private void SetProperties()
{
switch (PricingStructureType)
{
case PricingStructureTypeEnum.RateCurve:
case PricingStructureTypeEnum.RateBasisCurve:
ForecastRateIndex = ForecastRateIndexHelper.Parse(Index, IndexTenor);
break;
case PricingStructureTypeEnum.RateSpreadCurve:
case PricingStructureTypeEnum.ClearedRateCurve:
ForecastRateIndex = ForecastRateIndexHelper.Parse(Index, IndexTenor);
ReferenceCurveTypeAndName = PropertyHelper.ExtractReferenceCurveName(Properties);
ReferenceCurveUniqueId = PropertyHelper.ExtractReferenceCurveUniqueId(Properties);
break;
case PricingStructureTypeEnum.DiscountCurve:
string creditInstrumentId = PropertyHelper.ExtractCreditInstrumentId(Properties);
string creditSeniority = PropertyHelper.ExtractCreditSeniority(Properties);
CreditInstrumentId = InstrumentIdHelper.Parse(creditInstrumentId);
CreditSeniority = CreditSeniorityHelper.Parse(creditSeniority);
break;
case PricingStructureTypeEnum.RateXccyCurve:
//ForecastRateIndex = ForecastRateIndexHelper.Parse(Index, IndexTenor);
string discountInstrumentId = PropertyHelper.ExtractCreditInstrumentId(Properties);
string discountSeniority = PropertyHelper.ExtractCreditSeniority(Properties);
CreditInstrumentId = InstrumentIdHelper.Parse(discountInstrumentId);
CreditSeniority = CreditSeniorityHelper.Parse(discountSeniority);
ReferenceCurveTypeAndName = PropertyHelper.ExtractReferenceCurveName(Properties);
ReferenceCurveUniqueId = PropertyHelper.ExtractReferenceCurveUniqueId(Properties);
ReferenceFxCurveTypeAndName = PropertyHelper.ExtractReferenceFxCurveName(Properties);
ReferenceFxCurveUniqueId = PropertyHelper.ExtractReferenceFxCurveUniqueId(Properties);
ReferenceCurrency2CurveTypeAndName = PropertyHelper.ExtractReferenceCurrency2CurveName(Properties);
ReferenceCurrency2CurveId = PropertyHelper.ExtractReferenceCurrency2CurveId(Properties);
break;
case PricingStructureTypeEnum.InflationCurve:
ForecastRateIndex = ForecastRateIndexHelper.Parse(Index, IndexTenor);
var inflationLag = PropertyHelper.ExtractInflationLag(Properties);
if (inflationLag != "Unknown")
{
InflationLag = PeriodHelper.Parse(inflationLag);
}
break;
case PricingStructureTypeEnum.XccySpreadCurve:
PricingStructureType = PricingStructureTypeEnum.RateSpreadCurve;
break;
}
}
private void SetProperties(PricingStructureTypeEnum pricingStructureType, string curveName)
{
if (pricingStructureType == PricingStructureTypeEnum.RateCurve ||
pricingStructureType == PricingStructureTypeEnum.RateBasisCurve ||
pricingStructureType == PricingStructureTypeEnum.ClearedRateCurve ||
pricingStructureType == PricingStructureTypeEnum.RateSpreadCurve)
{
var rateCurveId = curveName.Split('-');
var indexTenor = rateCurveId[rateCurveId.Length - 1];
var indexName = rateCurveId[0];
for (var i = 1; i < rateCurveId.Length - 1; i++)
{
indexName = indexName + '-' + rateCurveId[i];
}
ForecastRateIndex = ForecastRateIndexHelper.Parse(indexName, indexTenor);
}
if (pricingStructureType == PricingStructureTypeEnum.DiscountCurve ||
pricingStructureType == PricingStructureTypeEnum.RateXccyCurve)
{
var rateCurveId = CurveName.Split('-');
var subordination = rateCurveId[rateCurveId.Length - 1];
var indexName = rateCurveId[0];
for (var i = 1; i < rateCurveId.Length - 1; i++)
{
indexName = indexName + '-' + rateCurveId[i];
}
CreditInstrumentId = InstrumentIdHelper.Parse(indexName);
CreditSeniority = CreditSeniorityHelper.Parse(subordination);
}
if (pricingStructureType == PricingStructureTypeEnum.InflationCurve)
{
var rateCurveId = CurveName.Split('-');
var indexTenor = rateCurveId[rateCurveId.Length - 1];
var indexName = rateCurveId[0];
for (var i = 1; i < rateCurveId.Length - 1; i++)
{
indexName = indexName + '-' + rateCurveId[i];
}
