/// <summary> /// Returns present value of the swap for a specified baseParty. /// </summary> /// <param name="swap"></param> /// <param name="baseParty">The party, from which point of view the valuations are computed.</param> /// <returns></returns> public static Money GetPresentValue(Swap swap, string baseParty) { var list = new List <Money>(); foreach (InterestRateStream stream in swap.swapStream) { Money presentValueOfStream = CashflowsHelper.GetPresentValue(stream.cashflows); list.AddRange(GetValue(stream.payerPartyReference.href, stream.receiverPartyReference.href, baseParty, presentValueOfStream)); } Money sumPVs = MoneyHelper.Sum(list); //only add a pv in the same currency. Money presentValueOfAdditionalPayments = GetPresentValueOfAdditionalPayments(swap, baseParty, sumPVs.currency); sumPVs = MoneyHelper.Add(sumPVs, presentValueOfAdditionalPayments); return(sumPVs); }
public static Money GetPayFutureValue(CapFloor capFloor, string baseParty) { var list = new List <Money>(); InterestRateStream stream = capFloor.capFloorStream; { Money presentValueOfStream = CashflowsHelper.GetForecastValue(stream.cashflows); if (baseParty == stream.payerPartyReference.href) { list.Add(presentValueOfStream); } } Money payFutureValueOfAdditionalPayments = GetPayFutureValueOfAdditionalPayments(capFloor, baseParty); list.Add(payFutureValueOfAdditionalPayments); return(MoneyHelper.Sum(list)); }
public static Money GetPayFutureValue(Swap swap, string baseParty) { var list = new List <Money>(); foreach (InterestRateStream stream in swap.swapStream) { Money presentValueOfStream = CashflowsHelper.GetForecastValue(stream.cashflows); if (baseParty == stream.payerPartyReference.href) { list.Add(presentValueOfStream); } } Money payFutureValueOfAdditionalPayments = GetPayFutureValueOfAdditionalPayments(swap, baseParty); list.Add(payFutureValueOfAdditionalPayments); return(MoneyHelper.Sum(list)); }
public static Swaption Create(Swap swap, decimal premiumAmount, DateTime expirationDate) { var swaption = new Swaption { swap = swap, premium = new[] { new Payment() } }; swaption.premium[0].paymentAmount = MoneyHelper.GetNonNegativeAmount(premiumAmount); var europeanExercise = new EuropeanExercise { expirationDate = new AdjustableOrRelativeDate() }; var adjustableDate = new AdjustableDate { unadjustedDate = new IdentifiedDate { Value = expirationDate } }; europeanExercise.expirationDate.Item = adjustableDate; XsdClassesFieldResolver.SwaptionSetEuropeanExercise(swaption, europeanExercise); return(swaption); }
public static Money GetPresentValue(Cashflows cashflows) { var presentValueList = cashflows.paymentCalculationPeriod.Select(period => period.presentValueAmount).ToList(); return(MoneyHelper.Sum(presentValueList)); }
public static Money GetForecastValue(Cashflows cashflows) { var forecastValueList = cashflows.paymentCalculationPeriod.Select(period => period.forecastPaymentAmount).ToList(); return(MoneyHelper.Sum(forecastValueList)); }