コード例 #1
0
        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);
        }
コード例 #2
0
 /// <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;
 }
コード例 #3
0
 /// <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);
 }
コード例 #4
0
ファイル: Dates.cs プロジェクト: zhangz/Highlander.Net
        /// <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);
        }
コード例 #5
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        /// <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);
        }
コード例 #6
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 /// <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);
 }
コード例 #7
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        public static BusinessCenters Parse(string[] businessCentersAsString)
        {
            var result = new BusinessCenters
            {
                businessCenter =
                    businessCentersAsString.Select(
                        businessCenterAsString => new BusinessCenter {
                    Value = businessCenterAsString
                }).ToArray()
            };

            return(result);
        }
コード例 #8
0
ファイル: Dates.cs プロジェクト: zhangz/Highlander.Net
        /// <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);
        }
コード例 #9
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        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);
        }
コード例 #10
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        public static BusinessCenters Parse(string businessCentersAsString)
        {
            var result = new BusinessCenters
            {
                businessCenter =
                    businessCentersAsString.Split(BusinessCenterNameSeparatorCharacters)
                    .Select(
                        businessCenterAsString =>
                        new BusinessCenter {
                    Value = businessCenterAsString
                })
                    .ToArray()
            };

            return(result);
        }
コード例 #11
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 /// <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)
 {
 }
コード例 #12
0
 /// <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();
 }
コード例 #13
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        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;
                }
            }
        }
コード例 #14
0
        public static BusinessDayAdjustments Create(BusinessDayConventionEnum businessDayConvention, BusinessCenters businessCenters)
        {
            var result = new BusinessDayAdjustments
            {
                businessDayConvention = businessDayConvention,
                businessCenters       = businessCenters
            };

            return(result);
        }
コード例 #15
0
 /// <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";
     }
 }