protected SwapPricer(ILogger logger, ICoreCache cache, String nameSpace, List <Pair <IBusinessCalendar, IBusinessCalendar> > legCalendars, Swap swapFpML, string basePartyReference, ProductTypeSimpleEnum productType, Boolean forecastRateInterpolation) { Multiplier = 1.0m; if (swapFpML == null) { return; } BusinessCentersResolver.ResolveBusinessCenters(swapFpML); ForecastRateInterpolation = forecastRateInterpolation; //Get the effective date AdjustableDate adjustableEffectiveDate = XsdClassesFieldResolver.CalculationPeriodDatesGetEffectiveDate(swapFpML.swapStream[0].calculationPeriodDates); EffectiveDate = adjustableEffectiveDate.unadjustedDate.Value; //We make the assumption that the termination date is the same for all legs. AdjustableDate adjustableTerminationDate = XsdClassesFieldResolver.CalculationPeriodDatesGetTerminationDate(swapFpML.swapStream[0].calculationPeriodDates); var paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, adjustableTerminationDate.dateAdjustments.businessCenters, nameSpace); TerminationDate = AdjustedDateHelper.ToAdjustedDate(paymentCalendar, adjustableTerminationDate); RiskMaturityDate = TerminationDate; //EffectiveDate is not set; ProductType = productType; PaymentCurrencies = new List <string>(); //Resolve the payer var legs = swapFpML.swapStream.Length; if (legs == 0) { return; } var flag = false; var index = 0; if (legCalendars != null && legCalendars.Count == legs) { flag = true; } foreach (var swapStream in swapFpML.swapStream) { bool payerIsBase = basePartyReference == swapStream.payerPartyReference.href;//TODO add in the calendar functionality. //Set the id of the first stream. PriceableInterestRateStream leg = flag ? new PriceableInterestRateStream(logger, cache, nameSpace, payerIsBase, swapStream, ForecastRateInterpolation, legCalendars[index].First, legCalendars[index].Second) : new PriceableInterestRateStream(logger, cache, nameSpace, payerIsBase, swapStream, ForecastRateInterpolation, null, null); Legs.Add(leg); //Add the currencies for the trade pricer. if (!PaymentCurrencies.Contains(leg.Currency.Value)) { PaymentCurrencies.Add(leg.Currency.Value); } index++; } if (swapFpML.additionalPayment != null) { AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, swapFpML.additionalPayment, null); foreach (var payment in swapFpML.additionalPayment) { if (!PaymentCurrencies.Contains(payment.paymentAmount.currency.Value)) { PaymentCurrencies.Add(payment.paymentAmount.currency.Value); } } } }
/// <summary> /// /// </summary> /// <param name="logger"></param> /// <param name="cache"></param> /// <param name="paymentCalendar"> </param> /// <param name="capFloorFpML"></param> /// <param name="basePartyReference"></param> /// <param name="forecastRateInterpolation"></param> /// <param name="nameSpace"></param> /// <param name="fixingCalendar"> </param> public CapFloorPricer(ILogger logger, ICoreCache cache, String nameSpace, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar, CapFloor capFloorFpML, string basePartyReference, Boolean forecastRateInterpolation) { if (capFloorFpML == null) { return; } //AnalyticsModel = new SimpleIRSwapInstrumentAnalytic(); BusinessCentersResolver.ResolveBusinessCenters(capFloorFpML); ForecastRateInterpolation = forecastRateInterpolation; //We make the assumption that the termination date is the same for all legs.. AdjustableDate adjustableTerminationDate = XsdClassesFieldResolver.CalculationPeriodDatesGetTerminationDate(capFloorFpML.capFloorStream.calculationPeriodDates); if (paymentCalendar == null) { paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, adjustableTerminationDate.dateAdjustments.businessCenters, nameSpace); } RiskMaturityDate = AdjustedDateHelper.ToAdjustedDate(paymentCalendar, adjustableTerminationDate); ProductType = ProductTypeSimpleEnum.CapFloor; PaymentCurrencies = new List <string>(); //Resolve the payer if (capFloorFpML.capFloorStream == null) { return; } var calculation = capFloorFpML.capFloorStream.calculationPeriodAmount.Item as Calculation; var floatingRatecalculation = calculation?.Items[0] as FloatingRateCalculation; if (floatingRatecalculation == null) { return; } if (floatingRatecalculation.capRateSchedule != null) { var schedule = floatingRatecalculation.capRateSchedule[0]; var buyerPartyReference = schedule.buyer.Value; if (buyerPartyReference == PayerReceiverEnum.Receiver) { BuyerPartyReference = capFloorFpML.capFloorStream.receiverPartyReference.href; SellerPartyReference = capFloorFpML.capFloorStream.payerPartyReference.href; } else { BuyerPartyReference = capFloorFpML.capFloorStream.payerPartyReference.href; SellerPartyReference = capFloorFpML.capFloorStream.receiverPartyReference.href; } } if (floatingRatecalculation.capRateSchedule == null && floatingRatecalculation.floorRateSchedule != null) { var schedule = floatingRatecalculation.floorRateSchedule[0]; var buyerPartyReference = schedule.buyer.Value; if (buyerPartyReference == PayerReceiverEnum.Receiver) { BuyerPartyReference = capFloorFpML.capFloorStream.receiverPartyReference.href; SellerPartyReference = capFloorFpML.capFloorStream.payerPartyReference.href; } else { BuyerPartyReference = capFloorFpML.capFloorStream.payerPartyReference.href; SellerPartyReference = capFloorFpML.capFloorStream.receiverPartyReference.href; } } BasePartyBuyer = basePartyReference == BuyerPartyReference;//TODO add in the calendar functionality. //Set the id of the first stream. THe generator requires the flag: BasePartyPayer. var capFloorLeg = new PriceableCapFloorStream(logger, cache, nameSpace, !BasePartyBuyer, capFloorFpML.capFloorStream, ForecastRateInterpolation, fixingCalendar, paymentCalendar); Legs.Add(capFloorLeg); //Add the currencies for the trade pricer. if (!PaymentCurrencies.Contains(capFloorLeg.Currency.Value)) { PaymentCurrencies.Add(capFloorLeg.Currency.Value); } if (capFloorFpML.additionalPayment != null) { AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, capFloorFpML.additionalPayment, null); foreach (var payment in capFloorFpML.additionalPayment) { if (!PaymentCurrencies.Contains(payment.paymentAmount.currency.Value)) { PaymentCurrencies.Add(payment.paymentAmount.currency.Value); } } } }