public static List <Money> GetValue(string payer, string receiver, string baseParty, Money amount)
{
var result = new List <Money>();
if (baseParty == payer)
{
result.Add(MoneyHelper.Neg(amount));
}
if (baseParty == receiver)
{
result.Add(amount);
}
return(result);
}
/// <summary>
/// Returns present value of the swap for a specified baseParty.
/// </summary>
/// <param name="swap"></param>
/// <param name="baseParty">The party, from which point of view the valuations are computed.</param>
/// <returns></returns>
public static Money GetPresentValue(Swap swap, string baseParty)
{
var list = new List <Money>();
foreach (InterestRateStream stream in swap.swapStream)
{
Money presentValueOfStream = CashflowsHelper.GetPresentValue(stream.cashflows);
list.AddRange(GetValue(stream.payerPartyReference.href, stream.receiverPartyReference.href, baseParty, presentValueOfStream));
}
Money sumPVs = MoneyHelper.Sum(list);
//only add a pv in the same currency.
Money presentValueOfAdditionalPayments = GetPresentValueOfAdditionalPayments(swap, baseParty, sumPVs.currency);
sumPVs = MoneyHelper.Add(sumPVs, presentValueOfAdditionalPayments);
return(sumPVs);
}
public static Money GetPayFutureValue(Swap swap, string baseParty)
{
var list = new List <Money>();
foreach (InterestRateStream stream in swap.swapStream)
{
Money presentValueOfStream = CashflowsHelper.GetForecastValue(stream.cashflows);
if (baseParty == stream.payerPartyReference.href)
{
list.Add(presentValueOfStream);
}
}
Money payFutureValueOfAdditionalPayments = GetPayFutureValueOfAdditionalPayments(swap, baseParty);
list.Add(payFutureValueOfAdditionalPayments);
return(MoneyHelper.Sum(list));
}
public static Money GetPayFutureValue(CapFloor capFloor, string baseParty)
{
var list = new List <Money>();
InterestRateStream stream = capFloor.capFloorStream;
{
Money presentValueOfStream = CashflowsHelper.GetForecastValue(stream.cashflows);
if (baseParty == stream.payerPartyReference.href)
{
list.Add(presentValueOfStream);
}
}
Money payFutureValueOfAdditionalPayments = GetPayFutureValueOfAdditionalPayments(capFloor, baseParty);
list.Add(payFutureValueOfAdditionalPayments);
return(MoneyHelper.Sum(list));
}
public static Swaption Create(Swap swap, decimal premiumAmount, DateTime expirationDate)
{
var swaption = new Swaption {
swap = swap, premium = new[] { new Payment() }
};
swaption.premium[0].paymentAmount = MoneyHelper.GetNonNegativeAmount(premiumAmount);
var europeanExercise = new EuropeanExercise
{
expirationDate = new AdjustableOrRelativeDate()
};
var adjustableDate = new AdjustableDate
{
unadjustedDate = new IdentifiedDate
{
Value = expirationDate
}
};
europeanExercise.expirationDate.Item = adjustableDate;
XsdClassesFieldResolver.SwaptionSetEuropeanExercise(swaption, europeanExercise);
return(swaption);
}
public static Money GetPresentValue(Cashflows cashflows)
{
var presentValueList = cashflows.paymentCalculationPeriod.Select(period => period.presentValueAmount).ToList();
return(MoneyHelper.Sum(presentValueList));
}
public static Money GetForecastValue(Cashflows cashflows)
{
var forecastValueList = cashflows.paymentCalculationPeriod.Select(period => period.forecastPaymentAmount).ToList();
return(MoneyHelper.Sum(forecastValueList));
}