public static Trade CreateFraTrade(FraInputRange2 fraInputRange)
{
var trade = new Trade();
var fra = new Fra
{
adjustedEffectiveDate =
DateTypesHelper.ToRequiredIdentifierDate(fraInputRange.AdjustedEffectiveDate),
adjustedTerminationDate = fraInputRange.AdjustedTerminationDate,
adjustedTerminationDateSpecified = true,
paymentDate =
DateTypesHelper.ToAdjustableDate(fraInputRange.UnadjustedPaymentDate,
fraInputRange.PaymentDateBusinessDayConvention,
fraInputRange.PaymentDateBusinessCenters),
Items = new object[] { new ProductType {
Value = ProductTypeSimpleEnum.FRA.ToString()
} },
ItemsElementName = new[] { ItemsChoiceType2.productType }
};
if ("resetDate" != fraInputRange.FixingDayOffsetDateRelativeTo)
{
throw new ArgumentException("The fixing date must be specified as 'resetDate'-relative!", nameof(fraInputRange));
}
var fixingDayType = EnumHelper.Parse <DayTypeEnum>(fraInputRange.FixingDayOffsetDayType);
fra.fixingDateOffset = RelativeDateOffsetHelper.Create(fraInputRange.FixingDayOffsetPeriod, fixingDayType,
fraInputRange.FixingDayOffsetBusinessDayConvention,
fraInputRange.FixingDayOffsetBusinessCenters,
fraInputRange.FixingDayOffsetDateRelativeTo);
fra.dayCountFraction = DayCountFractionHelper.Parse(fraInputRange.DayCountFraction);
IDayCounter dayCounter = DayCounterHelper.Parse(fra.dayCountFraction.Value);
fra.calculationPeriodNumberOfDays = dayCounter.DayCount(fra.adjustedEffectiveDate.Value, fra.adjustedTerminationDate).ToString(CultureInfo.InvariantCulture);
fra.notional = MoneyHelper.GetAmount(fraInputRange.NotionalAmount, fraInputRange.NotionalCurrency);
fra.fixedRate = (decimal)fraInputRange.FixedRate;
fra.fixedRateSpecified = true;
fra.floatingRateIndex = FloatingRateIndexHelper.Parse(fraInputRange.FloatingRateIndex);
fra.indexTenor = new[] { PeriodHelper.Parse(fraInputRange.IndexTenor) };
fra.fraDiscounting = fraInputRange.FraDiscounting;
fra.fraDiscountingSpecified = true;
PartyReference party1 = PartyReferenceFactory.Create("party1");
PartyReference party2 = PartyReferenceFactory.Create("party2");
fra.sellerPartyReference = party1;
fra.buyerPartyReference = party2;
if (bool.Parse(fraInputRange.IsParty1Buyer))
{
fra.sellerPartyReference = party2;
fra.buyerPartyReference = party1;
}
XsdClassesFieldResolver.TradeSetFra(trade, fra);
trade.id = fraInputRange.TradeId;
return(trade);
}
/// <summary>
///
/// </summary>
/// <param name="fraInputRange"></param>
/// <returns></returns>
public static Fra GetFpMLFra(FraInputRange fraInputRange)
{
var fra = new Fra
{
adjustedEffectiveDate =
DateTypesHelper.ToRequiredIdentifierDate(fraInputRange.AdjustedEffectiveDate),
adjustedTerminationDate = fraInputRange.AdjustedTerminationDate,
paymentDate =
DateTypesHelper.ToAdjustableDate(fraInputRange.UnadjustedPaymentDate,
fraInputRange.PaymentDateBusinessDayConvention,
fraInputRange.PaymentDateBusinessCenters)
};
if ("resetDate" != fraInputRange.FixingDayOffsetDateRelativeTo)
{
throw new ArgumentException("The fixing date must be specified as 'resetDate'-relative!", nameof(fraInputRange));
}
var fixingDayType = EnumHelper.Parse <DayTypeEnum>(fraInputRange.FixingDayOffsetDayType);
fra.fixingDateOffset = RelativeDateOffsetHelper.Create(fraInputRange.FixingDayOffsetPeriod, fixingDayType,
fraInputRange.FixingDayOffsetBusinessDayConvention,
fraInputRange.FixingDayOffsetBusinessCenters,
fraInputRange.FixingDayOffsetDateRelativeTo);
fra.dayCountFraction = DayCountFractionHelper.Parse(fraInputRange.DayCountFraction);
IDayCounter dayCounter = DayCounterHelper.Parse(fra.dayCountFraction.Value);
fra.calculationPeriodNumberOfDays = dayCounter.DayCount(fra.adjustedEffectiveDate.Value, fra.adjustedTerminationDate).ToString();
fra.notional = MoneyHelper.GetAmount(fraInputRange.NotionalAmount, fraInputRange.NotionalCurrency);
fra.fixedRate = (decimal)fraInputRange.FixedRate;
fra.floatingRateIndex = FloatingRateIndexHelper.Parse(fraInputRange.FloatingRateIndex);
fra.indexTenor = new[] { PeriodHelper.Parse(fraInputRange.IndexTenor) };
fra.fraDiscounting = fraInputRange.FraDiscounting;
PartyReference nabParty = PartyReferenceFactory.Create("NAB");
PartyReference counterParty = PartyReferenceFactory.Create("COUNTERPARTY");
if (bool.Parse(fraInputRange.Sell))
{
fra.sellerPartyReference = nabParty;
fra.buyerPartyReference = counterParty;
}
else
{
fra.sellerPartyReference = counterParty;
fra.buyerPartyReference = nabParty;
}
return(fra);
}