ForecastRateIndex = ForecastRateIndexHelper.Parse(indexName, indexTenor);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableCapFloorStream"/> class. All the cashflows must be signed.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="stream">The stream.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="payerIsBase">The flag for whether the payerreference is the base party.</param>
/// <param name="forecastRateInterpolation">ForwardEndDate = forecastRateInterpolation ? AccrualEndDate
/// : AdjustedDateHelper.ToAdjustedDate(forecastRateIndex.indexTenor.Add(AccrualStartDate), AccrualBusinessDayAdjustments);</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
public PriceableCapFloorStream(ILogger logger, ICoreCache cache, String nameSpace
, bool payerIsBase, InterestRateStream stream, bool forecastRateInterpolation
, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar)
: base(logger
, cache
, nameSpace
, payerIsBase
, stream
, forecastRateInterpolation
, fixingCalendar
, paymentCalendar)
{
if (Calculation.Items == null)
{
return;
}
var floatingRateCalculation = (FloatingRateCalculation)Calculation.Items[0];
var floatingRateIndex = floatingRateCalculation.floatingRateIndex;
var indexTenor = floatingRateCalculation.indexTenor.ToString();
var forecastRate = ForecastRateIndexHelper.Parse(floatingRateIndex.Value, indexTenor);
VolatilitySurfaceName = CurveNameHelpers.GetRateVolatilityMatrixName(forecastRate);
}
/// <summary>
///
/// </summary>
/// <param name="buyerIsBase"></param>
/// <param name="calculation"></param>
/// <param name="coupon"></param>
/// <param name="fOCalculationMethod"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <returns></returns>
public static PriceableCapFloorCoupon CreatePriceableCapFloorCoupon(bool buyerIsBase,
Calculation calculation, PaymentCalculationPeriod coupon, bool fOCalculationMethod
, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar)
{
var notional = (Notional)calculation.Item;
var currency = notional.notionalStepSchedule.currency;
var dayCountFraction = calculation.dayCountFraction;
var paymentDate = coupon.adjustedPaymentDateSpecified
? coupon.adjustedPaymentDate
: coupon.unadjustedPaymentDate;
var calculationPeriods =
XsdClassesFieldResolver.GetPaymentCalculationPeriodCalculationPeriodArray(coupon);
if (calculationPeriods.Length == 1)
{
var calculationPeriod = calculationPeriods[0];
//Money expectedCashFlow = null;
decimal notionalamount = XsdClassesFieldResolver.CalculationPeriodGetNotionalAmount(calculationPeriod);
Money money = buyerIsBase ? MoneyHelper.GetAmount(-1 * notionalamount, currency) : MoneyHelper.GetAmount(notionalamount, currency);
var accrualStartDate = calculationPeriod.adjustedStartDateSpecified
? calculationPeriod.adjustedStartDate
: calculationPeriod.unadjustedStartDate;
var accrualEndDate = calculationPeriod.adjustedEndDateSpecified
? calculationPeriod.adjustedEndDate
: calculationPeriod.unadjustedEndDate;
// If has a fixed rate (fixed rate coupon)
var isThereDiscounting = XsdClassesFieldResolver.CalculationHasDiscounting(calculation);
if (XsdClassesFieldResolver.CalculationPeriodHasFloatingRateDefinition(calculationPeriod))
{
//The floating rate definition.
FloatingRateDefinition floatingRateDefinition = XsdClassesFieldResolver.CalculationPeriodGetFloatingRateDefinition(calculationPeriod);
//The floatingrateCalculation.
Debug.Assert(calculation.Items != null);
Debug.Assert(calculation.Items.Length > 0);
Debug.Assert(calculation.Items[0] is FloatingRateCalculation);
var floatingRateCalculation = (FloatingRateCalculation)calculation.Items[0];
//The forecast rate index.
var floatingRateIndex = floatingRateCalculation.floatingRateIndex;
var indexTenor = floatingRateCalculation.indexTenor.ToString();
var forecastRate = ForecastRateIndexHelper.Parse(floatingRateIndex.Value, indexTenor);
//The rate observation
// Apply spread from schedule if it hasn't been specified yet.
decimal margin = 0m;
if (floatingRateDefinition.spreadSpecified)
{
margin = floatingRateDefinition.spread;
}
//The observed rate.
