public CDS()
{
FixedLeg = new GenericSwapLeg(OriginDate, Tenor, HolidayCalendar, Currency, new Frequency("1m"), Basis)
{
RollDay = "IMM"
};
FixedSchedule = FixedLeg.GenerateSchedule();
}
public FloatingRateLoanDepo(CashFlow[] flows, FloatRateIndex floatRateIndex, string forecastCurve, string discountCurve) : base()
{
FloatRateIndex = floatRateIndex;
ForecastCurve = forecastCurve;
DiscountCurve = discountCurve;
LoanDepoSchedule = new CashFlowSchedule {
Flows = flows.ToList()
};
}
public FixedRateLoanDeposit(DateTime startDate, DateTime endDate, double interestRate, Currency currency, DayCountBasis basis, double notional, string discountCurve) : base()
{
StartDate = startDate;
EndDate = endDate;
InterestRate = interestRate;
Basis = basis;
Notional = notional;
DiscountCurve = discountCurve;
Currency = currency;
LoanDepoSchedule = new CashFlowSchedule {
Flows = new List <CashFlow>()
};
LoanDepoSchedule.Flows.Add(new CashFlow
{
Notional = Notional,
Currency = Currency,
FlowType = FlowType.FixedAmount,
SettleDate = StartDate,
});
LoanDepoSchedule.Flows.Add(new CashFlow
{
Notional = -Notional,
Currency = Currency,
FlowType = FlowType.FixedAmount,
SettleDate = EndDate,
});
var dcf = StartDate.CalculateYearFraction(EndDate, Basis);
LoanDepoSchedule.Flows.Add(new CashFlow
{
Notional = -Notional,
Currency = Currency,
FlowType = FlowType.FixedRate,
SettleDate = EndDate,
AccrualPeriodStart = StartDate,
AccrualPeriodEnd = EndDate,
FixedRateOrMargin = InterestRate,
YearFraction = dcf,
Fv = -Notional * dcf * interestRate
});
PillarDate = endDate;
SolveCurve = DiscountCurve;
}
public CashFlowSchedule GenerateSchedule()
{
var startDate = EffectiveDate;
var endDate = TerminationDate.Date(startDate, ResetRollType, ResetCalendar);
var f = new CashFlowSchedule();
var lf = new List <CashFlow>();
if (NotionalExchange == ExchangeType.FrontOnly || NotionalExchange == ExchangeType.Both)
{
lf.Add(new CashFlow
{
Notional = (double)Nominal * (Direction == SwapPayReceiveType.Payer ? -1.0 : 1.0),
Fv = (double)Nominal * (Direction == SwapPayReceiveType.Payer ? -1.0 : 1.0),
SettleDate = startDate,
NotionalByYearFraction = 1.0,
Dcf = 1.0,
FlowType = FlowType.FixedAmount
});
}
//need to handle stub types and roll day types
switch (StubType)
{
case StubType.ShortFront:
case StubType.LongFront:
{
var nQ = 0;
var currentReset = GetNextResetDate(endDate, false);
while (GetNextResetDate(currentReset, false) >= startDate)
{
var q = new CashFlow()
{
ResetDateStart = currentReset,
AccrualPeriodStart = currentReset,
FixingDateStart = currentReset.SubtractPeriod(FixingRollType, FixingCalendar, FixingOffset),
AccrualPeriodEnd = currentReset.AddPeriod(ResetRollType, ResetCalendar, ResetFrequency)
};
q.SettleDate = (PaymentOffsetRelativeTo == OffsetRelativeToType.PeriodEnd) ?
q.AccrualPeriodEnd.AddPeriod(PaymentRollType, PaymentCalendar, PaymentOffset) :
q.AccrualPeriodStart.AddPeriod(PaymentRollType, PaymentCalendar, PaymentOffset);
q.NotionalByYearFraction = (LegType != SwapLegType.FixedNoAccrual && LegType != SwapLegType.FloatNoAccrual) ?
q.AccrualPeriodStart.CalculateYearFraction(q.AccrualPeriodEnd, AccrualDCB) :
1.0;
q.Dcf = q.NotionalByYearFraction;
q.Fv = (LegType == SwapLegType.Fixed) ?
