// Specification for this class
public override void LoadSpecifications()
{
// Basis swap 6m vs 3m
this.buildingBlockType = BuildingBlockType.EURSWAP3M;
// Fixed leg details on swapLeg1
Rule FloatSwapRule1 = Rule.Backward;
string FloatSwapPayFreqString1 = "6m";
BusinessDayAdjustment FloatSwapBusDayAdjRolls1 = BusinessDayAdjustment.ModifiedFollowing;
string FloatSwapLegPaymentString1 = "0d";
BusinessDayAdjustment FloatSwapBusDayAdjPay1 = BusinessDayAdjustment.ModifiedFollowing;
Dc FloatDayCount1 = Dc._Act_360; // day count of Floating leg
FixFloat FloatFixOrFloat1 = FixFloat.Floating;
string FloatUnderlyingRateTenor1 = "6m";
// Floating details on Leg2
Rule FloatSwapRule2 = Rule.Backward;
string FloatSwapPayFreqString2 = "3m";
BusinessDayAdjustment FloatSwapBusDayAdjRolls2 = BusinessDayAdjustment.ModifiedFollowing;
string FloatSwapLegPaymentString2 = "0d";
BusinessDayAdjustment FloatSwapBusDayAdjPay2 = BusinessDayAdjustment.ModifiedFollowing;
Dc FloatDayCount2 = Dc._Act_360; // day count of Floating leg
FixFloat FloatFixOrFloat2 = FixFloat.Floating;
string FloatUnderlyingRateTenor2 = "3m";
// Creating swap legs
// create swapLeg1
this.swapLeg1 = new SwapLeg(FloatSwapRule1, FloatSwapPayFreqString1, FloatSwapBusDayAdjRolls1,
FloatSwapLegPaymentString1, FloatSwapBusDayAdjPay1, FloatDayCount1, FloatFixOrFloat1, FloatUnderlyingRateTenor1);
// create swapLeg2
this.swapLeg2 = new SwapLeg(FloatSwapRule2, FloatSwapPayFreqString2, FloatSwapBusDayAdjRolls2,
FloatSwapLegPaymentString2, FloatSwapBusDayAdjPay2, FloatDayCount2, FloatFixOrFloat2, FloatUnderlyingRateTenor2);
}
// Specification for this class
public override void LoadSpecifications()
{
// standard EoniaSwap Data may be stored on xml
this.buildingBlockType = BuildingBlockType.EONIASWAP;
// Fixed leg details on swapLeg1
Rule FixSwapRule = Rule.Backward;
string FixSwapPayFreqString = "1y";
BusinessDayAdjustment FixSwapBusDayAdjRolls = BusinessDayAdjustment.ModifiedFollowing;
string FixSwapLegPaymentString = "1d";
BusinessDayAdjustment FixSwapBusDayAdjPay = BusinessDayAdjustment.ModifiedFollowing;
Dc FixDayCount = Dc._Act_360; // day count of fixed leg
FixFloat FixFixOrFloat = FixFloat.Fixed;
string FixUnderlyingRateTenor = "";
// Floating details on Leg2
Rule FloatSwapRule = Rule.Backward;
string FloatSwapPayFreqString = "1y";
BusinessDayAdjustment FloatSwapBusDayAdjRolls = BusinessDayAdjustment.ModifiedFollowing;
string FloatSwapLegPaymentString = "1d";
BusinessDayAdjustment FloatSwapBusDayAdjPay = BusinessDayAdjustment.ModifiedFollowing;
Dc FloatDayCount = Dc._Act_360; // day count of Floating leg
FixFloat FloatFixOrFloat = FixFloat.Floating;
string FloatUnderlyingRateTenor = "1d";
// Creating swap legs
// create swapLeg1
this.swapLeg1 = new SwapLeg(FixSwapRule, FixSwapPayFreqString, FixSwapBusDayAdjRolls,
FixSwapLegPaymentString, FixSwapBusDayAdjPay, FixDayCount, FixFixOrFloat, FixUnderlyingRateTenor);
// create swapLeg2
this.swapLeg2 = new SwapLeg(FloatSwapRule, FloatSwapPayFreqString, FloatSwapBusDayAdjRolls,
FloatSwapLegPaymentString, FloatSwapBusDayAdjPay, FloatDayCount, FloatFixOrFloat, FloatUnderlyingRateTenor);
}
FixFloat fixedFloating; // Fix or Floating
// constructor
public BaseSwapLeg(Rule SwapScheduleGeneratorRule, string PayFreq, BusinessDayAdjustment SwapBusDayRollsAdj,
string SwapLagPayment, BusinessDayAdjustment SwapBusDayPayAdj, Dc DayCount, FixFloat FixedFloating)
{
// assign to data member
this.swapScheduleGeneratorRule = SwapScheduleGeneratorRule;
this.payFreq = PayFreq;
this.swapBusDayRollsAdj = SwapBusDayRollsAdj;
this.swapLagPayment = SwapLagPayment;
this.swapBusDayPayAdj = SwapBusDayPayAdj;
this.dayCount = DayCount;
this.fixedFloating = FixedFloating;
}
string underlyingRateTenor; // underlying rate tenor
// Constructor
public SwapLeg(Rule SwapScheduleGeneratorRule, string PayFreq, BusinessDayAdjustment SwapBusDayRollsAdj,
string SwapLagPayment, BusinessDayAdjustment SwapBusDayPayAdj, Dc DayCount, FixFloat FixedFloating, string UnderlyingRateTenor)
{
// If leg is fixed the underlying floating rate tenor should be blank
if ((FixedFloating == FixFloat.Fixed) && (UnderlyingRateTenor != ""))
{
throw new ArgumentException("error UnderlyingRateTenor must be blank for fixed leg");
}
// Assign to data member
this.swapScheduleGeneratorRule = SwapScheduleGeneratorRule;
this.payFreq = PayFreq;
this.swapBusDayRollsAdj = SwapBusDayRollsAdj;
this.swapLagPayment = SwapLagPayment;
this.swapBusDayPayAdj = SwapBusDayPayAdj;
this.dayCount = DayCount;
this.fixedFloating = FixedFloating;
this.underlyingRateTenor = UnderlyingRateTenor;
}