public void GetPrice2Vanilla()
{
DateTime valuationDate = DateTime.Today;
var irCapFloorPricer = new CapFloorPricer();
var curveId = BuildAndCacheRateCurve(valuationDate);
foreach (CapFloorType capFloorType in new[] { CapFloorType.Cap, CapFloorType.Floor })
{
Debug.Print("Type: {0}", capFloorType);
CapFloorLegParametersRange_Old capLeg = GetCapFloorInputParameters(valuationDate, valuationDate.AddMonths(6), valuationDate.AddYears(5),
capFloorType, "Standard", curveId, curveId);
ValuationRange valuationRange = CreateValuationRangeForNAB(valuationDate);
List <DateTimeDoubleRangeItem> notional = GetAmortNotional(capLeg, 3);
List <DetailedCashflowRangeItem> cashflowList =
irCapFloorPricer.GetDetailedCashflowsWithNotionalSchedule(Engine.Logger, Engine.Cache, Engine.NameSpace, null, null, capLeg, notional, valuationRange);
TradeRange tradeRange = null;
var leg1BulletPaymentList = new List <AdditionalPaymentRangeItem>();
List <FeePaymentRangeItem> feePaymentRangeItems = GetFeeList("counterparty", "book");
// Get price and swap representation using non-vanilla PRICE function.
//
var newCashflowList = cashflowList.Cast <InputCashflowRangeItem>().ToList();
Pair <ValuationResultRange, CapFloor> nonVanillaPriceImpl = CapFloorPricer.GetPriceAndGeneratedFpML(Engine.Logger, Engine.Cache, Engine.NameSpace, null, null,
valuationRange, tradeRange, capLeg,
newCashflowList, null, leg1BulletPaymentList, feePaymentRangeItems);
// NO PExs
//
CollectionAssertExtension.IsEmpty(nonVanillaPriceImpl.Second.capFloorStream.cashflows.principalExchange);
// No payments
//
CollectionAssertExtension.IsEmpty(nonVanillaPriceImpl.Second.additionalPayment);
Debug.Print(ValuationResultRangeToString(nonVanillaPriceImpl.First));
}
}
private static CapFloorLegParametersRange_Old GetCapFloorInputParameters(DateTime effectiveDate, DateTime firstRollDate, DateTime matDate,
CapFloorType capFloorType, string discountingType, string discountCurve, string forwardCurve)
{
var result = new CapFloorLegParametersRange_Old
{
EffectiveDate = effectiveDate,
FirstRegularPeriodStartDate = firstRollDate,
MaturityDate = matDate,
Payer = "NAB",
Receiver = "CounterParty",
RollConvention = "14",
InitialStubType = StubPeriodTypeEnum.ShortInitial.ToString(),
FinalStubType = StubPeriodTypeEnum.ShortFinal.ToString(),
NotionalAmount = 50000000,
Currency = "AUD",
PaymentFrequency = "1Y",
DayCount = "30E/360",
PaymentCalendar = "Sydney",
PaymentBusinessDayAdjustments = "FOLLOWING",
FixingCalendar = "London",
FixingBusinessDayAdjustments = "FOLLOWING",
DiscountCurve = discountCurve,
ForecastCurve = forwardCurve,
DiscountingType = discountingType,
CapOrFloor = capFloorType,
StrikeRate = 0.080m
};
return(result);
}
/// <summary>
///
/// </summary>
/// <param name="capFloorLeg"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <param name="spreadSchedule"></param>
/// <param name="capOrFloorSchedule"></param>
/// <param name="notionalSchedule"></param>
/// <returns></returns>
public static CapFloor GenerateDefinitionCashflows(IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
CapFloorLegParametersRange_Old capFloorLeg,
Schedule spreadSchedule,
Schedule capOrFloorSchedule,
NonNegativeAmountSchedule notionalSchedule)
{
CapFloor capFloor = GenerateDefiniton(capFloorLeg, spreadSchedule, capOrFloorSchedule, notionalSchedule);
if (null != spreadSchedule)
{
InterestRateStreamParametricDefinitionGenerator.SetSpreadSchedule(capFloor.capFloorStream, spreadSchedule);
}
if (null != notionalSchedule)
{
InterestRateStreamParametricDefinitionGenerator.SetNotionalSchedule(capFloor.capFloorStream, notionalSchedule);
}
if (null != capOrFloorSchedule)
{
if (capFloorLeg.CapOrFloor == CapFloorType.Cap)
{
InterestRateStreamParametricDefinitionGenerator.SetCapRateSchedule(capFloor.capFloorStream, capOrFloorSchedule, true);
