private static InterestRateStream GenerateCapFloorStreamDefinition(CapFloorLegParametersRange legParametersRange)
{
Discounting discounting = null;
InterestRateStream stream;
if (legParametersRange.DiscountingType != null && legParametersRange.DiscountingType.ToUpper() != "NONE")
{
discounting = new Discounting
{
discountingType =
EnumHelper.Parse <DiscountingTypeEnum>(legParametersRange.DiscountingType)
};
stream = InterestRateStreamFactory.CreateFloatingRateStream(DiscountingTypeToPayRelativeTo(discounting.discountingType));
}
// Create the stream object
//
else
{
stream = InterestRateStreamFactory.CreateFloatingRateStream(DiscountingTypeToPayRelativeTo(null));
}
// Set effective and termination dates of the stream.
//
SetEffectiveAndTerminationDates(stream, legParametersRange.EffectiveDate, legParametersRange.MaturityDate, legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
// Adjusted or unadjusted swap
//
stream.calculationPeriodDates.calculationPeriodDatesAdjustments = AdjustedType.Adjusted != legParametersRange.AdjustedType ? BusinessDayAdjustmentsHelper.Create(BusinessDayConventionEnum.NONE, legParametersRange.PaymentCalendar) : BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
stream.calculationPeriodDates.calculationPeriodFrequency = CalculationPeriodFrequencyHelper.Parse(legParametersRange.PaymentFrequency, legParametersRange.RollConvention);
stream.paymentDates.paymentFrequency = PeriodHelper.Parse(legParametersRange.PaymentFrequency).ToFrequency();
stream.paymentDates.paymentDatesAdjustments = BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
stream.resetDates.fixingDates = RelativeDateOffsetHelper.Create(legParametersRange.PaymentFrequency, DayTypeEnum.Business, BusinessDayConventionEnum.NONE.ToString(), legParametersRange.FixingCalendar, "resetDates");//"NONE" & "resedDates" - hardcoded
stream.resetDates.resetFrequency = ResetFrequencyHelper.Parse(legParametersRange.PaymentFrequency);
stream.resetDates.resetDatesAdjustments = BusinessDayAdjustmentsHelper.Create(legParametersRange.FixingBusinessDayAdjustments, legParametersRange.FixingCalendar);
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(stream.calculationPeriodAmount);
// Set discounting type
//
calculation.discounting = discounting;
// Set notional amount (as the initial value in notional schedule)
//
SetNotional(calculation, legParametersRange.NotionalAmount, legParametersRange.Currency);
// Set floating rate index name
//
string indexTenor = legParametersRange.PaymentFrequency;
string indexName = legParametersRange.ForecastIndexName;
FloatingRateCalculation floatingRateCalculation = FloatingRateCalculationFactory.Create(indexName, indexTenor, legParametersRange.FloatingRateSpread);
XsdClassesFieldResolver.CalculationSetFloatingRateCalculation(calculation, floatingRateCalculation);
if (legParametersRange.CapOrFloor == CapFloorType.Cap)
{
floatingRateCalculation.capRateSchedule = new[] { new StrikeSchedule() };
floatingRateCalculation.capRateSchedule[0].initialValue = legParametersRange.StrikeRate;
floatingRateCalculation.capRateSchedule[0].buyer = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Receiver
};
floatingRateCalculation.capRateSchedule[0].seller = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Payer
};
}
else
{
floatingRateCalculation.floorRateSchedule = new[] { new StrikeSchedule() };
floatingRateCalculation.floorRateSchedule[0].initialValue = legParametersRange.StrikeRate;
floatingRateCalculation.floorRateSchedule[0].buyer = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Receiver
};
floatingRateCalculation.floorRateSchedule[0].seller = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Payer
};
}
// Set day count convention
//
calculation.dayCountFraction = DayCountFractionHelper.Parse(legParametersRange.DayCount);
return(stream);
}
private static InterestRateStream GenerateFixedStreamDefinition(SwapLegParametersRange legParametersRange)
{
var discountingType = legParametersRange.DiscountingType;
InterestRateStream stream;
Discounting discounting = null;
if (discountingType != null && discountingType.ToUpper() != "NONE")
{
discounting = new Discounting {
discountingType = EnumHelper.Parse <DiscountingTypeEnum>(legParametersRange.DiscountingType), discountingTypeSpecified = true
};
stream = InterestRateStreamFactory.CreateFixedRateStream(DiscountingTypeToPayRelativeTo(discounting.discountingType));
}
else
{
stream = InterestRateStreamFactory.CreateFixedRateStream(DiscountingTypeToPayRelativeTo(null));
}
// Set effective and termination dates of the stream.
//
SetEffectiveAndTerminationDates(stream, legParametersRange.EffectiveDate, legParametersRange.MaturityDate, legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
//Set the FirstRegularPeriodStartDate
SetFirstRegularPeriodStartDate(stream, legParametersRange.FirstRegularPeriodStartDate);
//Set the LastRegularPeriodEndDate
SetLastRegularPeriodEndDate(stream, legParametersRange.LastRegularPeriodEndDate);
// Adjusted or unadjusted swap
//
var dateAdjustments = AdjustedType.Adjusted != legParametersRange.AdjustedType ? BusinessDayAdjustmentsHelper.Create(BusinessDayConventionEnum.NONE, legParametersRange.PaymentCalendar) : BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
stream.calculationPeriodDates.calculationPeriodDatesAdjustments = dateAdjustments;
stream.calculationPeriodDates.calculationPeriodFrequency = CalculationPeriodFrequencyHelper.Parse(legParametersRange.PaymentFrequency, legParametersRange.RollConvention);
//Set FirstPeriodStartDate i.e. Full or Partial period.
