protected SwapPricer(ILogger logger, ICoreCache cache, String nameSpace,
List <Pair <IBusinessCalendar, IBusinessCalendar> > legCalendars,
Swap swapFpML, string basePartyReference,
ProductTypeSimpleEnum productType, Boolean forecastRateInterpolation)
{
Multiplier = 1.0m;
if (swapFpML == null)
{
return;
}
BusinessCentersResolver.ResolveBusinessCenters(swapFpML);
ForecastRateInterpolation = forecastRateInterpolation;
//Get the effective date
AdjustableDate adjustableEffectiveDate = XsdClassesFieldResolver.CalculationPeriodDatesGetEffectiveDate(swapFpML.swapStream[0].calculationPeriodDates);
EffectiveDate = adjustableEffectiveDate.unadjustedDate.Value;
//We make the assumption that the termination date is the same for all legs.
AdjustableDate adjustableTerminationDate = XsdClassesFieldResolver.CalculationPeriodDatesGetTerminationDate(swapFpML.swapStream[0].calculationPeriodDates);
var paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, adjustableTerminationDate.dateAdjustments.businessCenters, nameSpace);
TerminationDate = AdjustedDateHelper.ToAdjustedDate(paymentCalendar, adjustableTerminationDate);
RiskMaturityDate = TerminationDate;
//EffectiveDate is not set;
ProductType = productType;
PaymentCurrencies = new List <string>();
//Resolve the payer
var legs = swapFpML.swapStream.Length;
if (legs == 0)
{
return;
}
var flag = false;
var index = 0;
if (legCalendars != null && legCalendars.Count == legs)
{
flag = true;
}
foreach (var swapStream in swapFpML.swapStream)
{
bool payerIsBase = basePartyReference == swapStream.payerPartyReference.href;//TODO add in the calendar functionality.
//Set the id of the first stream.
PriceableInterestRateStream leg = flag ? new PriceableInterestRateStream(logger, cache, nameSpace, payerIsBase, swapStream, ForecastRateInterpolation, legCalendars[index].First, legCalendars[index].Second)
: new PriceableInterestRateStream(logger, cache, nameSpace, payerIsBase, swapStream, ForecastRateInterpolation, null, null);
Legs.Add(leg);
//Add the currencies for the trade pricer.
if (!PaymentCurrencies.Contains(leg.Currency.Value))
{
PaymentCurrencies.Add(leg.Currency.Value);
}
index++;
}
if (swapFpML.additionalPayment != null)
{
AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, swapFpML.additionalPayment, null);
foreach (var payment in swapFpML.additionalPayment)
{
if (!PaymentCurrencies.Contains(payment.paymentAmount.currency.Value))
{
PaymentCurrencies.Add(payment.paymentAmount.currency.Value);
}
}
}
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="paymentCalendar"> </param>
/// <param name="capFloorFpML"></param>
/// <param name="basePartyReference"></param>
/// <param name="forecastRateInterpolation"></param>
/// <param name="nameSpace"></param>
/// <param name="fixingCalendar"> </param>
public CapFloorPricer(ILogger logger, ICoreCache cache, String nameSpace,
IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar,
CapFloor capFloorFpML, string basePartyReference, Boolean forecastRateInterpolation)
{
if (capFloorFpML == null)
{
return;
}
//AnalyticsModel = new SimpleIRSwapInstrumentAnalytic();
BusinessCentersResolver.ResolveBusinessCenters(capFloorFpML);
ForecastRateInterpolation = forecastRateInterpolation;
//We make the assumption that the termination date is the same for all legs..
AdjustableDate adjustableTerminationDate = XsdClassesFieldResolver.CalculationPeriodDatesGetTerminationDate(capFloorFpML.capFloorStream.calculationPeriodDates);
if (paymentCalendar == null)
{
paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, adjustableTerminationDate.dateAdjustments.businessCenters, nameSpace);
}
RiskMaturityDate = AdjustedDateHelper.ToAdjustedDate(paymentCalendar, adjustableTerminationDate);
ProductType = ProductTypeSimpleEnum.CapFloor;
PaymentCurrencies = new List <string>();
//Resolve the payer
if (capFloorFpML.capFloorStream == null)
{
return;
}
var calculation = capFloorFpML.capFloorStream.calculationPeriodAmount.Item as Calculation;
var floatingRatecalculation = calculation?.Items[0] as FloatingRateCalculation;
if (floatingRatecalculation == null)
{
return;
}
if (floatingRatecalculation.capRateSchedule != null)
{
var schedule = floatingRatecalculation.capRateSchedule[0];
var buyerPartyReference = schedule.buyer.Value;
if (buyerPartyReference == PayerReceiverEnum.Receiver)
{
BuyerPartyReference = capFloorFpML.capFloorStream.receiverPartyReference.href;
SellerPartyReference = capFloorFpML.capFloorStream.payerPartyReference.href;
}
else
{
BuyerPartyReference = capFloorFpML.capFloorStream.payerPartyReference.href;
SellerPartyReference = capFloorFpML.capFloorStream.receiverPartyReference.href;
}
}
if (floatingRatecalculation.capRateSchedule == null && floatingRatecalculation.floorRateSchedule != null)
{
var schedule = floatingRatecalculation.floorRateSchedule[0];
var buyerPartyReference = schedule.buyer.Value;
if (buyerPartyReference == PayerReceiverEnum.Receiver)
{
BuyerPartyReference = capFloorFpML.capFloorStream.receiverPartyReference.href;
SellerPartyReference = capFloorFpML.capFloorStream.payerPartyReference.href;
}
else
{
BuyerPartyReference = capFloorFpML.capFloorStream.payerPartyReference.href;
SellerPartyReference = capFloorFpML.capFloorStream.receiverPartyReference.href;
}
}
BasePartyBuyer = basePartyReference == BuyerPartyReference;//TODO add in the calendar functionality.
//Set the id of the first stream. THe generator requires the flag: BasePartyPayer.
var capFloorLeg = new PriceableCapFloorStream(logger, cache, nameSpace, !BasePartyBuyer, capFloorFpML.capFloorStream, ForecastRateInterpolation, fixingCalendar, paymentCalendar);
Legs.Add(capFloorLeg);
//Add the currencies for the trade pricer.
if (!PaymentCurrencies.Contains(capFloorLeg.Currency.Value))
{
PaymentCurrencies.Add(capFloorLeg.Currency.Value);
}
if (capFloorFpML.additionalPayment != null)
{
AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, capFloorFpML.additionalPayment, null);
foreach (var payment in capFloorFpML.additionalPayment)
{
if (!PaymentCurrencies.Contains(payment.paymentAmount.currency.Value))
{
PaymentCurrencies.Add(payment.paymentAmount.currency.Value);
}
}
}
}