}
else
{
InterestRateStreamParametricDefinitionGenerator.SetFloorRateSchedule(capFloor.capFloorStream, capOrFloorSchedule, true);
}
}
capFloor.capFloorStream.cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(capFloor.capFloorStream, fixingCalendar, paymentCalendar);
return(capFloor);
}
public void TestGetCapPremiumAUD_6M100M_5YExpiry05Vol20Pct()
{
var valuationDate = new DateTime(1994, 12, 14);
var curveId = BuildAndCacheRateCurve(valuationDate);
CapFloorLegParametersRange_Old capLeg = GetCapFloorInputParameters(valuationDate, valuationDate.AddMonths(6), valuationDate.AddYears(5),
CapFloorType.Cap, "Standard", curveId, curveId);
InterestRateStream floatStream = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(capLeg);
floatStream.cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(floatStream, FixingCalendar, PaymentCalendar);
double sumOfCapletPremiums = 0;
var rateCurve = (RateCurve)Engine.GetCurve(curveId, false);
foreach (PaymentCalculationPeriod paymentCalculationPeriod in floatStream.cashflows.paymentCalculationPeriod)
{
DateTime startDate = PaymentCalculationPeriodHelper.GetCalculationPeriodStartDate(paymentCalculationPeriod);
DateTime endDate = PaymentCalculationPeriodHelper.GetCalculationPeriodEndDate(paymentCalculationPeriod);
double accrualFactor = (endDate - startDate).TotalDays / 365.0;
var discountFactor = (double)paymentCalculationPeriod.discountFactor;
var rate = (double)PaymentCalculationPeriodHelper.GetRate(paymentCalculationPeriod);
double rate2 = rateCurve.GetForwardRate(startDate, endDate, "ACT/365.FIXED");
double diff = rate - rate2;
Debug.Print("Diff in forward rate: {0}", diff);
var strikeRate = (double)capLeg.StrikeRate; //fixed - replace with a schedule
const double volatility = 0.2; //fixed - replace with a schedule
double timeToExpiry = (startDate - valuationDate).TotalDays / 365.0;
double optionValue = accrualFactor * BlackModel.GetSwaptionValue(rate, strikeRate, volatility, timeToExpiry) * discountFactor;
Debug.Print("Expiry:\t{0},\tPremium:\t{1}'", timeToExpiry, optionValue);
sumOfCapletPremiums += optionValue;
}
Debug.Print("Premium : '{0}'", sumOfCapletPremiums * (double)capLeg.NotionalAmount);
}
public void CreateValuationVanilla()
{
DateTime valuationDate = DateTime.Today;
var irCapFloorPricer = new CapFloorPricer();
var curveId = BuildAndCacheRateCurve(valuationDate);
foreach (CapFloorType capFloorType in new[] { CapFloorType.Cap, CapFloorType.Floor })
{
Debug.Print("Type: {0}", capFloorType);
CapFloorLegParametersRange_Old capLeg = GetCapFloorInputParameters(valuationDate, valuationDate.AddMonths(6), valuationDate.AddYears(5),
capFloorType, "Standard", curveId, curveId);
ValuationRange valuationRange = CreateValuationRangeForNAB(valuationDate);
List <DateTimeDoubleRangeItem> notional = GetAmortNotional(capLeg, 3);
List <DetailedCashflowRangeItem> cashflowList =
irCapFloorPricer.GetDetailedCashflowsWithNotionalSchedule(Engine.Logger, Engine.Cache, Engine.NameSpace, null, null, capLeg, notional, valuationRange);
switch (capFloorType)
{
case CapFloorType.Cap:
cashflowList[0].CouponType = "cap"; // that should test case insensitive nature of the coupons
cashflowList[1].CouponType = "Cap"; //
break;
case CapFloorType.Floor:
cashflowList[0].CouponType = "floor"; // that should test case insensitive nature of the coupons
cashflowList[1].CouponType = "Floor"; //
break;
default:
throw new ArgumentOutOfRangeException();
}
var tradeRange = new TradeRange {
TradeDate = DateTime.Now
};
var leg1BulletPaymentList = new List <AdditionalPaymentRangeItem>();
var newCashflowList = cashflowList.Cast <InputCashflowRangeItem>().ToList();
// Get price and swap representation using non-vanilla PRICE function.
