public override CreditDefaultSwap GenerateInstrument()
{
var calendar = TradeInfo.Calendar.ToCalendarImpl();
var startDate = TradeInfo.StartDate.ToDate();
var maturityDate = TradeInfo.MaturityDate.ToDate();
var premiumLegNotiaonalFactor = TradeInfo.SwapDirection.ToSwapDirection() == SwapDirection.Payer ? -1 : 1;
var premiumLeg = new SwapLeg(startDate,
maturityDate,
premiumLegNotiaonalFactor * TradeInfo.Notional,
false,
TradeInfo.Currency.ToCurrencyCode(),
new FixedCoupon(TradeInfo.Coupon),
calendar,
TradeInfo.Frequency.ToFrequency(),
TradeInfo.Stub.ToStub(),
TradeInfo.DayCount.ToDayCountImpl(),
TradeInfo.BusinessDayConvention.ToBda());
var protectionLeg = new CdsProtectionLeg(
startDate,
maturityDate,
null,
TradeInfo.Currency.ToCurrencyCode(),
-premiumLegNotiaonalFactor * TradeInfo.Notional,
TradeInfo.RecoveryRate);
return(new CreditDefaultSwap(premiumLeg, protectionLeg, TradeInfo.SwapDirection.ToSwapDirection()));
}
protected ICalibrationSupportedInstrument CreateCreditDefaultSwap(RateMktData rateMktData)
{
var indexType = rateMktData.IndexType.ToIndexType();
var cdsJson = MktInstrumentCdsRule.MktCdsRule[indexType];
var cdsInfo = cdsJson.CreditDefaultSwapInfo;
var calendar = cdsInfo.Calendar.ToCalendarImpl();
var startDate = Market.ReferenceDate;
var isTernor = rateMktData.IsTerm();
var tenor = isTernor ? rateMktData.Tenor : null;
var maturityDate = isTernor ? new Term(tenor).Next(startDate) : new Date(DateTime.Parse(rateMktData.Tenor));
var premiumLeg = new SwapLeg(startDate,
maturityDate,
1.0,
false,
cdsInfo.Currency.ToCurrencyCode(),
new FixedCoupon(rateMktData.Rate),
calendar,
cdsInfo.Frequency.ToFrequency(),
cdsInfo.Stub.ToStub(),
cdsInfo.DayCount.ToDayCountImpl(),
cdsInfo.BusinessDayConvention.ToBda()
);
var protectionLeg = new CdsProtectionLeg(startDate, maturityDate, null, cdsInfo.Currency.ToCurrencyCode(), 1.0, cdsInfo.RecoveryRate);
return(new CreditDefaultSwap(premiumLeg, protectionLeg, SwapDirection.Payer, tenor, cdsJson.CreditDefaultSwapInfo.NumIntegrationInterval));
}
