public List <String> GetRequiredCurrencies()
{
var result = new List <string>();
var item = XsdClassesFieldResolver.CalculationGetNotionalSchedule((Calculation)calculationPeriodAmount.Item);
if (item != null && item.notionalStepSchedule != null && item.notionalStepSchedule.currency != null)
{
result.Add(item.notionalStepSchedule.currency.Value);
}
return(result);
}
///<summary>
/// Gets all the Forecast curve name.
///</summary>
///<returns></returns>
public static string GetRateVolatilityMatrixName(Swap swap)
{
AdjustableDate adjustableEffectiveDate = XsdClassesFieldResolver.CalculationPeriodDatesGetEffectiveDate(swap.swapStream[0].calculationPeriodDates);
AdjustableDate adjustableTerminationDate = XsdClassesFieldResolver.CalculationPeriodDatesGetTerminationDate(swap.swapStream[0].calculationPeriodDates);
var years = adjustableTerminationDate.unadjustedDate.Value.Year - adjustableEffectiveDate.unadjustedDate.Value.Year;
var calculation = (Calculation)swap.swapStream[0].calculationPeriodAmount.Item;
var notional = XsdClassesFieldResolver.CalculationGetNotionalSchedule(calculation);
var currency = notional.notionalStepSchedule.currency.Value;
return("RateVolatilityMatrix." + currency + "-IRSwap-" + years + "Y");
}
/// <summary>
/// Gets and sets the required pricing structures to value this leg.
/// </summary>
public List <String> GetRequiredPricingStructures()
{
var result = new List <String>();
var amount = calculationPeriodAmount.Item as Calculation;
if (amount != null)
{
var currency = XsdClassesFieldResolver.CalculationGetNotionalSchedule(amount);
if (currency != null && currency.notionalStepSchedule != null)
{
var discountCurve = Helpers.GetDiscountCurveName(currency.notionalStepSchedule.currency);
result.Add(discountCurve);
}
var floatingRateCalculation = amount.Items[0] as FloatingRateCalculation;
if (floatingRateCalculation != null)
{
result.Add(Helpers.GetForecastCurveName(floatingRateCalculation.floatingRateIndex, floatingRateCalculation.indexTenor));
}
}
//TODO
if (stubCalculationPeriodAmount != null)
{
if (stubCalculationPeriodAmount.Items != null)
{
foreach (var item in stubCalculationPeriodAmount.Items)
{
if (item.Items != null)
{
result.AddRange(from value in item.Items
where value as Money != null
select Helpers.GetDiscountCurveName(((Money)value).currency));
}
}
}
//if (stubCalculationPeriodAmount != null)
//{
// if (stubCalculationPeriodAmount.initialStub != null && stubCalculationPeriodAmount.initialStub.Items != null)
// {
// result.AddRange(from value in stubCalculationPeriodAmount.initialStub.Items
// where value as Money != null
// select Helpers.GetDiscountCurveName(((Money)value).currency));
// }
// if (stubCalculationPeriodAmount.finalStub != null && stubCalculationPeriodAmount.finalStub.Items != null)
// {
// result.AddRange(from value in stubCalculationPeriodAmount.finalStub.Items
// where value as Money != null
// select Helpers.GetDiscountCurveName(((Money)value).currency));
// }
}
return(result);
}