//
List <StringObjectRangeItem> valuationSetList = CreateValuationSetList2(1111, 12);
List <PartyIdRangeItem> partyList = GetPartyList("NAB", "book", "MCHammer", "counterparty");
List <OtherPartyPaymentRangeItem> otherPartyPaymentRangeItems = GetOtherPartyPaymentList("counterparty", "cost center");
List <FeePaymentRangeItem> feePaymentRangeItems = GetFeeList("counterparty", "book");
string id = irCapFloorPricer.CreateValuation(Engine.Logger, Engine.Cache, Engine.NameSpace, null, null,
valuationSetList, valuationRange, tradeRange,
capLeg, newCashflowList, null, leg1BulletPaymentList,
partyList, otherPartyPaymentRangeItems, feePaymentRangeItems);
var valuationReport = Engine.Cache.LoadObject <ValuationReport>(Engine.NameSpace + "." + id);
Debug.Print(XmlSerializerHelper.SerializeToString(valuationReport));
}
}
public static CapFloor GenerateDefiniton(CapFloorLegParametersRange_Old capFloorLeg,
Schedule spreadSchedule,
Schedule capOrFloorSchedule,
NonNegativeSchedule notionalSchedule)
{
InterestRateStream capFloorStream = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(capFloorLeg);
InterestRateStreamHelper.SetPayerAndReceiver(capFloorStream, capFloorLeg.Payer, capFloorLeg.Receiver);
var capFloor = new CapFloor {
capFloorStream = capFloorStream
};
return(capFloor);
}
private static InterestRateStream GetCashflowsScheduleWithNotionalSchedule(
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
CapFloorLegParametersRange_Old legParametersRange,
NonNegativeAmountSchedule notionalSchedule)
{
InterestRateStream stream = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(legParametersRange);
InterestRateStreamParametricDefinitionGenerator.SetNotionalSchedule(stream, notionalSchedule);
Cashflows cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(stream, fixingCalendar, paymentCalendar);
stream.cashflows = cashflows;
return(stream);
}
public string CreateValuation(
ILogger logger, ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
List <StringObjectRangeItem> valuationSet,
ValuationRange valuationRange,
TradeRange tradeRange,
CapFloorLegParametersRange_Old legParametersRange,
List <InputCashflowRangeItem> legDetailedCashflowsListArray,
List <InputPrincipalExchangeCashflowRangeItem> legPrincipleExchangeCashflowListArray,
List <AdditionalPaymentRangeItem> legAdditionalPaymentListArray,
List <PartyIdRangeItem> partyIdList, //optional
List <OtherPartyPaymentRangeItem> otherPartyPaymentList, //optional
List <FeePaymentRangeItem> feePaymentList //optional
)
{
Pair <ValuationResultRange, CapFloor> fpML = GetPriceAndGeneratedFpML(logger, cache, nameSpace, fixingCalendar, paymentCalendar, valuationRange, tradeRange,
legParametersRange, legDetailedCashflowsListArray, legPrincipleExchangeCashflowListArray,
legAdditionalPaymentListArray, feePaymentList);
CapFloor capFloor = fpML.Second;
string valuationReportAndProductId = tradeRange.Id ?? Guid.NewGuid().ToString();
capFloor.id = valuationReportAndProductId;
AssetValuation assetValuation = InterestRateProduct.CreateAssetValuationFromValuationSet(valuationSet);
//Valuation valuation = new Valuation();
// TODO: add Trade Id & Trade data into valuation. (Trade.Id & Trade.TradeHeader.TradeDate)
//
string baseParty = valuationRange.BaseParty;
var uniqueCurves = new List <IRateCurve>();
foreach (string curveName in new[] { legParametersRange.ForecastCurve, legParametersRange.DiscountCurve })
{
if (!String.IsNullOrEmpty(curveName))
{
var curve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, curveName);
if (!uniqueCurves.Contains(curve))
{
uniqueCurves.Add(curve);
}
}
}
Market fpMLMarket = InterestRateProduct.CreateFpMLMarketFromCurves(uniqueCurves);
ValuationReport valuationReport = ValuationReportGenerator.Generate(valuationReportAndProductId, baseParty, valuationReportAndProductId, tradeRange.TradeDate, capFloor, fpMLMarket, assetValuation);
cache.SaveObject(valuationReport, valuationReportAndProductId, null);
InterestRateProduct.ReplacePartiesInValuationReport(valuationReport, partyIdList);
InterestRateProduct.AddOtherPartyPayments(valuationReport, otherPartyPaymentList);
return(valuationReportAndProductId);
}
/// <summary>
///
/// </summary>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <param name="capFloorLeg"></param>
