public static DayCountFraction ToDayCountFraction(DayCountFractionEnum dayCountFractionEnum)
{
string dayCountFractionString = DayCountFractionScheme.GetEnumString(dayCountFractionEnum);
var result = new DayCountFraction {
Value = dayCountFractionString
};
return(result);
}
public static Discounting Create(decimal discountingRate, DayCountFraction dayCountFraction, DiscountingTypeEnum discountingTypeEnum)
{
var discounting = new Discounting
{
discountingType = discountingTypeEnum,
discountRate = discountingRate,
discountRateDayCountFraction = dayCountFraction
//discountRateSpecified = true
};
return(discounting);
}
public static Calculation CreateFloating(decimal fixedRate, Money notional, FloatingRateIndex floatingRateIndex, Period tenor,
DayCountFraction dayCountFraction, DiscountingTypeEnum discountingType)
{
var calculation = new Calculation
{
Item = NotionalFactory.Create(notional),
compoundingMethod = CompoundingMethodEnum.None,
compoundingMethodSpecified = true,
dayCountFraction = dayCountFraction,
discounting =
DiscountingHelper.Create(fixedRate, dayCountFraction, discountingType),
Items = new object[] { FloatingRateCalculationHelper.CreateFloating(floatingRateIndex, tenor) }
};
return(calculation);
}
public static Discounting Create(decimal?discountingRate, DayCountFraction dayCountFraction, DiscountingTypeEnum discountingTypeEnum)
{
var discounting = new Discounting
{
discountingType = discountingTypeEnum,
discountRateDayCountFraction = dayCountFraction
//discountRateSpecified = true
};
if (discountingRate != null)
{
discounting.discountRate = (decimal)discountingRate;
}
return(discounting);
}
public static Calculation CreateFixed(decimal fixedRate, NonNegativeAmountSchedule notionalSchedule,
DayCountFraction dayCountFraction, DiscountingTypeEnum?discountingType)
{
var discounting = discountingType != null
? DiscountingHelper.Create(fixedRate, dayCountFraction, (DiscountingTypeEnum)discountingType)
: null;
var calculation = new Calculation
{
Item = NotionalFactory.Create(notionalSchedule),
compoundingMethod = CompoundingMethodEnum.None,
compoundingMethodSpecified = true,
dayCountFraction = dayCountFraction,
discounting = discounting,
Items = new object[] { FixedRateScheduleHelper.Create(fixedRate) }
};
return(calculation);
}
public static RateIndex Create(string instrumentId,
FloatingRateIndex floatingRateIndex,
Currency currency,
DayCountFraction dayCountFraction,
Period paymentFrequency,
Period term)
{
RateIndex rateIndex = new RateIndex();
rateIndex.currency = new IdentifiedCurrency()
{
Value = currency.Value
};
rateIndex.dayCountFraction = dayCountFraction;
rateIndex.floatingRateIndex = floatingRateIndex;
rateIndex.id = instrumentId;
rateIndex.instrumentId = InstrumentIdArrayHelper.Parse(instrumentId);
rateIndex.paymentFrequency = paymentFrequency;
rateIndex.term = term;
return(rateIndex);
}
public static Calculation CreateFixed(decimal fixedRate, decimal discountRate, Money notional,
CompoundingMethodEnum compoundingMethod, DayCountFraction dayCountFraction, DiscountingTypeEnum discountingType)
{
var calculation = new Calculation
{
Item = NotionalFactory.Create(notional),
compoundingMethod = compoundingMethod,
compoundingMethodSpecified = true,
dayCountFraction = dayCountFraction,
discounting =
DiscountingHelper.Create(discountRate, dayCountFraction,
discountingType),
Items = new object[] { FixedRateScheduleHelper.Create(fixedRate) }
};
return(calculation);
}
public static Calculation CreateFloating(Money notional, FloatingRateIndex floatingRateIndex, Period tenor, DayCountFraction dayCountFraction, DiscountingTypeEnum discountingType)
{
var calculation = new Calculation
{
Item = NotionalFactory.Create(notional),
compoundingMethod = CompoundingMethodEnum.None,
compoundingMethodSpecified = true,
dayCountFraction = dayCountFraction
};
var discounting = new Discounting
{
discountingType = discountingType,
discountRateDayCountFraction = dayCountFraction
};
calculation.discounting = discounting;
calculation.Items = new object[] { FloatingRateCalculationHelper.CreateFloating(floatingRateIndex, tenor) };
return(calculation);
}