public static RelativeDateOffset Create(string period, DayTypeEnum dayType,
string businessDayConventionAsString,
BusinessCenters businessCenters,
string dateRelativeTo)
{
var result = new RelativeDateOffset();
Period interval = PeriodHelper.Parse(period);
result.period = interval.period;
result.periodSpecified = true;
result.periodMultiplier = interval.periodMultiplier;
result.dayType = dayType;
result.dayTypeSpecified = true;
if (businessDayConventionAsString != null)
{
result.businessDayConvention = BusinessDayConventionHelper.Parse(businessDayConventionAsString);
result.businessDayConventionSpecified = true;
}
result.businessCenters = businessCenters;
if (dateRelativeTo != null)
{
var dateReference = new DateReference {
href = dateRelativeTo
};
result.dateRelativeTo = dateReference;
}
return(result);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableRateCoupon"/> class.
/// </summary>
/// <param name="cashflowId">The stream id.</param>
/// <param name="payerIsBase">The payer is base flag.</param>
/// <param name="accrualStartDate">The accrual start date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="accrualEndDate">The accrual end date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="adjustCalculationDatesIndicator">if set to <c>true</c> [adjust calculation dates indicator].</param>
/// <param name="accrualBusinessCenters">The accrual business centers.</param>
/// <param name="fixedRate">The fixed rate.</param>
/// <param name="notionalAmount">The notional amount.</param>
/// <param name="dayCountFraction">Type of day Count fraction.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="accrualRollConvention">The accrual roll convention.</param>
/// <param name="discountingType">The swap discounting type.</param>
/// <param name="discountRate">The discount rate.</param>
/// <param name="fraDiscounting">Determines whether the coupon is discounted or not. If this parameter is null,
/// then it is assumed that there is no fra discounting</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
public PriceableFixedRateCoupon
(
string cashflowId
, bool payerIsBase
, DateTime accrualStartDate
, DateTime accrualEndDate
, bool adjustCalculationDatesIndicator
, BusinessCenters accrualBusinessCenters
, BusinessDayConventionEnum accrualRollConvention
, DayCountFraction dayCountFraction
, decimal fixedRate
, Money notionalAmount
, AdjustableOrAdjustedDate paymentDate
, DiscountingTypeEnum?discountingType
, decimal?discountRate
, FraDiscountingEnum?fraDiscounting
, IBusinessCalendar paymentCalendar)
: base(cashflowId, CouponType.FixedRate, payerIsBase, accrualStartDate, accrualEndDate, adjustCalculationDatesIndicator,
accrualBusinessCenters, accrualRollConvention, dayCountFraction, fixedRate, notionalAmount, paymentDate,
discountingType, discountRate, fraDiscounting, paymentCalendar)
{
Id = cashflowId;
CalculatePaymentAmount(0);
ForecastAmount = PaymentAmount;
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableFxRateCashflow"/> class.
/// </summary>
/// <param name="cashlfowId">The stream id.</param>
/// <param name="payerIsBase">The payer is base flag.</param>
/// <param name="accrualStartDate">The accrual start date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="accrualEndDate">The accrual end date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="adjustAccrualDatesIndicator">if set to <c>true</c> [adjust calculation dates indicator].</param>
/// <param name="accrualBusinessCenters">The accrual business centers.</param>
/// <param name="margin">The margin.</param>
/// <param name="baseRate">The base rate for a nettable fixed/floating cash flow. </param>
/// <param name="observedRate">The observed Rate.</param>
/// <param name="notionalAmount">The notional amount.</param>
/// <param name="dayCountfraction">Type of day Countfraction.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="accrualRollConvention">The accrual roll convention.</param>
/// <param name="resetRelativeTo">reset relative to?</param>
/// <param name="fixingDateRelativeOffset">The fixing date offset.</param>
/// <param name="forecastRateIndex">The forecastrateindex.</param>
/// <param name="discountingType">The swap discounting type.</param>
/// <param name="discountRate">The discount rate.</param>
/// <param name="fraDiscounting">Determines whether the coupon is discounted or not. If this parameter is null,
/// then it is assumed that there is no fradiscounting</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