Decimal?observedRate = null;
Decimal?capStrike = null;
Decimal?floorStrike = null;
if (floatingRateDefinition.capRate != null)
{
capStrike = floatingRateDefinition.capRate[0].strikeRate;
}
if (floatingRateDefinition.floorRate != null)
{
floorStrike = floatingRateDefinition.floorRate[0].strikeRate;
}
if (floatingRateDefinition.rateObservation != null)
{
var rateObservation = floatingRateDefinition.rateObservation[0];
if (rateObservation.observedRateSpecified)
{
observedRate = rateObservation.observedRate;
}
PriceableCapFloorCoupon rateCoupon;
if (isThereDiscounting)
{
var discounting = XsdClassesFieldResolver.CalculationGetDiscounting(calculation);
var floatingCouponWithDiscounting = new PriceableCapFloorCoupon(coupon.id, buyerIsBase,
capStrike, floorStrike, accrualStartDate, accrualEndDate,
rateObservation.adjustedFixingDate, dayCountFraction,
margin, observedRate, money, paymentDate,
forecastRate, discounting.discountingType,
observedRate, null, fixingCalendar, paymentCalendar);
if (fOCalculationMethod)
{
floatingCouponWithDiscounting.ForecastRateInterpolation = true;
}
rateCoupon = floatingCouponWithDiscounting;
return(rateCoupon);
}
var floatingCoupon = new PriceableCapFloorCoupon(coupon.id, buyerIsBase, capStrike, floorStrike,
accrualStartDate, accrualEndDate,
rateObservation.adjustedFixingDate, dayCountFraction,
margin, observedRate, money, paymentDate,
forecastRate, null, null, null,
fixingCalendar, paymentCalendar);
if (fOCalculationMethod)
{
floatingCoupon.ForecastRateInterpolation = true;
}
rateCoupon = floatingCoupon;
return(rateCoupon);
}
throw new NotImplementedException("Need to return a rate coupon, Alex!");
}
throw new System.Exception("CalculationPeriod has neither fixedRate nor floatingRateDefinition.");
}
throw new System.Exception("PaymentCalculationPeriod has zero, or multiple CalculationPeriods.");
}
/// <summary>
///
/// </summary>
/// <param name="payerIsBase"></param>
/// <param name="calculation"></param>
/// <param name="coupon"></param>
/// <param name="fOCalculationMethod"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <returns></returns>
public static PriceableRateCoupon CreatePriceableCoupon(bool payerIsBase, Calculation calculation, PaymentCalculationPeriod coupon, bool fOCalculationMethod
, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar)
{
var notional = (Notional)calculation.Item;
var currency = notional.notionalStepSchedule.currency;
var dayCountFraction = calculation.dayCountFraction;
var paymentDate = coupon.adjustedPaymentDateSpecified
? coupon.adjustedPaymentDate
: coupon.unadjustedPaymentDate;
var calculationPeriods = XsdClassesFieldResolver.GetPaymentCalculationPeriodCalculationPeriodArray(coupon);
var discountFactorSpecified = coupon.discountFactorSpecified;
if (calculationPeriods.Length == 1)
{
var calculationPeriod = calculationPeriods[0];
var notionalAmount = XsdClassesFieldResolver.CalculationPeriodGetNotionalAmount(calculationPeriod);
var money = payerIsBase ? MoneyHelper.GetAmount(-1 * notionalAmount, currency) : MoneyHelper.GetAmount(notionalAmount, currency);
var accrualStartDate = calculationPeriod.adjustedStartDateSpecified
? calculationPeriod.adjustedStartDate
: calculationPeriod.unadjustedStartDate;
var accrualEndDate = calculationPeriod.adjustedEndDateSpecified
? calculationPeriod.adjustedEndDate
: calculationPeriod.unadjustedEndDate;
// If has a fixed rate (fixed rate coupon)
var isThereDiscounting = XsdClassesFieldResolver.CalculationHasDiscounting(calculation);
PriceableRateCoupon rateCoupon;
if (XsdClassesFieldResolver.CalculationPeriodHasFixedRate(calculationPeriod))
{
decimal finalRate = XsdClassesFieldResolver.CalculationPeriodGetFixedRate(calculationPeriod);
//The discount rate must be set. It would normally be the final rate. The assumption is that, it the discounting rate is zero then the final rate should be used.
if (isThereDiscounting)
{
var discounting = XsdClassesFieldResolver.CalculationGetDiscounting(calculation);
//This test works because if the rate is zero, then the coupon is not discounted and discounting Type should be null.
var discountRate = discounting.discountRate == 0.0m ? finalRate : discounting.discountRate;
rateCoupon = new PriceableFixedRateCoupon(coupon.id, payerIsBase, accrualStartDate, accrualEndDate,
dayCountFraction, finalRate, money, null, paymentDate, discounting.discountingType, discountRate,
null, paymentCalendar);
if (discountFactorSpecified)
{
rateCoupon.PaymentDiscountFactor = coupon.discountFactor;
}
return(rateCoupon);
}
rateCoupon = new PriceableFixedRateCoupon(coupon.id, payerIsBase, accrualStartDate, accrualEndDate,
dayCountFraction, finalRate, money, null, paymentDate, null, null,
null, paymentCalendar);
if (discountFactorSpecified)
{
rateCoupon.PaymentDiscountFactor = coupon.discountFactor;
}
return(rateCoupon);
}
if (XsdClassesFieldResolver.CalculationPeriodHasFloatingRateDefinition(calculationPeriod))
{
//The floating rate definition.
