ExchangeRate.Create(putCurrency, callCurrency, quoteBasis, fxRate, fxRate, null);
var fxforward = new FxSingleLeg
{
exchangedCurrency1 =
PaymentHelper.Create(putCurrencyPayPartyReference, callCurrencyPayPartyReference,
putCurrency, putCurrencyAmount),
exchangedCurrency2 =
PaymentHelper.Create(callCurrencyPayPartyReference, putCurrencyPayPartyReference,
callCurrency, callCurrencyAmount),
Items1 = new[] { valueDate },
Items1ElementName = new[] { Items1ChoiceType.valueDate },
exchangeRate = exchangeRate,
};
return(fxforward);
}
//public static Trade[] TradeValuationItemGetTradeArray(TradeValuationItem tradeValuationItem)
//{
// return tradeValuationItem.Items.Cast<Trade>().ToArray();
//}
#region Trade GetXXX/SetXXX methods
public static void TradeSetFxSingleLeg(Trade trade, FxSingleLeg swap)
{
trade.Item = swap;
//trade.ItemElementName = ItemChoiceType15.fxSingleLeg;
}