public PriceableFloatingRateCoupon
(
string cashlfowId
, bool payerIsBase
, DateTime accrualStartDate
, DateTime accrualEndDate
, Boolean adjustAccrualDatesIndicator
, BusinessCenters accrualBusinessCenters
, BusinessDayConventionEnum accrualRollConvention
, DayCountFraction dayCountfraction
, ResetRelativeToEnum resetRelativeTo
, RelativeDateOffset fixingDateRelativeOffset
, Decimal margin
, Decimal baseRate
, Decimal?observedRate
, Money notionalAmount
, AdjustableOrAdjustedDate paymentDate
, ForecastRateIndex forecastRateIndex
, DiscountingTypeEnum?discountingType
, Decimal?discountRate
, FraDiscountingEnum?fraDiscounting
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: base(
cashlfowId
, CouponType.FloatingRate
, payerIsBase
, accrualStartDate
, accrualEndDate
, adjustAccrualDatesIndicator
, accrualBusinessCenters
, accrualRollConvention
, dayCountfraction
, observedRate
, notionalAmount
, paymentDate
, discountingType
, discountRate
, fraDiscounting
, paymentCalendar)
{
BaseRate = baseRate;
FixingCalendar = fixingCalendar;
ModelIdentifier = "DualCurveCouponModel";
Id = cashlfowId;
ForwardStartDate = AccrualStartDate;
ForecastRateIndex = forecastRateIndex;
FixingDateRelativeOffset = fixingDateRelativeOffset;
ResetRelativeTo = resetRelativeTo;
Margin = margin;
AdjustedFixingDate = GetResetDate(resetRelativeTo, fixingDateRelativeOffset);
if (observedRate != null)
{
RateObservation = RateObservationHelper.Parse(AdjustedFixingDate, (decimal)observedRate, "1");
}
SetRateObservation(RateObservation, ResetDate);
ForecastCurveName = CurveNameHelpers.GetForecastCurveName(forecastRateIndex);
}
/// <summary>
/// Adjusteds the dates from effective date.
/// </summary>
/// <param name="effectiveDate">The effective date.</param>
/// <param name="terminationDate">The termination date.</param>
/// <param name="periodInterval">The period interval.</param>
/// <param name="rollConvention">The roll convention.</param>
/// <param name="businessCenters">The business centers.</param>
/// <param name="dateAdjustmentConvention">The date adjustment convention.</param>
/// <returns>A vertical arrray of dates.</returns>
public object[,] AdjustedDatesFromEffectiveDate(DateTime effectiveDate, DateTime terminationDate, string periodInterval, string rollConvention,
string businessCenters, string dateAdjustmentConvention)
{
BusinessCenters centers = BusinessCentersHelper.Parse(businessCenters);
IBusinessCalendar calendar = Engine.ToBusinessCalendar(centers);
var adjustments = EnumHelper.Parse <BusinessDayConventionEnum>(dateAdjustmentConvention);
var adjustedDateSchedule = AdjustedDateScheduler.AdjustedDatesFromEffectiveDate(effectiveDate, terminationDate, periodInterval, rollConvention, calendar, adjustments);
var result = RangeHelper.ConvertArrayToRange(adjustedDateSchedule);
return(result);
}
/// <summary>
/// A helper to extract properties from a namedvalueset..
/// </summary>
/// <param name="propertyCollection">The collection of properties.</param>
public static BusinessCenters ExtractBusinessCenters(NamedValueSet propertyCollection)
{
BusinessCenters businessCentres = null;
var dictionaryKeys = propertyCollection.ToDictionary();
if (dictionaryKeys.ContainsKey("BusinessCenters"))
{
var centres = propertyCollection.Get("BusinessCenters").AsValue <string[]>();
businessCentres = BusinessCentersHelper.Parse(centres);
}
return(businessCentres);
}
/// <summary>
/// Creates a consolidated business calendar for a given set of business centers
/// </summary>
/// <param name="centers">The centers.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The clients namespace</param>
/// <returns></returns>
public static IBusinessCalendar ToBusinessCalendar(ICoreCache cache, BusinessCenters centers, string nameSpace)
{
if (centers != null)
{
var calendars = centers.businessCenter.Select(businessCenter => businessCenter.Value).ToArray();
var dps = GetDateRuleParser(cache, calendars, nameSpace);
var significantDays = GetBusinessCentreHolidayDates(cache, Dedupe(dps.FpmlName), nameSpace);
IBusinessCalendar result = new BusinessCalendar(significantDays, dps);
return(result);
}
return(null);
}
public static BusinessCenters Parse(string[] businessCentersAsString)
{
var result = new BusinessCenters
{
businessCenter =
businessCentersAsString.Select(
businessCenterAsString => new BusinessCenter {
Value = businessCenterAsString
}).ToArray()
};
return(result);
}
/// <summary>
/// Gets a dates schedule.