(double)Nominal * q.NotionalByYearFraction * (double)FixedRateOrMargin :
0;
q.FixedRateOrMargin = (double)FixedRateOrMargin;
q.FlowType = (LegType == SwapLegType.Fixed) ? FlowType.FixedRate : FlowType.FloatRate;
q.Notional = (double)Nominal;
lf.Add(q);
nQ++;
currentReset = GetNextResetDate(currentReset, false);
}
if (lf.Count == 0 || lf.Last().AccrualPeriodStart != startDate)
{
if (StubType == StubType.LongFront)
{
var Q = lf.Last();
Q.ResetDateStart = startDate;
Q.AccrualPeriodStart = startDate;
Q.SettleDate = (PaymentOffsetRelativeTo == OffsetRelativeToType.PeriodEnd) ?
Q.AccrualPeriodEnd.AddPeriod(PaymentRollType, PaymentCalendar, PaymentOffset) :
Q.AccrualPeriodStart.AddPeriod(PaymentRollType, PaymentCalendar, PaymentOffset);
Q.Dcf = (LegType != SwapLegType.FixedNoAccrual && LegType != SwapLegType.FloatNoAccrual) ?
Q.AccrualPeriodStart.CalculateYearFraction(Q.AccrualPeriodEnd, AccrualDCB) :
1.0;
}
else
{
var q = new CashFlow()
{
AccrualPeriodStart = startDate,
FixingDateStart = startDate.SubtractPeriod(FixingRollType, FixingCalendar, FixingOffset),
AccrualPeriodEnd = (lf.Count > 0 && lf.Last().AccrualPeriodEnd != DateTime.MinValue)? lf.Last().AccrualPeriodStart : endDate
};
q.SettleDate = (PaymentOffsetRelativeTo == OffsetRelativeToType.PeriodEnd) ?
q.AccrualPeriodEnd.AddPeriod(PaymentRollType, PaymentCalendar, PaymentOffset) :
q.AccrualPeriodStart.AddPeriod(PaymentRollType, PaymentCalendar, PaymentOffset);
//Q.Currency = CCY;
q.NotionalByYearFraction = (LegType != SwapLegType.FixedNoAccrual && LegType != SwapLegType.FloatNoAccrual) ?
q.AccrualPeriodStart.CalculateYearFraction(q.AccrualPeriodEnd, AccrualDCB) :
1.0;
q.Dcf = q.NotionalByYearFraction;
q.Fv = (LegType == SwapLegType.Fixed) ?
(double)Nominal * q.NotionalByYearFraction * (double)FixedRateOrMargin :
0;
q.FixedRateOrMargin = (double)FixedRateOrMargin;
q.FlowType = (LegType == SwapLegType.Fixed) ? FlowType.FixedRate : FlowType.FloatRate;
q.Notional = (double)Nominal;
lf.Add(q);
nQ++;
}
}
break;
}
case StubType.ShortBack:
case StubType.LongBack:
{
var nQ = 0;
var currentReset = startDate;
while (GetNextResetDate(currentReset, true) <= endDate)
{
var Q = new CashFlow()
{
AccrualPeriodStart = currentReset,
FixingDateStart = currentReset.SubtractPeriod(FixingRollType, FixingCalendar, FixingOffset),
AccrualPeriodEnd = currentReset.AddPeriod(ResetRollType, ResetCalendar, ResetFrequency)
};
Q.SettleDate = (PaymentOffsetRelativeTo == OffsetRelativeToType.PeriodEnd) ?
Q.AccrualPeriodEnd.AddPeriod(PaymentRollType, PaymentCalendar, PaymentOffset) :
Q.AccrualPeriodStart.AddPeriod(PaymentRollType, PaymentCalendar, PaymentOffset);
//Q.Currency = CCY;
Q.NotionalByYearFraction = (LegType != SwapLegType.FixedNoAccrual && LegType != SwapLegType.FloatNoAccrual) ?
