private static void CalculateForecastPaymentAmount(Calculation calculation,
FloatingRateCalculation floatingRateCalculation,
PaymentCalculationPeriod paymentCalculationPeriod,
IRateCurve forecastCurve,
IRateCurve discountCurve,
DateTime valuationDate)
{
var amountAccruedPerPaymentPeriod = new List <Money>();
decimal interestFromPreviousPeriods = 0;
Notional notionalSchedule = XsdClassesFieldResolver.CalculationGetNotionalSchedule(calculation);
Currency notionalCurrency = notionalSchedule.notionalStepSchedule.currency;
// Cashflows
//
foreach (CalculationPeriod calculationPeriod in XsdClassesFieldResolver.GetPaymentCalculationPeriodCalculationPeriodArray(paymentCalculationPeriod))
{
decimal notional = XsdClassesFieldResolver.CalculationPeriodGetNotionalAmount(calculationPeriod);
decimal finalRate = 0.0m;
// If has a fixed rate (fixed rate coupon)
//
if (XsdClassesFieldResolver.CalculationPeriodHasFixedRate(calculationPeriod))
{
finalRate = XsdClassesFieldResolver.CalculationPeriodGetFixedRate(calculationPeriod);
}
else if (XsdClassesFieldResolver.CalculationPeriodHasFloatingRateDefinition(calculationPeriod))
{
if (null != forecastCurve)
{
FloatingRateDefinition floatingRateDefinition = XsdClassesFieldResolver.CalculationPeriodGetFloatingRateDefinition(calculationPeriod);
// Apply spread from schedule if it hasn't been specified yet.
//
if (!floatingRateDefinition.spreadSpecified)
{
floatingRateDefinition.spread = floatingRateCalculation.spreadSchedule[0].initialValue;
floatingRateDefinition.spreadSpecified = true;
}
ForecastRateHelper.UpdateFloatingRateDefinition(floatingRateDefinition, floatingRateCalculation,
calculation.dayCountFraction,
calculationPeriod,
forecastCurve);
calculationPeriod.Item1 = floatingRateDefinition;
decimal calculatedRate = floatingRateDefinition.calculatedRate;
// final rate after application of Cap/Floor rates
//
finalRate = calculatedRate;
// If has a Cap rate, finalRate = MAX(0, FinalRate - CapRate)
//
if (null != floatingRateDefinition.capRate)
{
Strike strike = floatingRateDefinition.capRate[0];
finalRate = System.Math.Max(0, finalRate - strike.strikeRate);
}
// If has a Floor rate, finalRate = MAX(0, FloorRate - FinalRate)
//
if (null != floatingRateDefinition.floorRate)
{
Strike strike = floatingRateDefinition.floorRate[0];
finalRate = System.Math.Max(0, strike.strikeRate - finalRate);
}
}
}
else
{
throw new System.Exception("CalculationPeriod has neither fixedRate nor floatngRateDefinition.");
}
// Compound interest accrued during previos calculation periods in this payment period.
//
decimal notionalAdjustedForInterestFromPreviousPeriods = notional + interestFromPreviousPeriods;
if (calculation.discounting == null)
{
interestFromPreviousPeriods = notionalAdjustedForInterestFromPreviousPeriods * finalRate * calculationPeriod.dayCountYearFraction;
}
else if (calculation.discounting.discountingType == DiscountingTypeEnum.FRA || calculation.discounting.discountingType == DiscountingTypeEnum.Standard)
{
interestFromPreviousPeriods = notionalAdjustedForInterestFromPreviousPeriods * (1.0m - 1.0m / (1.0m + finalRate * calculationPeriod.dayCountYearFraction));
}
else
{
throw new NotSupportedException("The specified discountingType is not supported.");
}
Money amountAccruedPerCalculationPeriod = MoneyHelper.GetAmount(interestFromPreviousPeriods, notionalCurrency);
amountAccruedPerPaymentPeriod.Add(amountAccruedPerCalculationPeriod);
}
paymentCalculationPeriod.forecastPaymentAmount = MoneyHelper.Sum(amountAccruedPerPaymentPeriod);
paymentCalculationPeriod.discountFactor = (decimal)discountCurve.GetDiscountFactor(valuationDate, paymentCalculationPeriod.adjustedPaymentDate);
paymentCalculationPeriod.discountFactorSpecified = true;
paymentCalculationPeriod.presentValueAmount = MoneyHelper.Mul(paymentCalculationPeriod.forecastPaymentAmount, paymentCalculationPeriod.discountFactor);
}