public static void SetNotionalAmount(PaymentCalculationPeriod paymentCalculationPeriod, decimal notionalAmount)
{
foreach (CalculationPeriod calculationPeriod in XsdClassesFieldResolver.GetPaymentCalculationPeriodCalculationPeriodArray(paymentCalculationPeriod))
{
XsdClassesFieldResolver.CalculationPeriodSetNotionalAmount(calculationPeriod, notionalAmount);
}
}
public static TermPoint Create(decimal mid, DateTime term)
{
var termPoint = new TermPoint
{
mid = mid,
midSpecified = true
};
var timeDimension = new TimeDimension();
XsdClassesFieldResolver.TimeDimensionSetDate(timeDimension, term);
termPoint.term = timeDimension;
return(termPoint);
}
public static decimal GetNotionalAmount(PaymentCalculationPeriod paymentCalculationPeriod)
{
decimal result = 0.0m;
decimal numberOfPeriods = 0.0m;
foreach (CalculationPeriod calculationPeriod in XsdClassesFieldResolver.GetPaymentCalculationPeriodCalculationPeriodArray(paymentCalculationPeriod))
{
result += XsdClassesFieldResolver.CalculationPeriodGetNotionalAmount(calculationPeriod);
numberOfPeriods += 1;
}
return(result / numberOfPeriods);
}
public static void SetSpread(PaymentCalculationPeriod paymentCalculationPeriod, decimal value)
{
foreach (CalculationPeriod calculationPeriod in XsdClassesFieldResolver.GetPaymentCalculationPeriodCalculationPeriodArray(paymentCalculationPeriod))
{
if (XsdClassesFieldResolver.CalculationPeriodHasFloatingRateDefinition(calculationPeriod))
{
FloatingRateDefinition floatingRateDefinition = XsdClassesFieldResolver.CalculationPeriodGetFloatingRateDefinition(calculationPeriod);
floatingRateDefinition.spread = value;
floatingRateDefinition.spreadSpecified = true;
}
else
{
throw new NotImplementedException("PaymentCalculationPeriodHelper.SetSpread cannot be called on a fixed rate cashflow.");
}
}
}
public static void SetRate(PaymentCalculationPeriod paymentCalculationPeriod, decimal rate)
{
foreach (CalculationPeriod calculationPeriod in XsdClassesFieldResolver.GetPaymentCalculationPeriodCalculationPeriodArray(paymentCalculationPeriod))
{
if (XsdClassesFieldResolver.CalculationPeriodHasFixedRate(calculationPeriod))
{
XsdClassesFieldResolver.SetCalculationPeriodFixedRate(calculationPeriod, rate);
}
else if (XsdClassesFieldResolver.CalculationPeriodHasFloatingRateDefinition(calculationPeriod))
{
throw new NotImplementedException("Cannot modify floating rate, PaymentCalculationPeriodHelper.SetRate");
//XsdClassesFieldResolver.CalculationPeriod_GetFloatingRateDefinition(calculationPeriod).calculatedRate;
}
else
{
throw new NotImplementedException("PaymentCalculationPeriodHelper.SetRate");
}
}
}
public static Swaption Create(Swap swap, Payment[] premium, EuropeanExercise exercise, bool automaticExercise)
{
var swaption = new Swaption {
swap = swap, premium = premium
};
var europeanExercise = exercise;
swaption.exerciseProcedure = new ExerciseProcedure();
if (automaticExercise)
{
XsdClassesFieldResolver.ExerciseProcedureSetAutomaticExercise(swaption.exerciseProcedure, new AutomaticExercise());
}
else//manual exercise
{
XsdClassesFieldResolver.ExerciseProcedureSetManualExercise(swaption.exerciseProcedure, new ManualExercise());
}
XsdClassesFieldResolver.SwaptionSetEuropeanExercise(swaption, europeanExercise);
return(swaption);
}
public static decimal GetSpread(PaymentCalculationPeriod paymentCalculationPeriod)
{
decimal result = 0.0m;
decimal numberOfPeriods = 0.0m;
foreach (CalculationPeriod calculationPeriod in XsdClassesFieldResolver.GetPaymentCalculationPeriodCalculationPeriodArray(paymentCalculationPeriod))
{
if (XsdClassesFieldResolver.CalculationPeriodHasFloatingRateDefinition(calculationPeriod))
{
FloatingRateDefinition floatingRateDefinition = XsdClassesFieldResolver.CalculationPeriodGetFloatingRateDefinition(calculationPeriod);
result += floatingRateDefinition.spread;
}
else
{
throw new NotImplementedException("PaymentCalculationPeriodHelper.GetSpread cannot be called on fixed rate cashflow.");
}
numberOfPeriods += 1;
}
return(result / numberOfPeriods);
}
public static void ReplaceFloatingRateWithFixedRate(PaymentCalculationPeriod paymentCalculationPeriod, decimal fixedRate)
{
foreach (CalculationPeriod calculationPeriod in XsdClassesFieldResolver.GetPaymentCalculationPeriodCalculationPeriodArray(paymentCalculationPeriod))
{
if (XsdClassesFieldResolver.CalculationPeriodHasFixedRate(calculationPeriod))
{
throw new System.Exception("calculation period already uses a fixed rate.");
}
if (XsdClassesFieldResolver.CalculationPeriodHasFloatingRateDefinition(calculationPeriod))
{
// Replace FloatingRateDefinition with decimal (fixed rate)
//
XsdClassesFieldResolver.SetCalculationPeriodFixedRate(calculationPeriod, fixedRate);
}
else
{
