public static AsianBasisSwap CreateBulletBasisSwap(DateTime payFixing, DateTime recFixing, double strike, string assetIdPay, string assetIdRec, Currency currency, double notionalPay, double notionalRec)
{
var payDate = payFixing.Max(recFixing);
var swapPay = new Forward
{
AssetId = assetIdPay,
ExpiryDate = payFixing,
PaymentDate = payDate,
Notional = notionalPay,
Strike = strike,
}.AsBulletSwap();
var swapRec = new Forward
{
AssetId = assetIdRec,
ExpiryDate = recFixing,
PaymentDate = payDate,
Notional = notionalRec,
Strike = 0.0,
}.AsBulletSwap();
var swap = new AsianBasisSwap
{
PaySwaplets = new[] { swapPay },
RecSwaplets = new[] { swapRec },
};
return(swap);
}
public static AsianBasisSwap CreateTermAsianBasisSwap(DateTime start, DateTime end, double strike, string assetIdPay, string assetIdRec, Calendar fixingCalendarPay, Calendar fixingCalendarRec, DateTime payDate, Currency currency, Frequency spotLagPay = new Frequency(), Frequency spotLagRec = new Frequency(), double notionalPay = 1, double notionalRec = 1, DateGenerationType fixingDateType = DateGenerationType.BusinessDays)
{
var swapPay = CreateTermAsianSwap(start, end, -strike, assetIdPay, fixingCalendarPay, payDate, currency, TradeDirection.Long, spotLagPay, notionalPay);
var swapRec = CreateTermAsianSwap(start, end, 0, assetIdRec, fixingCalendarRec, payDate, currency, TradeDirection.Short, spotLagRec, notionalRec);
var swap = new AsianBasisSwap
{
PaySwaplets = new [] { swapPay },
RecSwaplets = new [] { swapRec },
};
return(swap);
}