if (legParametersRange.FirstCouponType == FirstCouponType.Full)
{
var firstCouponStartDate = new AdjustableDate
{
dateAdjustments = dateAdjustments, id = "FullFirstCoupon"
};
SetFirstPeriodStartDate(stream, firstCouponStartDate);
}
// Set payment dates frequency and adjustments
//
stream.paymentDates.paymentFrequency = PeriodHelper.Parse(legParametersRange.PaymentFrequency).ToFrequency();
stream.paymentDates.paymentDatesAdjustments = BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(stream.calculationPeriodAmount);
// Set discounting type
//
calculation.discounting = discounting;
// Set notional amount (as the initial value in notional schedule)
//
SetNotional(calculation, legParametersRange.NotionalAmount, legParametersRange.Currency);
// Set fixed rate (as the initial value in fixed-rate schedule)
//
Schedule fixedRateSchedule = ScheduleHelper.Create(legParametersRange.CouponOrLastResetRate);
XsdClassesFieldResolver.CalculationSetFixedRateSchedule(calculation, fixedRateSchedule);
// Set the 'day count convention'
//
calculation.dayCountFraction = DayCountFractionHelper.Parse(legParametersRange.DayCount);
// Initial stub
//
//if (paymentCalendar==null)
//{
// paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, stream.paymentDates.paymentDatesAdjustments.businessCenters);
//}
//ProcessStubs(stream, legParametersRange, paymentCalendar);
return(stream);
}
private static InterestRateStream GenerateFloatingStreamDefinition(SwapLegParametersRange legParametersRange)
{
Discounting discounting = null;
InterestRateStream stream;
if (legParametersRange.DiscountingType != null && legParametersRange.DiscountingType.ToUpper() != "NONE")
{
discounting = new Discounting {
discountingType = EnumHelper.Parse <DiscountingTypeEnum>(legParametersRange.DiscountingType)
};
// Create the stream object
stream = InterestRateStreamFactory.CreateFloatingRateStream(DiscountingTypeToPayRelativeTo(discounting.discountingType));
}
else
{
// Create the stream object
//
stream = InterestRateStreamFactory.CreateFloatingRateStream(DiscountingTypeToPayRelativeTo(null));
}
// Set effective and termination dates of the stream.
//
SetEffectiveAndTerminationDates(stream, legParametersRange.EffectiveDate, legParametersRange.MaturityDate, legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
//Set the FirstRegularPeriodStartDate
SetFirstRegularPeriodStartDate(stream, legParametersRange.FirstRegularPeriodStartDate);
//Set the LastRegularPeriodEndDate
SetLastRegularPeriodEndDate(stream, legParametersRange.LastRegularPeriodEndDate);
// Adjusted or unadjusted swap
//Set the stub period type
var dateAdjustments = AdjustedType.Adjusted != legParametersRange.AdjustedType
? BusinessDayAdjustmentsHelper.Create(BusinessDayConventionEnum.NONE, legParametersRange.PaymentCalendar)
: BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
stream.calculationPeriodDates.calculationPeriodDatesAdjustments = dateAdjustments;
stream.calculationPeriodDates.calculationPeriodFrequency = CalculationPeriodFrequencyHelper.Parse(legParametersRange.PaymentFrequency, legParametersRange.RollConvention);
if (legParametersRange.FirstCouponType == FirstCouponType.Full)
{
var firstCouponStartDate = new AdjustableDate
{
dateAdjustments = dateAdjustments, id = "FullFirstCoupon"
};
SetFirstPeriodStartDate(stream, firstCouponStartDate);
}
//Set the payment dates
stream.paymentDates.paymentFrequency = PeriodHelper.Parse(legParametersRange.PaymentFrequency).ToFrequency();
stream.paymentDates.paymentDatesAdjustments = BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
stream.resetDates.fixingDates = RelativeDateOffsetHelper.Create(legParametersRange.PaymentFrequency, DayTypeEnum.Business, BusinessDayConventionEnum.NONE.ToString(), legParametersRange.FixingCalendar, "resetDates");//"NONE" & "resedDates" - hardcoded
stream.resetDates.resetFrequency = ResetFrequencyHelper.Parse(legParametersRange.PaymentFrequency);
stream.resetDates.resetDatesAdjustments = BusinessDayAdjustmentsHelper.Create(legParametersRange.FixingBusinessDayAdjustments, legParametersRange.FixingCalendar);
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(stream.calculationPeriodAmount);
// Set discounting type
//
calculation.discounting = discounting;
// Set notional amount (as the initial value in notional schedule)
//
SetNotional(calculation, legParametersRange.NotionalAmount, legParametersRange.Currency);
// Set floating rate index name
//
string indexTenor = legParametersRange.PaymentFrequency;
//string indexName = legParametersRange.ForecastCurve;
string indexName = legParametersRange.ForecastIndexName;
FloatingRateCalculation floatingRateCalculation = FloatingRateCalculationFactory.Create(indexName, indexTenor, legParametersRange.FloatingRateSpread);
XsdClassesFieldResolver.CalculationSetFloatingRateCalculation(calculation, floatingRateCalculation);
// Set day count convention
//
calculation.dayCountFraction = DayCountFractionHelper.Parse(legParametersRange.DayCount);
return(stream);
}
