/// <summary>
/// Converts to a required date type.
/// </summary>
/// <param name="dateTime"></param>
/// <returns></returns>
public static RequiredIdentifierDate ToRequiredIdentifierDate(DateTime dateTime)
{
var result = new RequiredIdentifierDate {
Value = dateTime
};
return(result);
}
public static Trade CreateFraTrade(string tradeId, RequiredIdentifierDate adjustedEffectiveDate, DateTime adjustedTerminationDate,
AdjustableDate paymentDate, RelativeDateOffset fixingDayOffset, DayCountFraction dayCountFraction, decimal notionalAmount,
string notionalCurrency, decimal fixedRate, string floatingRateIndex, string indexTenor, FraDiscountingEnum fraDiscounting)
{
var trade = new Trade();
var fra = new Fra
{
adjustedEffectiveDate = adjustedEffectiveDate,
adjustedTerminationDate = adjustedTerminationDate,
adjustedTerminationDateSpecified = true,
paymentDate = paymentDate,
Items = new object[] { new ProductType {
Value = ProductTypeSimpleEnum.FRA.ToString()
} },
ItemsElementName = new[] { ItemsChoiceType2.productType }
};
if ("resetDate" != fixingDayOffset.dateRelativeTo.href)
{
throw new ArgumentException("The fixing date must be specified as 'resetDate'-relative!", nameof(fixingDayOffset));
}
fra.fixingDateOffset = fixingDayOffset;
fra.dayCountFraction = dayCountFraction;
IDayCounter dayCounter = DayCounterHelper.Parse(fra.dayCountFraction.Value);
fra.calculationPeriodNumberOfDays = dayCounter.DayCount(fra.adjustedEffectiveDate.Value, fra.adjustedTerminationDate).ToString(CultureInfo.InvariantCulture);
fra.notional = MoneyHelper.GetAmount(notionalAmount, notionalCurrency);
fra.fixedRate = fixedRate;
fra.fixedRateSpecified = true;
fra.floatingRateIndex = FloatingRateIndexHelper.Parse(floatingRateIndex);
fra.indexTenor = new[] { PeriodHelper.Parse(indexTenor) };
fra.fraDiscounting = fraDiscounting;
fra.fraDiscountingSpecified = true;
PartyReference party1 = PartyReferenceFactory.Create("party1");
PartyReference party2 = PartyReferenceFactory.Create("party2");
fra.sellerPartyReference = party2;
fra.buyerPartyReference = party1;
XsdClassesFieldResolver.TradeSetFra(trade, fra);
trade.id = tradeId;
return(trade);
}