/// <param name="spreadSchedule"></param>
/// <param name="capOrFloorSchedule"></param>
/// <param name="notionalSchedule"></param>
/// <param name="marketEnvironment"></param>
/// <param name="valuationDate"></param>
/// <returns></returns>
public static CapFloor GenerateDefinitionCashflowsAmounts(IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
CapFloorLegParametersRange_Old capFloorLeg,
Schedule spreadSchedule,
Schedule capOrFloorSchedule,
NonNegativeAmountSchedule notionalSchedule,
ISwapLegEnvironment marketEnvironment,
DateTime valuationDate)
{
CapFloor capFloor = GenerateDefinitionCashflows(fixingCalendar, paymentCalendar, capFloorLeg, spreadSchedule, capOrFloorSchedule, notionalSchedule);
IRateCurve payStreamDiscountingCurve = marketEnvironment.GetDiscountRateCurve();
IRateCurve payStreamForecastCurve = marketEnvironment.GetForecastRateCurve();
FixedAndFloatingRateStreamCashflowGenerator.UpdateCashflowsAmounts(capFloor.capFloorStream, payStreamForecastCurve, payStreamDiscountingCurve, valuationDate);
return(capFloor);
}
static List <DateTimeDoubleRangeItem> GetAmortNotional(CapFloorLegParametersRange_Old leg, int rollEveryNMonth)
{
var list = new List <DateTimeDoubleRangeItem>
{
DateTimeDoubleRangeItem.Create(leg.EffectiveDate, (double)leg.NotionalAmount),
DateTimeDoubleRangeItem.Create(leg.EffectiveDate.AddMonths(rollEveryNMonth * 1),
(double)(leg.NotionalAmount * 0.9m)),
DateTimeDoubleRangeItem.Create(leg.EffectiveDate.AddMonths(rollEveryNMonth * 2),
(double)(leg.NotionalAmount * 0.8m)),
DateTimeDoubleRangeItem.Create(leg.EffectiveDate.AddMonths(rollEveryNMonth * 3),
(double)(leg.NotionalAmount * 0.7m)),
DateTimeDoubleRangeItem.Create(leg.EffectiveDate.AddMonths(rollEveryNMonth * 4),
(double)(leg.NotionalAmount * 0.6m))
};
return(list);
}
private static void UpdateCashflowsWithAmounts(ILogger logger, ICoreCache cache,
String nameSpace, InterestRateStream stream,
CapFloorLegParametersRange_Old legParametersRange, ValuationRange valuationRange)
{
// Get a forecast curve
//
IRateCurve forecastCurve = null;
if (!String.IsNullOrEmpty(legParametersRange.ForecastCurve) && legParametersRange.ForecastCurve.ToLower() != "none")
{
forecastCurve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, legParametersRange.ForecastCurve);
}
// Get a discount curve
//
var discountCurve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, legParametersRange.DiscountCurve);
FixedAndFloatingRateStreamCashflowGenerator.UpdateCashflowsAmounts(stream, forecastCurve, discountCurve, valuationRange.ValuationDate);
}
public void GetDetailedCapFloorCashflowsVanilla()
{
DateTime valuationDate = DateTime.Today;
var irCapFloorPricer = new CapFloorPricer();
var curveId = BuildAndCacheRateCurve(valuationDate);
foreach (CapFloorType legType in new[] { CapFloorType.Cap, CapFloorType.Floor })
{
Debug.Print("LegType: {0}", legType);
CapFloorLegParametersRange_Old capLeg = GetCapFloorInputParameters(valuationDate, valuationDate.AddMonths(6), valuationDate.AddYears(5),
legType, "Standard", curveId, curveId);
ValuationRange valuationRange = CreateValuationRange(valuationDate);
List <DateTimeDoubleRangeItem> notional = GetAmortNotional(capLeg, 3);
List <DetailedCashflowRangeItem> cashflowList =
irCapFloorPricer.GetDetailedCashflowsWithNotionalSchedule(Engine.Logger, Engine.Cache, Engine.NameSpace, null, null, capLeg, notional, valuationRange);
object[,] arrayOfCashflows = ObjectToArrayOfPropertiesConverter.ConvertListToHorizontalArrayRange(cashflowList);
Debug.WriteLine("Cashflows:");
Debug.WriteLine(ParameterFormatter.FormatObject(arrayOfCashflows));
}
}
public static Pair <ValuationResultRange, CapFloor> GetPriceAndGeneratedFpML(
ILogger logger, ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
ValuationRange valuationRange, TradeRange tradeRange,
CapFloorLegParametersRange_Old leg1ParametersRange,
List <InputCashflowRangeItem> leg1DetailedCashflowsList,
List <InputPrincipalExchangeCashflowRangeItem> legPrincipalExchangeCashflowListArray,
List <AdditionalPaymentRangeItem> leg1AdditionalPaymentList,
List <FeePaymentRangeItem> feePaymentList
)
{
//Check if the calendars are null. If not build them!
