public ForwardRateAgreement(DateTime startDate, double parRate, FloatRateIndex rateIndex, SwapPayReceiveType payRec, FraDiscountingType fraType, string forecastCurve, string discountCurve)
{
StartDate = startDate;
ResetDate = StartDate.AddPeriod(RollType.P, rateIndex.HolidayCalendars, rateIndex.FixingOffset);
EndDate = new TenorDateRelative(rateIndex.ResetTenor);
RateIndex = rateIndex;
ParRate = parRate;
Basis = rateIndex.DayCountBasis;
PayRec = payRec;
FraLeg = new GenericSwapLeg(StartDate, EndDate.Date(StartDate, rateIndex.RollConvention, rateIndex.HolidayCalendars), rateIndex.HolidayCalendars, rateIndex.Currency, rateIndex.ResetTenor, Basis)
{
FixedRateOrMargin = (decimal)ParRate
};
FlowScheduleFra = FraLeg.GenerateSchedule();
FraLeg.FixedRateOrMargin = (decimal)ParRate;
FraLeg.LegType = SwapLegType.Fra;
FlowScheduleFra.Flows[0].SettleDate = StartDate;
ForecastCurve = forecastCurve;
DiscountCurve = discountCurve;
FraType = fraType;
PillarDate = FlowScheduleFra.Flows[0].AccrualPeriodEnd;
}
public ForwardRateAgreement(DateTime valDate, string fraCode, double parRate, FloatRateIndex rateIndex, SwapPayReceiveType payRec, FraDiscountingType fraType, string forecastCurve, string discountCurve)
{
var code = fraCode.ToUpper().Split('X');
StartDate = valDate.AddPeriod(rateIndex.RollConvention, rateIndex.HolidayCalendars, new Frequency(code[0] + "M"));
ResetDate = StartDate.AddPeriod(RollType.P, rateIndex.HolidayCalendars, rateIndex.FixingOffset);
EndDate = new TenorDateRelative(rateIndex.ResetTenor);
ParRate = parRate;
Basis = rateIndex.DayCountBasis;
PayRec = payRec;
FraLeg = new GenericSwapLeg(StartDate, EndDate.Date(StartDate, rateIndex.RollConvention, rateIndex.HolidayCalendars), rateIndex.HolidayCalendars, rateIndex.Currency, rateIndex.ResetTenor, Basis)
{
FixedRateOrMargin = (decimal)ParRate
};
FlowScheduleFra = FraLeg.GenerateSchedule();
FraLeg.FixedRateOrMargin = (decimal)ParRate;
FraLeg.LegType = SwapLegType.Fra;
FlowScheduleFra.Flows[0].SettleDate = StartDate;
ForecastCurve = forecastCurve;
DiscountCurve = discountCurve;
FraType = fraType;
}
