///// <summary>
///// Initializes a new instance of the <see cref="PriceableFxONRate"/> class.
///// </summary>
///// <param name="baseDate">The base date.</param>
///// <param name="spotDateOffset">The business day adjustments.</param>
///// <param name="fxRateAsset"></param>
///// <param name="fxForward">The forward points.</param>
//public PriceableFxONRate(DateTime baseDate, RelativeDateOffset spotDateOffset, FxRateAsset fxRateAsset, BasicQuotation fxForward)
// : this(1.0m, baseDate, fxRateAsset,
// spotDateOffset, fxForward)
//{}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableFxONRate"/> class.
/// </summary>
/// <param name="notionalAmount">The notional.</param>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">The nodeStruct.</param>
/// <param name="fxRateAsset">The asset itself</param>
/// <param name="fixingCalendar">The fixing Calendar.</param>
/// <param name="paymentCalendar">The payment Calendar.</param>
/// <param name="fxForward">The forward points.</param>
public PriceableFxONRate(DateTime baseDate, decimal notionalAmount, FxSpotNodeStruct nodeStruct,
FxRateAsset fxRateAsset, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar, BasicQuotation fxForward)
: base(baseDate, "1D", notionalAmount, nodeStruct, fxRateAsset, fixingCalendar, paymentCalendar, fxForward)
{
AdjustedStartDate = baseDate;
AdjustedEffectiveDate = baseDate;
RiskMaturityDate = baseDate; //fixingCalendar.Advance(AdjustedStartDate, OffsetHelper.FromInterval(Tenor, DayTypeEnum.Business), SpotDateOffset.businessDayConvention); //baseDate;// GetForwardDate();
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableFxSpotRate"/> class.
/// </summary>
/// <param name="notionalAmount">The notional.</param>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">The nodeStruct.</param>
/// <param name="fxRateAsset">The asset itself</param>
/// <param name="fixingCalendar">The fixing Calendar.</param>
/// <param name="paymentCalendar">The payment Calendar.</param>
/// <param name="fxForward">The forward points.</param>
public PriceableFxSpotRate(DateTime baseDate, decimal notionalAmount, FxSpotNodeStruct nodeStruct,
FxRateAsset fxRateAsset, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar, BasicQuotation fxForward)
: base(baseDate, "2D", notionalAmount, nodeStruct, fxRateAsset, fixingCalendar, paymentCalendar, fxForward)
{
AdjustedStartDate = baseDate;//GetSpotDate();
AdjustedEffectiveDate = AdjustedStartDate;
RiskMaturityDate = GetSpotDate(AdjustedStartDate, fixingCalendar, nodeStruct.SpotDate);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableFxSpotRate"/> class.
/// </summary>
/// <param name="notionalAmount">The notional.</param>
/// <param name="baseDate">The base date.</param>
/// <param name="tenor">The tenor.</param>
/// <param name="nodeStruct">The nodeStruct.</param>
/// <param name="fxRateAsset">The asset itself</param>
/// <param name="fixingCalendar">The fixing Calendar.</param>
/// <param name="paymentCalendar">The payment Calendar.</param>
/// <param name="fxForward">The forward points.</param>
public PriceableFxForwardRate(DateTime baseDate, string tenor, decimal notionalAmount, FxSpotNodeStruct nodeStruct,
FxRateAsset fxRateAsset, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar, BasicQuotation fxForward)
{
PaymentDiscountFactorCcy12 = 1.0m;
PaymentDiscountFactorCcy1 = 1.0m;
Ccy2CurveName = string.Empty;
Ccy1CurveName = string.Empty;
ModelIdentifier = "SimpleFxRateAsset";
Id = fxRateAsset.id;
Tenor = PeriodHelper.Parse(tenor);
NotionalAmount = notionalAmount;
FxRateAsset = fxRateAsset;
BaseDate = baseDate;
SpotDateOffset = nodeStruct.SpotDate;
AdjustedStartDate = GetSpotDate(baseDate, fixingCalendar, nodeStruct.SpotDate);//GetSpotDate();
AdjustedEffectiveDate = AdjustedStartDate;
RiskMaturityDate = GetEffectiveDate(AdjustedStartDate, paymentCalendar, Tenor, nodeStruct.SpotDate.businessDayConvention);
SetRate(fxForward);
}