InterestRateStream stream1 = GetCashflowsSchedule(fixingCalendar, paymentCalendar, leg1ParametersRange);//parametric definiton + cashflows schedule
// Update FpML cashflows
//
stream1.cashflows = UpdateCashflowsWithDetailedCashflows(leg1DetailedCashflowsList);
if (null != legPrincipalExchangeCashflowListArray)
{
// create principal exchanges
//
InterestRateSwapPricer.CreatePrincipalExchangesFromListOfRanges(stream1.cashflows, legPrincipalExchangeCashflowListArray);
}
// Add bullet payments...
//
var bulletPaymentList = new List <Payment>();
if (null != leg1AdditionalPaymentList)
{
bulletPaymentList.AddRange(leg1AdditionalPaymentList.Select(bulletPaymentRangeItem => new Payment
{
payerPartyReference = PartyReferenceFactory.Create(leg1ParametersRange.Payer),
receiverPartyReference = PartyReferenceFactory.Create(leg1ParametersRange.Receiver),
paymentAmount = MoneyHelper.GetNonNegativeAmount(bulletPaymentRangeItem.Amount, bulletPaymentRangeItem.Currency),
paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(bulletPaymentRangeItem.PaymentDate)
}));
}
CapFloor capFloor = CapFloorFactory.Create(stream1);
capFloor.additionalPayment = bulletPaymentList.ToArray();
var feeList = new List <Payment>();
if (null != feePaymentList)
{
feeList.AddRange(feePaymentList.Select(feePaymentRangeItem => new Payment
{
paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(feePaymentRangeItem.PaymentDate),
paymentAmount = MoneyHelper.GetNonNegativeAmount(feePaymentRangeItem.Amount, feePaymentRangeItem.Currency),
payerPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Payer),
receiverPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Receiver)
}));
}
capFloor.premium = feeList.ToArray();
// Update FpML cashflows with DF,FV,PV, etc (LegParametersRange needed to access curve functionality)
//
UpdateCashflowsWithAmounts(logger, cache, nameSpace, stream1, leg1ParametersRange, valuationRange);
// Update additional payments
//
var leg1DiscountCurve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, leg1ParametersRange.DiscountCurve);
CapFloorGenerator.UpdatePaymentsAmounts(paymentCalendar, capFloor, leg1ParametersRange, leg1DiscountCurve, valuationRange.ValuationDate);
//~ Update additional payments
string baseParty = valuationRange.BaseParty;
return(new Pair <ValuationResultRange, CapFloor>(CreateValuationRange(capFloor, baseParty), capFloor));
}
public List <DetailedCashflowRangeItem> GetDetailedCashflowsWithNotionalSchedule(
ILogger logger, ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
CapFloorLegParametersRange_Old legParametersRange,
List <DateTimeDoubleRangeItem> notionalValueItems,
ValuationRange valuationRange)
{
//Check if the calendars are null. If not build them!