/// </summary>
/// <param name="metaScheduleDefinitionRange">This must have 3 columns: interval, interval, rollconventionenum.</param>
/// <param name="startDate">The start date of the schedule to be generated.</param>
/// <param name="calendar">The relevant calendar.</param>
/// <param name="businessDayAdjustment">The business day adjustments.</param>
/// <returns>A vertical arrray of dates.</returns>
public object[,] GetMetaDatesSchedule(Excel.Range metaScheduleDefinitionRange,
DateTime startDate,
string calendar,
string businessDayAdjustment)
{
var values = metaScheduleDefinitionRange.Value[System.Reflection.Missing.Value] as object[, ];
List <ThreeStringsRangeItem> metaScheduleDefinition = ObjectToArrayOfPropertiesConverter.CreateListFromHorizontalArrayRange <ThreeStringsRangeItem>(values);
BusinessCenters centers = BusinessCentersHelper.Parse(calendar);
IBusinessCalendar businessCalendar = Engine.ToBusinessCalendar(centers);
var metaSchedule = AdjustedDatesMetaSchedule.GetMetaDatesSchedule(metaScheduleDefinition, startDate, businessCalendar, calendar, businessDayAdjustment);
var result = RangeHelper.ConvertArrayToRange(metaSchedule);
return(result);
}
public static BusinessCenters Parse(string[] businessCentersAsString)
{
BusinessCenters result = new BusinessCenters();
List <BusinessCenter> list = new List <BusinessCenter>();
foreach (string businessCenterAsString in businessCentersAsString)
{
BusinessCenter businessCenter = new BusinessCenter();
businessCenter.Value = businessCenterAsString;
list.Add(businessCenter);
}
result.businessCenter = list.ToArray();
return(result);
}
public static BusinessCenters Parse(string businessCentersAsString)
{
var result = new BusinessCenters
{
businessCenter =
businessCentersAsString.Split(BusinessCenterNameSeparatorCharacters)
.Select(
businessCenterAsString =>
new BusinessCenter {
Value = businessCenterAsString
})
.ToArray()
};
return(result);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableFxRateCashflow"/> class.
/// </summary>
/// <param name="cashlfowId">The stream id.</param>
/// <param name="payerIsBase">The payer is base flag.</param>
/// <param name="accrualStartDate">The accrual start date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="accrualEndDate">The accrual end date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="adjustAccrualDatesIndicator">if set to <c>true</c> [adjust calculation dates indicator].</param>
/// <param name="accrualBusinessCenters">The accrual business centers.</param>
/// <param name="margin">The margin.</param>
/// <param name="observedRate">The observed Rate.</param>
/// <param name="notionalAmount">The notional amount.</param>
/// <param name="dayCountfraction">Type of day Countfraction.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="accrualRollConvention">The accrual roll convention.</param>
/// <param name="resetRelativeTo">reset relative to?</param>
/// <param name="fixingDateRelativeOffset">The fixing date offset.</param>
/// <param name="forecastRateIndex">The forecastrateindex.</param>
/// <param name="discountingType">The swap discounting type.</param>
/// <param name="discountRate">The discount rate.</param>
/// <param name="fraDiscounting">Determines whether the coupon is discounted or not. If this parameter is null,
/// then it is assumed that there is no fradiscounting</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
public PriceableFloatingRateCoupon
(
string cashlfowId
, bool payerIsBase
, DateTime accrualStartDate
, DateTime accrualEndDate
, Boolean adjustAccrualDatesIndicator
, BusinessCenters accrualBusinessCenters
, BusinessDayConventionEnum accrualRollConvention
, DayCountFraction dayCountfraction
, ResetRelativeToEnum resetRelativeTo
, RelativeDateOffset fixingDateRelativeOffset
, Decimal margin
, Decimal?observedRate
, Money notionalAmount
, AdjustableOrAdjustedDate paymentDate
, ForecastRateIndex forecastRateIndex
, DiscountingTypeEnum?discountingType
, Decimal?discountRate
, FraDiscountingEnum?fraDiscounting
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: this(
cashlfowId
, payerIsBase
, accrualStartDate
, accrualEndDate
, adjustAccrualDatesIndicator
, accrualBusinessCenters
, accrualRollConvention
, dayCountfraction
, resetRelativeTo
, fixingDateRelativeOffset
, margin
, 0.0m
, observedRate
, notionalAmount
, paymentDate
, forecastRateIndex
, discountingType
, discountRate
, fraDiscounting
, fixingCalendar
, paymentCalendar)
{
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableRateCoupon"/> class.
