/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="isCollateralised"></param>
/// <param name="collateralCurrency"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <param name="isPayer"></param>
/// <param name="commodityForwardFpML"></param>
/// <param name="nameSpace"></param>
public CommodityForwardPricer(ILogger logger, ICoreCache cache, bool isCollateralised,
string collateralCurrency, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar,
bool isPayer, CommodityForward commodityForwardFpML, String nameSpace)
{
IsCollateralised = isCollateralised;
CollateralCurrency = collateralCurrency;
OrderedPartyNames = new List <string>();
Multiplier = 1.0m;
ValueDate = commodityForwardFpML.valueDate;
FixedLeg = commodityForwardFpML.fixedLeg;
BullionPhysicalLeg = commodityForwardFpML.Item;
if (commodityForwardFpML.commonPricingSpecified)
{
CommonPricing = commodityForwardFpML.commonPricing;
}
AddCashFlows(logger, cache, fixingCalendar, paymentCalendar, commodityForwardFpML, isPayer, nameSpace);
BasePartyPayingFixed = !isPayer;
RiskMaturityDate = TerminationDate;
NumberOfDays = (DayCounterHelper.Parse(DayCountFraction.Value)).DayCount(EffectiveDate, TerminationDate);
//Set the product type.
ProductType = ProductTypeSimpleEnum.FRA;
PaymentCurrencies = new List <string> {
Notional.currency.Value
};
//Set the default discount curve name.
DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(CollateralCurrency, !IsCollateralised);
ForecastCurveName = CurveNameHelpers.GetForecastCurveName(commodityForwardFpML.floatingRateIndex, commodityForwardFpML.indexTenor);
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="isCollateralised"></param>
/// <param name="collateralCurrency"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <param name="commodityForwardFpML"></param>
/// <param name="baseParty"></param>
/// <param name="nameSpace"></param>
public CommodityForwardPricer(ILogger logger, ICoreCache cache, bool isCollateralised,
string collateralCurrency, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar,
CommodityForward commodityForwardFpML, String baseParty, String nameSpace)
: this(logger, cache, isCollateralised, collateralCurrency, fixingCalendar, paymentCalendar,
!IsBasePartyBuyer(baseParty, commodityForwardFpML), commodityForwardFpML, nameSpace)
{
}
private void AddCashFlows(ILogger logger, ICoreCache cache,
IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar,
CommodityForward commodityForwardFpML, bool isBuyer, String nameSpace)
{
EffectiveDate = fraFpML.adjustedEffectiveDate.Value;
TerminationDate = fraFpML.adjustedTerminationDate;
if (paymentCalendar == null)
{
paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, fraFpML.paymentDate.dateAdjustments.businessCenters, nameSpace);
}
if (fixingCalendar == null)
{
fixingCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, fraFpML.fixingDateOffset.businessCenters, nameSpace);
}
DateTime unadjustedPaymentDate = fraFpML.paymentDate.unadjustedDate.Value;
var notional = MoneyHelper.GetAmount(fraFpML.notional.amount, fraFpML.notional.currency);
PaymentDate = paymentCalendar.Roll(unadjustedPaymentDate, BusinessDayConventionHelper.Parse(fraFpML.paymentDate.dateAdjustments.businessDayConvention.ToString()));
DateTime adjustedFixingDate = GetResetDate(logger, cache, fixingCalendar, fraFpML, nameSpace);
var interval = fraFpML.indexTenor[0];
var floatingInterest = new PriceableFloatingRateCoupon(fraFpML.id + "FloatingCoupon_1"
, isBuyer
, EffectiveDate
, TerminationDate
, adjustedFixingDate
, fraFpML.dayCountFraction
, 0.0m
, FixedRate
, null
, isBuyer ? MoneyHelper.Neg(notional) : notional
, PaymentDate
, new ForecastRateIndex {
floatingRateIndex = fraFpML.floatingRateIndex, indexTenor = interval
}
, null
, null
, fraFpML.fraDiscounting
, paymentCalendar
, fixingCalendar)
{
ForecastRateInterpolation = ForecastRateInterpolation
};
// Combine two cashflows into one leg
//
FloatingCoupon = floatingInterest;//fraFpML.fraDiscounting,
}
/// <summary>
/// Gets the reset date.
/// </summary>
/// <param name="logger"> </param>
/// <param name="cache"> </param>
/// <param name="fixingCalendar"> </param>
/// <param name="commodityForwardFpML">The fraFpML.</param>
/// <param name="nameSpace"></param>
/// <returns></returns>
private static DateTime GetResetDate(ILogger logger, ICoreCache cache,
IBusinessCalendar fixingCalendar,
CommodityForward commodityForwardFpML, String nameSpace)
{
var effectiveDateId = fraFpML.adjustedEffectiveDate.id;
var fixingdateRef = fraFpML.fixingDateOffset.dateRelativeTo.href;
DateTime resetDate = fraFpML.adjustedEffectiveDate.Value;
if (fixingCalendar == null)
{
fixingCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, fraFpML.fixingDateOffset.businessCenters, nameSpace);
}
if (fixingdateRef == effectiveDateId)
{
resetDate = AdjustedDateHelper.ToAdjustedDate(fixingCalendar, fraFpML.adjustedEffectiveDate.Value, fraFpML.fixingDateOffset);
}
logger.LogInfo("Reset date set.");
return(resetDate);
}
private static bool IsBasePartyBuyer(string baseParty, CommodityForward commodityForwardFpML)
{
return(baseParty == commodityForwardFpML.pa.href);
}