var list1 = notionalValueItems.Select(item => new Pair <DateTime, decimal>(item.DateTime, Convert.ToDecimal(item.Value))).ToList();
NonNegativeSchedule notionalScheduleFpML = NonNegativeScheduleHelper.Create(list1);
Currency currency = CurrencyHelper.Parse(legParametersRange.Currency);
NonNegativeAmountSchedule amountSchedule = NonNegativeAmountScheduleHelper.Create(notionalScheduleFpML, currency);
InterestRateStream interestRateStream = GetCashflowsScheduleWithNotionalSchedule(fixingCalendar, paymentCalendar, legParametersRange, amountSchedule);
//Add the principal exchanges to the cashflows.
var principalExchangeList = list1.Select(cashflow => new PrincipalExchange
{
adjustedPrincipalExchangeDate = cashflow.First, adjustedPrincipalExchangeDateSpecified = true, principalExchangeAmount = cashflow.Second, principalExchangeAmountSpecified = true
}).ToArray();
interestRateStream.cashflows.principalExchange = principalExchangeList;
UpdateCashflowsWithAmounts(logger, cache, nameSpace, interestRateStream, legParametersRange, valuationRange);
var list = new List <DetailedCashflowRangeItem>();
foreach (PaymentCalculationPeriod paymentCalculationPeriod in interestRateStream.cashflows.paymentCalculationPeriod)
{
var detailedCashflowRangeItem = new DetailedCashflowRangeItem();
detailedCashflowRangeItem.PaymentDate = paymentCalculationPeriod.adjustedPaymentDate;
detailedCashflowRangeItem.StartDate = PaymentCalculationPeriodHelper.GetCalculationPeriodStartDate(paymentCalculationPeriod);
detailedCashflowRangeItem.EndDate = PaymentCalculationPeriodHelper.GetCalculationPeriodEndDate(paymentCalculationPeriod);
detailedCashflowRangeItem.NumberOfDays = PaymentCalculationPeriodHelper.GetNumberOfDays(paymentCalculationPeriod);
detailedCashflowRangeItem.FutureValue = MoneyHelper.ToDouble(paymentCalculationPeriod.forecastPaymentAmount);
detailedCashflowRangeItem.PresentValue = MoneyHelper.ToDouble(paymentCalculationPeriod.presentValueAmount);
detailedCashflowRangeItem.DiscountFactor = (double)paymentCalculationPeriod.discountFactor;
detailedCashflowRangeItem.NotionalAmount = (double)PaymentCalculationPeriodHelper.GetNotionalAmount(paymentCalculationPeriod);
detailedCashflowRangeItem.CouponType = GetCouponType(paymentCalculationPeriod);
detailedCashflowRangeItem.Rate = (double)PaymentCalculationPeriodHelper.GetRate(paymentCalculationPeriod);
CalculationPeriod calculationPeriod = PaymentCalculationPeriodHelper.GetCalculationPeriods(paymentCalculationPeriod)[0];
FloatingRateDefinition floatingRateDefinition = XsdClassesFieldResolver.CalculationPeriodGetFloatingRateDefinition(calculationPeriod);
switch (detailedCashflowRangeItem.CouponType.ToLower())
{
case "cap":
{
Strike strike = floatingRateDefinition.capRate[0];
detailedCashflowRangeItem.StrikeRate = (double)strike.strikeRate;
break;
}
case "floor":
{
Strike strike = floatingRateDefinition.floorRate[0];
detailedCashflowRangeItem.StrikeRate = (double)strike.strikeRate;
break;
}
default:
{
string message =
String.Format("Specified coupon type : '{0}' is not supported. Please use one of these: 'cap, floor'", detailedCashflowRangeItem.CouponType.ToLower());
throw new NotSupportedException(message);
}
}
// If floating rate - retrieve the spread.
//
detailedCashflowRangeItem.Spread = (double)PaymentCalculationPeriodHelper.GetSpread(paymentCalculationPeriod);
var fixingDate = new DateTime();
var tempDate = PaymentCalculationPeriodHelper.GetFirstFloatingFixingDate(paymentCalculationPeriod);
if (tempDate != null)
{
fixingDate = (DateTime)tempDate;
}
detailedCashflowRangeItem.FixingDate = fixingDate;
detailedCashflowRangeItem.Currency = "Not Specified";
if (currency != null)
{
detailedCashflowRangeItem.Currency = currency.Value;
}
list.Add(detailedCashflowRangeItem);
}
return(list);
}