/// </summary>
/// <param name="cashlfowId">The stream id.</param>
/// <param name="accrualStartDate">The accrual start date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="accrualEndDate">The accrual end date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="adjustCalculationDatesIndicator">if set to <c>true</c> [adjust calculation dates indicator].</param>
/// <param name="accrualBusinessCenters">The accrual business centers.</param>
/// <param name="underlyingRateIndex">Te underlying rate index can be Xibor or Swap.</param>
/// <param name="resetLagOffset">This allows for non-standard lags to be used in convexity adjustment calculations.</param>
/// <param name="margin">The margin.</param>
/// <param name="observedRate">The observed Rate.</param>
/// <param name="notionalAmount">The notional amount.</param>
/// <param name="accrualDayCountfraction">Type of day Countfraction used for the acrual period.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="accrualRollConvention">The accrual roll convention.</param>
/// <param name="resetRelativeTo">reset relative to?</param>
/// <param name="fixingDateRelativeOffset">The fixing date offset.</param>
/// <param name="forecastRateIndex">The forecastrateindex.</param>
/// <param name="discountingType">The swap discounting type.</param>
/// <param name="discountRate">The discount rate.</param>
/// <param name="fraDiscounting">Determines whether the coupon is discounted or not. If this parameter is null,
/// <param name="underlyingRateIndex"></param>
/// then it is assumed that there is no fradiscounting</param>
public PriceableStructuredRateCoupon
(
string cashlfowId
, DateTime accrualStartDate
, DateTime accrualEndDate
, Boolean adjustCalculationDatesIndicator
, BusinessCenters accrualBusinessCenters
, BusinessDayConventionEnum accrualRollConvention
, DayCountFraction accrualDayCountfraction
, ResetRelativeToEnum resetRelativeTo
, RelativeDateOffset fixingDateRelativeOffset
, RateIndex underlyingRateIndex
, RelativeDateOffset resetLagOffset
, Decimal margin
, Decimal?observedRate
, Money notionalAmount
, AdjustableDate paymentDate
, ForecastRateIndex forecastRateIndex
, DiscountingTypeEnum?discountingType
, Decimal?discountRate
, FraDiscountingEnum?fraDiscounting)
: base(
cashlfowId
, accrualStartDate
, accrualEndDate
, adjustCalculationDatesIndicator
, accrualBusinessCenters
, accrualRollConvention
, accrualDayCountfraction
, resetRelativeTo
, fixingDateRelativeOffset
, margin
, observedRate
, notionalAmount
, paymentDate
, forecastRateIndex
, discountingType
, discountRate
, fraDiscounting
)
{
UnderlyingRateIndex = underlyingRateIndex;
ResetLagOffset = resetLagOffset;
PriceableCouponType = CouponType.StructuredRate;
AnalyticsModel = new StructuredRateCouponAnalytic();
}
public static void ResolveBusinessCenters(object objectGraph)
{
//BusinessDayAdjustments[] businessDayAdjustments = ;
foreach (BusinessDayAdjustments businessDayAdjustment in GetBusinessDayAdjustments(objectGraph))
{
// "NONE" adjustments have neither businessCenters nor businessCentersReference.
