/// <summary>
/// Build the fx leg
/// </summary>
/// <param name="exchangeCurrency1PayPartyReference"></param>
/// <param name="exchangeCurrency2PayPartyReference"></param>
/// <param name="exchangeCurrency1Amount"></param>
/// <param name="exchangeCurrency1"></param>
/// <param name="exchangeCurrency2"></param>
/// <param name="quoteBasis"></param>
/// <param name="valueDate"></param>
/// <param name="spotRate"></param>
/// <returns></returns>
public static FxSwapLeg ParseSpot(string exchangeCurrency1PayPartyReference, string exchangeCurrency2PayPartyReference, decimal exchangeCurrency1Amount,
string exchangeCurrency1, string exchangeCurrency2, QuoteBasisEnum quoteBasis, DateTime valueDate, Decimal spotRate)
{
var fxLeg = FxSwapLeg.CreateSpot(exchangeCurrency1PayPartyReference, exchangeCurrency2PayPartyReference, exchangeCurrency1Amount,
exchangeCurrency1, exchangeCurrency2, quoteBasis, valueDate, spotRate);
return(fxLeg);
}
/// <summary>
/// Builds this instance.
/// </summary>
/// <returns></returns>
public FxSwapLeg Build()//TODO implement this.
{
var fxLeg = new FxSwapLeg
{
exchangedCurrency1 = Payments[0].Build(),
exchangedCurrency2 = Payments[1].Build(),
exchangeRate = ExchangeRate,
id = Id,
Items = new[] { RiskMaturityDate },
ItemsElementName = new[] { ItemsChoiceType12.valueDate }
};
return(fxLeg);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableFxSwapLeg"/> class. All the cashfloews must be signed.
/// </summary>
/// <param name="fxLeg">The fxLeg.</param>
/// <param name="baseParty">The the base party.</param>
/// <param name="productType">THe product type: This should only be FxSpot or FxForward.</param>
public PriceableFxSwapLeg(FxSwapLeg fxLeg, string baseParty, ProductTypeSimpleEnum productType)
{
Multiplier = 1.0m;
OrderedPartyNames = new List <string>();
Id = fxLeg.id;
AnalyticsModel = new FxLegAnalytic();
ProductType = productType;
ExchangeRate = fxLeg.exchangeRate;
HybridValuation = true;
//Get the currency.
PaymentCurrencies = new List <string>();
Currency1 = fxLeg.exchangedCurrency1.paymentAmount.currency;
Currency2 = fxLeg.exchangedCurrency2.paymentAmount.currency;
if (!PaymentCurrencies.Contains(Currency1.Value))
{
PaymentCurrencies.Add(Currency1.Value);
}
if (!PaymentCurrencies.Contains(Currency2.Value))
{
PaymentCurrencies.Add(Currency2.Value);
}
//Set the default discount curve name.
Currency1DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Currency1.Value, true);
//Set the default discount curve name.
Currency2DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Currency2.Value, true);
//TODO
//Set the appropraiet cross
//if the quotebasis is : Currency1PerCurrency2 the currency curve is: currency1-currency2
if (ExchangeRate.quotedCurrencyPair.quoteBasis == QuoteBasisEnum.Currency2PerCurrency1)
{
FxIndexCurveName = MarketEnvironmentHelper.ResolveFxCurveNames(Currency1.Value,
Currency2.Value);
} //Otherwise it is Currency2-Currency1
else
{
FxIndexCurveName = MarketEnvironmentHelper.ResolveFxCurveNames(Currency2.Value,
Currency1.Value);
}
if (fxLeg.nonDeliverableSettlement != null)//TODO Not implemented yet.
{
IsNonDeliverableForward = true;
SettlementCurrency = fxLeg.nonDeliverableSettlement.settlementCurrency;
SettlementCurrencyDiscountCurveName = CurveNameHelpers.GetDiscountCurveName(SettlementCurrency.Value, true);
}
//Build the coupons and principal exchanges.
Payments = PriceableInstrumentsFactory.CreatePriceableFxLegPayment(baseParty, fxLeg);
//TODO: add extra cashflowss.