throw new NotSupportedException("PaymentCalculationPeriodHelper.ReplaceFloatingRateWithFixedRate");
}
}
}
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 decimal GetRate(PaymentCalculationPeriod paymentCalculationPeriod)
{
decimal result = 0.0m;
decimal numberOfPeriods = 0.0m;
foreach (CalculationPeriod calculationPeriod in XsdClassesFieldResolver.GetPaymentCalculationPeriodCalculationPeriodArray(paymentCalculationPeriod))
{
if (XsdClassesFieldResolver.CalculationPeriodHasFixedRate(calculationPeriod))
{
result += XsdClassesFieldResolver.CalculationPeriodGetFixedRate(calculationPeriod);
}
else if (XsdClassesFieldResolver.CalculationPeriodHasFloatingRateDefinition(calculationPeriod))
{
result += XsdClassesFieldResolver.CalculationPeriodGetFloatingRateDefinition(calculationPeriod).calculatedRate;
}
else
{
throw new NotImplementedException("PaymentCalculationPeriodHelper.GetRate");
}
numberOfPeriods += 1;
}
return(result / numberOfPeriods);
}
public static Swaption Create(Swap swap, NonNegativeMoney premium, string premiumPayer, string premiumReceiver,
AdjustableOrAdjustedDate paymentDate,
AdjustableDate expirationDate,
DateTime earliestExerciseTime, DateTime expirationTime, bool automaticExercise)
{
var swaption = new Swaption
{
swap = swap,
premium = new[] { new Payment() },
buyerPartyReference = PartyReferenceHelper.Parse(premiumPayer),
sellerPartyReference = PartyReferenceHelper.Parse(premiumReceiver)
};
swaption.premium[0].paymentAmount = premium;
swaption.premium[0].paymentDate = paymentDate;
swaption.premium[0].payerPartyReference = PartyReferenceHelper.Parse(premiumPayer);
swaption.premium[0].receiverPartyReference = PartyReferenceHelper.Parse(premiumReceiver);
var europeanExercise = new EuropeanExercise
{
expirationDate = new AdjustableOrRelativeDate(),
earliestExerciseTime = BusinessCenterTimeHelper.Create(earliestExerciseTime),
expirationTime = BusinessCenterTimeHelper.Create(expirationTime)
};
europeanExercise.expirationDate.Item = expirationDate;
swaption.exerciseProcedure = new ExerciseProcedure();
if (automaticExercise)
{
XsdClassesFieldResolver.ExerciseProcedureSetAutomaticExercise(swaption.exerciseProcedure, new AutomaticExercise());
}
else//manual exercise
{
XsdClassesFieldResolver.ExerciseProcedureSetManualExercise(swaption.exerciseProcedure, new ManualExercise());
}
XsdClassesFieldResolver.SwaptionSetEuropeanExercise(swaption, europeanExercise);
return(swaption);
}
public static CalculationPeriod GetFirstCalculationPeriod(PaymentCalculationPeriod paymentCalculationPeriod)
{
return(XsdClassesFieldResolver.GetPaymentCalculationPeriodCalculationPeriodArray(paymentCalculationPeriod)[0]);
}
public static CalculationPeriod[] GetCalculationPeriods(PaymentCalculationPeriod paymentCalculationPeriod)
{
return(XsdClassesFieldResolver.GetPaymentCalculationPeriodCalculationPeriodArray(paymentCalculationPeriod));
}
public static void SetCalculationPeriodEndDate(PaymentCalculationPeriod paymentCalculationPeriod, DateTime endDate)
{
CalculationPeriod[] calculationPeriodArray = XsdClassesFieldResolver.GetPaymentCalculationPeriodCalculationPeriodArray(paymentCalculationPeriod);
calculationPeriodArray[calculationPeriodArray.Length - 1].adjustedEndDate = endDate;
calculationPeriodArray[calculationPeriodArray.Length - 1].adjustedEndDateSpecified = true;
}
public static DateTime GetCalculationPeriodEndDate(PaymentCalculationPeriod paymentCalculationPeriod)
{
CalculationPeriod[] calculationPeriodArray = XsdClassesFieldResolver.GetPaymentCalculationPeriodCalculationPeriodArray(paymentCalculationPeriod);
return(calculationPeriodArray[calculationPeriodArray.Length - 1].adjustedEndDate);
}
public static void SetCalculationPeriodStartDate(PaymentCalculationPeriod paymentCalculationPeriod, DateTime startDate)
{
CalculationPeriod[] calculationPeriodArray = XsdClassesFieldResolver.GetPaymentCalculationPeriodCalculationPeriodArray(paymentCalculationPeriod);
calculationPeriodArray[0].adjustedStartDate = startDate;
calculationPeriodArray[0].adjustedStartDateSpecified = true;
}
public static DateTime GetCalculationPeriodStartDate(PaymentCalculationPeriod paymentCalculationPeriod)
{
CalculationPeriod[] calculationPeriodArray = XsdClassesFieldResolver.GetPaymentCalculationPeriodCalculationPeriodArray(paymentCalculationPeriod);
return(calculationPeriodArray[0].adjustedStartDate);
}
public static int GetNumberOfDays(PaymentCalculationPeriod paymentCalculationPeriod)
{
return(XsdClassesFieldResolver.GetPaymentCalculationPeriodCalculationPeriodArray(paymentCalculationPeriod).Sum(calculationPeriod => int.Parse(calculationPeriod.calculationPeriodNumberOfDays)));
}
public static DateTime GetDate(TermPoint termPoint)
{
DateTime date = XsdClassesFieldResolver.TimeDimensionGetDate(termPoint.term);
return(date);
}
