public void AddCashFlow(double rate, InterestRateTenorType frequencyType, int frequency, InterestRateTenorType maturityType, int maturity, DayCountConvention dayCount)
{
// Console.WriteLine("Add Cashflow:" + rate + " " + frequencyType + " " + frequency + " " + maturityType + " " + maturity + " " + dayCount);
DateTime expiryDate = new DateTime();
switch (maturityType)
{
case InterestRateTenorType.Daily:
expiryDate = _startDate.AddActualDays(maturity, TimeSeries.DateSearchType.Next).DateTime;
break;
case InterestRateTenorType.Weekly:
expiryDate = _startDate.AddActualDays(maturity * 7, TimeSeries.DateSearchType.Next).DateTime;
break;
case InterestRateTenorType.Monthly:
expiryDate = _startDate.AddMonths(maturity, TimeSeries.DateSearchType.Next).DateTime;
break;
case InterestRateTenorType.Yearly:
expiryDate = _startDate.AddYears(maturity, TimeSeries.DateSearchType.Next).DateTime;
break;
default:
break;
}
CashFlowRate cf = new CashFlowRate(frequencyType, frequency, maturityType, maturity, dayCount, rate);
if (!_cashFlows.ContainsKey(expiryDate))
{
_cashFlows.Add(expiryDate, cf);
}
}
public void GenerateCashFlows(DateTime creationDate)
{
BusinessDay date = Calendar.GetClosestBusinessDay(StartDate, TimeSeries.DateSearchType.Previous);
BusinessDay end = Calendar.GetClosestBusinessDay(EndDate, TimeSeries.DateSearchType.Next);
BusinessDay expiryDate = date;
for (int i = 1; expiryDate.DateTime <= end.DateTime; i++)
{
switch (Frequency)
{
case InterestRateTenorType.Daily:
expiryDate = date.AddActualDays(i, TimeSeries.DateSearchType.Next);
break;
case InterestRateTenorType.Weekly:
expiryDate = date.AddActualDays(7 * i, TimeSeries.DateSearchType.Next);
break;
case InterestRateTenorType.Monthly:
expiryDate = date.AddMonths(i, TimeSeries.DateSearchType.Next);
break;
case InterestRateTenorType.Yearly:
expiryDate = date.AddYears(i, TimeSeries.DateSearchType.Next);
break;
default:
break;
}
CashFlow cf = CashFlow.CreateCashFlow(Name + "-" + expiryDate, Currency, Calendar.GetBusinessDay(creationDate), Amount, expiryDate, this, SimulationObject);
this.AddCashFlow(cf, creationDate);
//date = expiryDate;
}
}