FloatingRateDefinition floatingRateDefinition = XsdClassesFieldResolver.CalculationPeriodGetFloatingRateDefinition(calculationPeriod);
//The floating rate Calculation.
Debug.Assert(calculation.Items != null);
Debug.Assert(calculation.Items.Length > 0);
Debug.Assert(calculation.Items[0] is FloatingRateCalculation);
var floatingRateCalculation = (FloatingRateCalculation)calculation.Items[0];
//The forecast rate index.
var floatingRateIndex = floatingRateCalculation.floatingRateIndex;
var indexTenor = floatingRateCalculation.indexTenor.ToString();
var forecastRate = ForecastRateIndexHelper.Parse(floatingRateIndex.Value, indexTenor);
//The rate observation
// Apply spread from schedule if it hasn't been specified yet.
var margin = 0m;
if (floatingRateDefinition.spreadSpecified)
{
margin = floatingRateDefinition.spread;
}
//The observed rate.
Decimal?observedRate = null;
Decimal?capStrike = null;
Decimal?floorStrike = null;
if (floatingRateDefinition.capRate != null)
{
capStrike = floatingRateDefinition.capRate[0].strikeRate;
}
if (floatingRateDefinition.floorRate != null)
{
floorStrike = floatingRateDefinition.floorRate[0].strikeRate;
}
if (floatingRateDefinition.rateObservation != null)//TODO This is a big problem. Need to handle the case of no fixing date!
{
var rateObservation = floatingRateDefinition.rateObservation[0];
if (rateObservation.observedRateSpecified)
{
observedRate = rateObservation.observedRate;
}
//Removed because Igor's old code populates these fields when the trade is created. This means the coupon is not recalculated!
//Now the coupon will ignore any previous calculations and only treat as a fixed coupon if the observed rate has been specified.
if (isThereDiscounting)
{
var discounting = XsdClassesFieldResolver.CalculationGetDiscounting(calculation);
if (capStrike != null || floorStrike != null)
{
rateCoupon = new PriceableCapFloorCoupon(coupon.id, !payerIsBase,
capStrike, floorStrike, accrualStartDate, accrualEndDate,
rateObservation.adjustedFixingDate, dayCountFraction,
margin, observedRate, money, paymentDate,
forecastRate, discounting.discountingType,
observedRate, null, fixingCalendar, paymentCalendar);
}
else
{
rateCoupon = new PriceableFloatingRateCoupon(coupon.id, !payerIsBase, accrualStartDate, accrualEndDate,
rateObservation.adjustedFixingDate, dayCountFraction,
margin, observedRate, money, paymentDate,
forecastRate, discounting.discountingType,
observedRate, null, fixingCalendar, paymentCalendar);
}
}
else
{
if (capStrike != null || floorStrike != null)
{
rateCoupon = new PriceableCapFloorCoupon(coupon.id, !payerIsBase, capStrike, floorStrike,
accrualStartDate, accrualEndDate,
rateObservation.adjustedFixingDate, dayCountFraction,
margin, observedRate, money, paymentDate,
forecastRate, null, null, null,
fixingCalendar, paymentCalendar);
}
else
{
rateCoupon = new PriceableFloatingRateCoupon(coupon.id, payerIsBase, accrualStartDate, accrualEndDate,
rateObservation.adjustedFixingDate, dayCountFraction,
margin, observedRate, money, paymentDate,
forecastRate, null, null, null,
fixingCalendar, paymentCalendar);
}
}
if (fOCalculationMethod)
{
((PriceableFloatingRateCoupon)rateCoupon).ForecastRateInterpolation = true;
}
if (discountFactorSpecified)
{
rateCoupon.PaymentDiscountFactor = coupon.discountFactor;
}
return(rateCoupon);
}
throw new NotImplementedException("Need to return a rate coupon, Alex!");
}
throw new System.Exception("CalculationPeriod has neither fixedRate nor floatingRateDefinition.");
}
throw new System.Exception("PaymentCalculationPeriod has zero, or multiple CalculationPeriods.");
}