//
if ((null != businessDayAdjustment) &&
(null == businessDayAdjustment.businessCenters) &&
(null != businessDayAdjustment.businessCentersReference) &&
(!String.IsNullOrEmpty(businessDayAdjustment.businessCentersReference.href)))
{
BusinessCenters businessCenters = ObjectLookupHelper.GetById <BusinessCenters>(objectGraph, businessDayAdjustment.businessCentersReference.href);
BusinessCenters businessCentersCloneWithNoId = BinarySerializerHelper.Clone <BusinessCenters>(businessCenters);
businessCentersCloneWithNoId.id = null;
businessDayAdjustment.businessCenters = businessCentersCloneWithNoId;
}
}
}
public static BusinessDayAdjustments Create(BusinessDayConventionEnum businessDayConvention, BusinessCenters businessCenters)
{
var result = new BusinessDayAdjustments
{
businessDayConvention = businessDayConvention,
businessCenters = businessCenters
};
return(result);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableCapFloorCoupon"/> class.
/// </summary>
/// <param name="cashFlowId">The stream id.</param>
/// <param name="buyerIsBase">The buyer is base flag.</param>
/// <param name="capStrike">The Cap strike.</param>
/// <param name="floorStrike">The floor strike.</param>
/// <param name="accrualStartDate">The accrual start date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="accrualEndDate">The accrual end date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="adjustAccrualDatesIndicator">if set to <c>true</c> [adjust calculation dates indicator].</param>
/// <param name="accrualBusinessCenters">The accrual business centers.</param>
/// <param name="margin">The margin.</param>
/// <param name="observedRate">The observed Rate.</param>
/// <param name="notionalAmount">The notional amount.</param>
/// <param name="dayCountFraction">Type of day Count fraction.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="accrualRollConvention">The accrual roll convention.</param>
/// <param name="resetRelativeTo">reset relative to?</param>
/// <param name="fixingDateRelativeOffset">The fixing date offset.</param>
/// <param name="forecastRateIndex">The forecast rate index.</param>
/// <param name="discountingType">The swap discounting type.</param>
/// <param name="discountRate">The discount rate.</param>
/// <param name="fraDiscounting">Determines whether the coupon is discounted or not. If this parameter is null,
/// then it is assumed that there is no fra discounting</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
public PriceableCapFloorCoupon
(
string cashFlowId
, bool buyerIsBase
, decimal?capStrike
, decimal?floorStrike
, DateTime accrualStartDate
, DateTime accrualEndDate
, Boolean adjustAccrualDatesIndicator
, BusinessCenters accrualBusinessCenters
, BusinessDayConventionEnum accrualRollConvention
, DayCountFraction dayCountFraction
, ResetRelativeToEnum resetRelativeTo
, RelativeDateOffset fixingDateRelativeOffset
, Decimal margin
, Decimal?observedRate
, Money notionalAmount
, AdjustableOrAdjustedDate paymentDate
, ForecastRateIndex forecastRateIndex
, DiscountingTypeEnum?discountingType
, Decimal?discountRate
, FraDiscountingEnum?fraDiscounting
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: base(
cashFlowId
, buyerIsBase
, accrualStartDate
, accrualEndDate
, adjustAccrualDatesIndicator
, accrualBusinessCenters
, accrualRollConvention
, dayCountFraction
, resetRelativeTo
, fixingDateRelativeOffset
, margin
, observedRate
, notionalAmount
, paymentDate
, forecastRateIndex
, discountingType
, discountRate
, fraDiscounting
, fixingCalendar
, paymentCalendar)
{
CapStrike = capStrike;
FloorStrike = floorStrike;
VolatilitySurfaceName = CurveNameHelpers.GetRateVolatilityMatrixName(forecastRateIndex);
if (capStrike != null && floorStrike == null)
{
PriceableCouponType = CouponType.Cap;
ModelIdentifier = "DualCurveCapModel";
IsCall = true;
}
if (floorStrike != null && capStrike == null)
{
PriceableCouponType = CouponType.Floor;
ModelIdentifier = "DualCurveFloorModel";
}
if (floorStrike != null && capStrike != null)
{
PriceableCouponType = CouponType.Collar;
ModelIdentifier = "DualCurveCollarModel";
}
}