Exemple #1
0
        public static FxLeg 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 FxLeg
            {
                exchangedCurrency1 =
                    PaymentHelper.Create(exchangeCurrency1PayPartyReference,
                                         exchangeCurrency2PayPartyReference, exchangeCurrency1,
                                         exchangeCurrency1Amount),
                exchangedCurrency2 =
                    PaymentHelper.Create(exchangeCurrency2PayPartyReference,
                                         exchangeCurrency1PayPartyReference, exchangeCurrency2,
                                         exchange2Amount),
                Items        = new[] { valueDate },
                exchangeRate =
                    ExchangeRate.Create(exchangeCurrency1, exchangeCurrency2, quoteBasis, spotRate),
                ItemsElementName = new[] { ItemsChoiceType15.valueDate }
            };

            return(fxforward);
        }
Exemple #2
0
        /// <summary>
        /// Gets and sets the required pricing structures to value this leg.
        /// </summary>
        public override List <String> GetRequiredPricingStructures()
        {
            var result       = new List <String>();
            var putCurrency  = PaymentHelper.Create(buyerPartyReference.href, sellerPartyReference.href, putCurrencyAmount.currency.Value, putCurrencyAmount.amount, valueDate);
            var callCurrency = PaymentHelper.Create(sellerPartyReference.href, buyerPartyReference.href, callCurrencyAmount.currency.Value, callCurrencyAmount.amount, valueDate);

            result.AddRange(putCurrency.GetRequiredPricingStructures());
            result.AddRange(callCurrency.GetRequiredPricingStructures());
            result.AddRange(GetRequiredVolatilitySurfaces());
            if (fxOptionPremium != null)
            {
                foreach (var premium in fxOptionPremium)
                {
                    var ps = premium.GetRequiredPricingStructures();
                    result.AddRange(ps);
                }
            }
            return(result.Distinct().ToList());
        }
Exemple #3
0
        /// <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 FxLeg CreateFxLeg(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 FxLeg
            {
                exchangedCurrency1 =
                    PaymentHelper.Create(putCurrencyPayPartyReference, callCurrencyPayPartyReference,
                                         putCurrency, putCurrencyAmount),
                exchangedCurrency2 =
                    PaymentHelper.Create(callCurrencyPayPartyReference, putCurrencyPayPartyReference,
                                         callCurrency, callCurrencyAmount),
                Items            = new[] { valueDate },
                exchangeRate     = exchangeRate,
                ItemsElementName = new[] { ItemsChoiceType15.valueDate }
            };

            return(fxforward);
        }