public void GenerateCashFlows(SessionInfo sessioninfo, DA_TRN trn, int intDaySpan, decimal firstRate, decimal secondRate)
{
DateTime dteActualFlow;
DateTime dteLastActualFlow;
DateTime dteEstFlow;
int intCFSeq;
decimal spotrate;
//string strLegFreq;
DA_TRN_CASHFLOW flow;
LookupBusiness _lookupBusiness = new LookupBusiness();
int addMonth = 1; //default for Month
int addDay = 1;
MA_FREQ_TYPE freq = null;
InstrumentBusiness _insBusiness = new InstrumentBusiness();
MA_INSTRUMENT ins = _insBusiness.GetByID(sessioninfo, trn.INSTRUMENT_ID.Value);
for (int intLeg = 1; intLeg <= 2; intLeg++)
{
dteActualFlow = dteEstFlow = dteLastActualFlow = trn.START_DATE.Value.Date;
//CCS : 4 priciple payment flows will be generated, 2 on initial payment date and 2 on maturity date
if (ins.LABEL == "CCS")
{
//Initial Exchange
flow = new DA_TRN_CASHFLOW();
flow.FLAG_FIRST = intLeg == 1 ? true : false;
flow.SEQ = 1;
flow.FLOW_DATE = trn.START_DATE;
flow.FLOW_AMOUNT = intLeg == 1 ? trn.FIRST.NOTIONAL : -trn.SECOND.NOTIONAL;
flow.FLOW_AMOUNT_THB = intLeg == 1 ? Math.Ceiling(flow.FLOW_AMOUNT.Value * firstRate) : Math.Ceiling(flow.FLOW_AMOUNT.Value * secondRate);
flow.ID = Guid.NewGuid();
flow.DA_TRN_ID = trn.ID;
flow.LOG.INSERTDATE = trn.LOG.INSERTDATE;
flow.LOG.INSERTBYUSERID = trn.LOG.INSERTBYUSERID;
trn.DA_TRN_FLOW.Add(flow);
}
intCFSeq = 2;
freq = intLeg == 1 ? _lookupBusiness.GetFreqByID(trn.FIRST.FREQTYPE_ID.Value) : _lookupBusiness.GetFreqByID(trn.SECOND.FREQTYPE_ID.Value);
do
{
if ((FrequencyType)Enum.Parse(typeof(FrequencyType), freq.USERCODE) == FrequencyType.W)
{
dteActualFlow = dteActualFlow.AddDays(7);
}
else if ((FrequencyType)Enum.Parse(typeof(FrequencyType), freq.USERCODE) == FrequencyType.B)
{
dteActualFlow = trn.MATURITY_DATE.Value;
}
else if (((FrequencyType)Enum.Parse(typeof(FrequencyType), freq.USERCODE)).ToString().StartsWith("D"))
{
addDay = (int)Enum.Parse(typeof(FrequencyType), freq.USERCODE).GetHashCode();
dteActualFlow = dteActualFlow.AddDays(addDay);
}
else
{
addMonth = (int)Enum.Parse(typeof(FrequencyType), freq.USERCODE).GetHashCode();
dteActualFlow = dteActualFlow.AddMonths(addMonth);
}
for (int i = -intDaySpan; i <= intDaySpan; i++)
{
flow = new DA_TRN_CASHFLOW();
dteEstFlow = dteActualFlow.AddDays(i);
flow.FLAG_FIRST = intLeg == 1 ? true : false;
flow.SEQ = intCFSeq;
if (intLeg == 1)
{
flow.RATE = trn.FIRST.FLAG_FIXED == true ? trn.FIRST.RATE : trn.FIRST.RATE + trn.FIRST.FIRSTFIXINGAMT;
flow.FLOW_AMOUNT = trn.FIRST.NOTIONAL * flow.RATE / 100 * Convert.ToDecimal((dteEstFlow - dteLastActualFlow).TotalDays) / 365;
spotrate = firstRate;
}
else
{
flow.RATE = trn.SECOND.FLAG_FIXED == true ? trn.SECOND.RATE : trn.SECOND.RATE + trn.SECOND.FIRSTFIXINGAMT;
flow.FLOW_AMOUNT = trn.SECOND.NOTIONAL * flow.RATE / 100 * Convert.ToDecimal((dteEstFlow - dteLastActualFlow).TotalDays) / 365;
spotrate = secondRate;
}
flow.FLOW_DATE = dteEstFlow;
if (intLeg == 1) //flow amount is negative for pay leg
flow.FLOW_AMOUNT = -flow.FLOW_AMOUNT;
flow.FLOW_AMOUNT_THB = flow.FLOW_AMOUNT > 0 ? Math.Ceiling(flow.FLOW_AMOUNT.Value * spotrate) : Math.Floor(flow.FLOW_AMOUNT.Value * spotrate);
flow.ID = Guid.NewGuid();
flow.DA_TRN_ID = trn.ID;
flow.LOG.INSERTDATE = trn.LOG.INSERTDATE;
flow.LOG.INSERTBYUSERID = trn.LOG.INSERTBYUSERID;
trn.DA_TRN_FLOW.Add(flow);
intCFSeq += 1;
}
dteLastActualFlow = dteActualFlow;
} while (dteActualFlow < trn.MATURITY_DATE.Value.Date);
if (ins.LABEL == "CCS")
{
//Maturity Exchange
flow = new DA_TRN_CASHFLOW();
flow.FLAG_FIRST = intLeg == 1 ? true : false;
flow.SEQ = intCFSeq;
flow.FLOW_DATE = trn.MATURITY_DATE;
flow.FLOW_AMOUNT = intLeg == 1 ? -trn.FIRST.NOTIONAL : trn.SECOND.NOTIONAL;
flow.FLOW_AMOUNT_THB = intLeg == 1 ? Math.Ceiling(flow.FLOW_AMOUNT.Value * firstRate) : Math.Ceiling(flow.FLOW_AMOUNT.Value * secondRate);
flow.ID = Guid.NewGuid();
flow.DA_TRN_ID = trn.ID;
flow.LOG.INSERTDATE = trn.LOG.INSERTDATE;
flow.LOG.INSERTBYUSERID = trn.LOG.INSERTBYUSERID;
trn.DA_TRN_FLOW.Add(flow);
}
}
}
