public static void SetFloorRateSchedule(InterestRateStream stream, Schedule floorRateSchedule, bool isReceiverBuyer)
{
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(stream.calculationPeriodAmount);
FloatingRateCalculation floatingRateCalculation = XsdClassesFieldResolver.CalculationGetFloatingRateCalculation(calculation);
var schedule = new StrikeSchedule
{
initialValue = floorRateSchedule.initialValue,
step = floorRateSchedule.step
};
floatingRateCalculation.floorRateSchedule = new[] { schedule };
if (isReceiverBuyer)
{
floatingRateCalculation.floorRateSchedule[0].buyer = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Receiver
};
floatingRateCalculation.floorRateSchedule[0].seller = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Payer
};
}
else
{
floatingRateCalculation.floorRateSchedule[0].buyer = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Payer
};
floatingRateCalculation.floorRateSchedule[0].seller = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Receiver
};
}
}
/// <summary>
/// Updates forecastRate, forecastPaymentAmount, discountFactor and presentValueAmount of each paymentCalculation period.
/// </summary>
/// <param name="interestRateStream">The interest rate stream.</param>
/// <param name="forecastCurve">The forecast curve.</param>
/// <param name="discountCurve">The discount curve.</param>
/// <param name="valuationDate">The valuation date.</param>
public static void UpdateCashflowsAmounts(InterestRateStream interestRateStream,
IRateCurve forecastCurve, IRateCurve discountCurve,
DateTime valuationDate)
{
//FixAfterManualUpdate(interestRateStream);//should it be removed, since it might produce subtle errors which will be effectively hidden.
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(interestRateStream.calculationPeriodAmount);
UpdateNumberOfDaysAndYearFraction(new List <PaymentCalculationPeriod>(interestRateStream.cashflows.paymentCalculationPeriod), calculation);
FloatingRateCalculation floatingRateCalculation =
XsdClassesFieldResolver.CalculationHasFloatingRateCalculation(calculation)
? XsdClassesFieldResolver.CalculationGetFloatingRateCalculation(calculation) : null;
// calculate forecast payment amount for each payment calculation period
//
foreach (PaymentCalculationPeriod period in interestRateStream.cashflows.paymentCalculationPeriod)
{
CalculateForecastPaymentAmount(calculation, floatingRateCalculation, period, forecastCurve, discountCurve, valuationDate);
}
// principle exchanges
//
if (interestRateStream.cashflows.principalExchange != null)
{
foreach (PrincipalExchange principalExchange in interestRateStream.cashflows.principalExchange)
{
CalculateForecastPaymentAmount(principalExchange, discountCurve, valuationDate);
}
}
}
public static void SetSpreadSchedule(InterestRateStream stream, Schedule spreadSchedule)
{
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(stream.calculationPeriodAmount);
FloatingRateCalculation floatingRateCalculation = XsdClassesFieldResolver.CalculationGetFloatingRateCalculation(calculation);
var schedule = new SpreadSchedule {
initialValue = spreadSchedule.initialValue, step = spreadSchedule.step
};
floatingRateCalculation.spreadSchedule = new[] { schedule };
}
private static void UpdateCalculationPeriodData(Calculation calculation, CalculationPeriod calculationPeriod, Notional notionalSchedule)
{
bool hasFloatingRateCalculation = XsdClassesFieldResolver.CalculationHasFloatingRateCalculation(calculation);
bool hasFixedRate = XsdClassesFieldResolver.CalculationHasFixedRateSchedule(calculation);
if (!(hasFloatingRateCalculation ^ hasFixedRate))
{
throw new System.Exception("at least one type of rate (floating or fixed) must be specified.");
}
decimal notional = NotionalHelper.GetNotionalValue(notionalSchedule, calculationPeriod.adjustedStartDate);
// Notional amount
//
XsdClassesFieldResolver.CalculationPeriodSetNotionalAmount(calculationPeriod, notional);
// Fixed rate
//
if (hasFixedRate)
{
Schedule fixedRateSchedule = XsdClassesFieldResolver.CalculationGetFixedRateSchedule(calculation);
decimal fixedRate = ScheduleHelper.GetValue(fixedRateSchedule, calculationPeriod.adjustedStartDate);
XsdClassesFieldResolver.SetCalculationPeriodFixedRate(calculationPeriod, fixedRate);
}
// Floating rate
//
else// if (hasFloatingRateCalculation)
{
// no observed, no calculated rate, spread == 0.0
//
var floatingRateDefinition = (FloatingRateDefinition)calculationPeriod.Item1 ?? new FloatingRateDefinition();
// check if stream has spreadSchedule
//
if (XsdClassesFieldResolver.CalculationHasSpreadSchedule(calculation))
{
Schedule spreadSchedule = XsdClassesFieldResolver.GetCalculationSpreadSchedule(calculation);
decimal spread = ScheduleHelper.GetValue(spreadSchedule, calculationPeriod.adjustedStartDate);
floatingRateDefinition.spread = spread;
floatingRateDefinition.spreadSpecified = true;
}
FloatingRateCalculation floatingRateCalculation = XsdClassesFieldResolver.CalculationGetFloatingRateCalculation(calculation);
// Check if there's a capRateSchedule
//
if (null != floatingRateCalculation.capRateSchedule)
{
StrikeSchedule capRateSchedule = floatingRateCalculation.capRateSchedule[0];
var capStrike = new Strike();
var capRate = ScheduleHelper.GetValue(capRateSchedule, calculationPeriod.adjustedStartDate);
capStrike.strikeRate = capRate;
floatingRateDefinition.capRate = new[] { capStrike };
}
// Check if there's a capRateSchedule
//
if (null != floatingRateCalculation.floorRateSchedule)
{
StrikeSchedule floorRateSchedule = floatingRateCalculation.floorRateSchedule[0];
var floorStrike = new Strike();
decimal floorRate = ScheduleHelper.GetValue(floorRateSchedule, calculationPeriod.adjustedStartDate);
floorStrike.strikeRate = floorRate;
floatingRateDefinition.floorRate = new[] { floorStrike };
}
calculationPeriod.Item1 = floatingRateDefinition;
}
}