Q.AccrualPeriodStart.CalculateYearFraction(Q.AccrualPeriodEnd, AccrualDCB) :
1.0;
Q.Dcf = Q.NotionalByYearFraction;
Q.Notional = (double)Nominal;
Q.Fv = (LegType == SwapLegType.Fixed) ?
(double)Nominal * Q.NotionalByYearFraction * (double)FixedRateOrMargin :
0;
Q.FixedRateOrMargin = (double)FixedRateOrMargin;
Q.FlowType = (LegType == SwapLegType.Fixed) ? FlowType.FixedRate : FlowType.FloatRate;
lf.Add(Q);
nQ++;
currentReset = GetNextResetDate(currentReset, false);
}
if (lf.Last().AccrualPeriodEnd != endDate)
{
if (StubType == StubType.LongBack)
{
var Q = lf.Last();
Q.AccrualPeriodEnd = endDate;
Q.SettleDate = (PaymentOffsetRelativeTo == OffsetRelativeToType.PeriodEnd) ?
Q.AccrualPeriodEnd.AddPeriod(PaymentRollType, PaymentCalendar, PaymentOffset) :
Q.AccrualPeriodStart.AddPeriod(PaymentRollType, PaymentCalendar, PaymentOffset);
Q.Dcf = (LegType != SwapLegType.FixedNoAccrual && LegType != SwapLegType.FloatNoAccrual) ?
Q.AccrualPeriodStart.CalculateYearFraction(Q.AccrualPeriodEnd, AccrualDCB) :
1.0;
}
else
{
var Q = new CashFlow()
{
AccrualPeriodStart = lf.Last().AccrualPeriodEnd,
FixingDateStart = startDate.SubtractPeriod(FixingRollType, FixingCalendar, FixingOffset),
AccrualPeriodEnd = endDate
};
Q.SettleDate = (PaymentOffsetRelativeTo == OffsetRelativeToType.PeriodEnd) ?
Q.AccrualPeriodEnd.AddPeriod(PaymentRollType, PaymentCalendar, PaymentOffset) :
Q.AccrualPeriodStart.AddPeriod(PaymentRollType, PaymentCalendar, PaymentOffset);
//Q.Currency = CCY;
Q.NotionalByYearFraction = (LegType != SwapLegType.FixedNoAccrual && LegType != SwapLegType.FloatNoAccrual) ?
Q.AccrualPeriodStart.CalculateYearFraction(Q.AccrualPeriodEnd, AccrualDCB) :
1.0; Q.Notional = (double)Nominal;
Q.Dcf = Q.NotionalByYearFraction;
Q.Fv = (LegType == SwapLegType.Fixed) ?
(double)Nominal * Q.NotionalByYearFraction * (double)FixedRateOrMargin :
0;
Q.FixedRateOrMargin = (double)FixedRateOrMargin;
Q.FlowType = (LegType == SwapLegType.Fixed) ? FlowType.FixedRate : FlowType.FloatRate;
Q.Notional = (double)Nominal;
lf.Add(Q);
nQ++;
}
}
break;
}
case StubType.LongBoth:
case StubType.ShortBoth:
throw new NotImplementedException("Schedules with Both type stubs cannot be generated");
}
if (NotionalExchange == ExchangeType.BackOnly || NotionalExchange == ExchangeType.Both)
{
lf.Add(new CashFlow
{
Notional = (double)Nominal * (Direction == SwapPayReceiveType.Receiver ? -1.0 : 1.0),
Fv = (double)Nominal * (Direction == SwapPayReceiveType.Receiver ? -1.0 : 1.0),
SettleDate = endDate,
NotionalByYearFraction = 1.0,
Dcf = 1.0,
FlowType = FlowType.FixedAmount
});
}
f.Flows = lf.OrderBy(x => x.AccrualPeriodStart).ToList();
return(f);
}