RiskMaturityDate = fxLeg.ItemsElementName[0] == ItemsChoiceType12.valueDate ? fxLeg.Items[0] : LastDate();
}
public static Trade CreateFxSwap(string tradeId, DateTime tradeDate, string exchangeCurrency1PayPartyReference, string exchangeCurrency2PayPartyReference,
decimal exchangeCurrency1Amount, string exchangeCurrency1, string exchangeCurrency2, QuoteBasisEnum quoteBasis,
DateTime valueDate, Decimal spotRate, Decimal?forwardRate, Decimal?forwardPoints)
{
var trade = new Trade {
id = tradeId, tradeHeader = new TradeHeader()
};
var party1 = PartyTradeIdentifierHelper.Parse(tradeId, "party1");
var party2 = PartyTradeIdentifierHelper.Parse(tradeId, "party2");
trade.tradeHeader.partyTradeIdentifier = new[] { party1, party2 };
trade.tradeHeader.tradeDate = new IdentifiedDate {
Value = tradeDate
};
var nearLeg = new FxSwapLeg();
var farLeg = new FxSwapLeg();
if (forwardRate == null)
{
nearLeg = ParseSpot(exchangeCurrency1PayPartyReference, exchangeCurrency2PayPartyReference, exchangeCurrency1Amount,
exchangeCurrency1, exchangeCurrency2, quoteBasis, valueDate, spotRate);
}
else
{
farLeg = PriceableFxSwapLeg.ParseForward(exchangeCurrency1PayPartyReference, exchangeCurrency2PayPartyReference, exchangeCurrency1Amount,
exchangeCurrency1, exchangeCurrency2, quoteBasis, valueDate, spotRate, (decimal)forwardRate, forwardPoints);
}
var fxSwap = new FxSwap
{
nearLeg = nearLeg,
farLeg = farLeg,
Items = new object[] { ProductTypeHelper.Create(ProductTypeSimpleEnum.FxSwap.ToString()) },
ItemsElementName = new[] { ItemsChoiceType2.productType }
};
FpMLFieldResolver.TradeSetFxSwap(trade, fxSwap);
return(trade);
}
/// <summary>
///
/// </summary>
/// <param name="baseParty"></param>
/// <param name="fxLeg"></param>
/// <returns></returns>
public static IList <PriceablePayment> CreatePriceableFxLegPayment(string baseParty, FxSwapLeg fxLeg)//TODO Fix this.
{
string id1 = fxLeg.exchangedCurrency1.id ?? "Payment_" + fxLeg.exchangedCurrency1.paymentAmount.currency.Value;
string id2 = fxLeg.exchangedCurrency2.id ?? "Payment_" + fxLeg.exchangedCurrency2.paymentAmount.currency.Value;
var priceablePayments = new List <PriceablePayment>();
bool payerIsBase = false;
//payment1
var paymentAmount1 = fxLeg.exchangedCurrency1.paymentAmount.amount;
if (baseParty == fxLeg.exchangedCurrency1.payerPartyReference.href)
{
paymentAmount1 *= -1; // *fxLeg.exchangedCurrency1.paymentAmount.amount;
payerIsBase = true;
}
var paymentDate = fxLeg.Items[0];
var currency1 = fxLeg.exchangedCurrency1.paymentAmount.currency.Value;
priceablePayments.Add(new PriceablePayment(id1, fxLeg.exchangedCurrency1.payerPartyReference.href,
fxLeg.exchangedCurrency2.payerPartyReference.href, payerIsBase,
paymentAmount1, currency1, paymentDate, null));
//payment2
var paymentAmount2 = fxLeg.exchangedCurrency2.paymentAmount.amount;
if (baseParty == fxLeg.exchangedCurrency2.payerPartyReference.href)
{
paymentAmount2 *= -1; // *fxLeg.exchangedCurrency2.paymentAmount.amount;
payerIsBase = true;
}
var currency2 = fxLeg.exchangedCurrency2.paymentAmount.currency.Value;
priceablePayments.Add(new PriceablePayment(id2, fxLeg.exchangedCurrency1.payerPartyReference.href,
fxLeg.exchangedCurrency2.payerPartyReference.href, payerIsBase, paymentAmount2, currency2, paymentDate, null));
return(priceablePayments);
}
