private static void UpdateCashflowsWithDetailedCashflows(Cashflows cashflows, IEnumerable <DetailedCashflowRangeItem> listDetailedCashflows /*, bool fixedLeg*/)
{
var paymentCalculationPeriods = new List <PaymentCalculationPeriod>();
foreach (DetailedCashflowRangeItem detailedCashflowRangeItem in listDetailedCashflows)
{
var paymentCalculationPeriod = new PaymentCalculationPeriod();
var calculationPeriod = new CalculationPeriod();
paymentCalculationPeriod.Items = new object[] { calculationPeriod };
paymentCalculationPeriod.adjustedPaymentDate = detailedCashflowRangeItem.PaymentDate;
paymentCalculationPeriod.adjustedPaymentDateSpecified = true;
PaymentCalculationPeriodHelper.SetCalculationPeriodStartDate(paymentCalculationPeriod, detailedCashflowRangeItem.StartDate);
PaymentCalculationPeriodHelper.SetCalculationPeriodEndDate(paymentCalculationPeriod, detailedCashflowRangeItem.EndDate);
// Update notional amount
//
PaymentCalculationPeriodHelper.SetNotionalAmount(paymentCalculationPeriod, (decimal)detailedCashflowRangeItem.NotionalAmount);
if (detailedCashflowRangeItem.CouponType == "Fixed")
{
//CalculationPeriod calculationPeriod = PaymentCalculationPeriodHelper.GetCalculationPeriods(paymentCalculationPeriod)[0];
//if (XsdClassesFieldResolver.CalculationPeriod_HasFixedRate(calculationPeriod))
//{
// Fixed->Fixed
//
//PaymentCalculationPeriodHelper.SetRate(paymentCalculationPeriod, (decimal)detailedCashflowRangeItem.Rate);
XsdClassesFieldResolver.SetCalculationPeriodFixedRate(calculationPeriod, (decimal)detailedCashflowRangeItem.Rate);
//}
//else if (XsdClassesFieldResolver.CalculationPeriod_HasFloatingRateDefinition(calculationPeriod))
// {
// // Float->Fixed
// //
// PaymentCalculationPeriodHelper.ReplaceFloatingRateWithFixedRate(paymentCalculationPeriod, (decimal)detailedCashflowRangeItem.Rate);
// }
// else
// {
// throw new NotImplementedException();
// }
}
else if (detailedCashflowRangeItem.CouponType == "Float")
{
// Create floating rate definiton...
//
var floatingRateDefinition = new FloatingRateDefinition();
//XsdClassesFieldResolver.CalculationPeriod_SetFloatingRateDefinition(calculationPeriod, floatingRateDefinition);
calculationPeriod.Item1 = floatingRateDefinition;
// After the spread is reset - we need to update calculated rate.
//
PaymentCalculationPeriodHelper.SetSpread(paymentCalculationPeriod, (decimal)detailedCashflowRangeItem.Spread);
}
else
{
string message = $"Unsupported coupon type '{detailedCashflowRangeItem.CouponType}";
throw new System.Exception(message);
}
paymentCalculationPeriods.Add(paymentCalculationPeriod);
}
cashflows.cashflowsMatchParameters = false;
cashflows.paymentCalculationPeriod = paymentCalculationPeriods.ToArray();
}
private static Cashflows UpdateCashflowsWithDetailedCashflows(IEnumerable <InputCashflowRangeItem> listDetailedCashflows /*, bool fixedLeg*/)
{
var cashflows = new Cashflows();
var paymentCalculationPeriods = new List <PaymentCalculationPeriod>();
foreach (var detailedCashflowRangeItem in listDetailedCashflows)
{
var paymentCalculationPeriod = new PaymentCalculationPeriod();
var calculationPeriod = new CalculationPeriod();
paymentCalculationPeriod.Items = new object[] { calculationPeriod };
paymentCalculationPeriod.adjustedPaymentDate = detailedCashflowRangeItem.PaymentDate;
paymentCalculationPeriod.adjustedPaymentDateSpecified = true;
PaymentCalculationPeriodHelper.SetCalculationPeriodStartDate(paymentCalculationPeriod, detailedCashflowRangeItem.StartDate);
PaymentCalculationPeriodHelper.SetCalculationPeriodEndDate(paymentCalculationPeriod, detailedCashflowRangeItem.EndDate);
// Update notional amount
//
PaymentCalculationPeriodHelper.SetNotionalAmount(paymentCalculationPeriod, (decimal)detailedCashflowRangeItem.NotionalAmount);
switch (detailedCashflowRangeItem.CouponType.ToLower())
{
case "cap":
{
var floatingRateDefinition = new FloatingRateDefinition();
calculationPeriod.Item1 = floatingRateDefinition;
// After the spread is reset - we need to update calculated rate.
//
PaymentCalculationPeriodHelper.SetSpread(paymentCalculationPeriod, (decimal)detailedCashflowRangeItem.Spread);
floatingRateDefinition.capRate = new[] { new Strike() };
floatingRateDefinition.capRate[0].strikeRate = (decimal)detailedCashflowRangeItem.StrikeRate; //tODO There is no fixing date.
{
var rateObservation = new RateObservation
{
adjustedFixingDate =
detailedCashflowRangeItem.FixingDate,
adjustedFixingDateSpecified = true
};
floatingRateDefinition.rateObservation = new[] { rateObservation };
}
break;
}
case "floor":
{
var floatingRateDefinition = new FloatingRateDefinition();
//XsdClassesFieldResolver.CalculationPeriod_SetFloatingRateDefinition(calculationPeriod, floatingRateDefinition);
calculationPeriod.Item1 = floatingRateDefinition;
// After the spread is reset - we need to update calculated rate.
//
PaymentCalculationPeriodHelper.SetSpread(paymentCalculationPeriod, (decimal)detailedCashflowRangeItem.Spread);
floatingRateDefinition.capRate = new[] { new Strike() };
floatingRateDefinition.capRate[0].strikeRate = (decimal)detailedCashflowRangeItem.StrikeRate;
{
var rateObservation = new RateObservation
{
adjustedFixingDate =
detailedCashflowRangeItem.FixingDate,
adjustedFixingDateSpecified = true
};
floatingRateDefinition.rateObservation = new[] { rateObservation };
}
break;
}
default:
{
string message = String.Format("Specified coupon type : '{0}' is not supported. Please use one of these: 'cap, floor'", detailedCashflowRangeItem.CouponType.ToLower());
throw new NotSupportedException(message);
}
}
paymentCalculationPeriods.Add(paymentCalculationPeriod);
}
cashflows.cashflowsMatchParameters = true;
cashflows.paymentCalculationPeriod = paymentCalculationPeriods.ToArray();
return(cashflows);
}