private static void UpdateCashflowsWithDetailedCashflows(Cashflows cashflows, IEnumerable <DetailedCashflowRangeItem> listDetailedCashflows /*, bool fixedLeg*/)
{
var paymentCalculationPeriods = new List <PaymentCalculationPeriod>();
foreach (DetailedCashflowRangeItem detailedCashflowRangeItem in listDetailedCashflows)
{
var paymentCalculationPeriod = new PaymentCalculationPeriod();
var calculationPeriod = new CalculationPeriod();
paymentCalculationPeriod.Items = new object[] { calculationPeriod };
paymentCalculationPeriod.adjustedPaymentDate = detailedCashflowRangeItem.PaymentDate;
paymentCalculationPeriod.adjustedPaymentDateSpecified = true;
PaymentCalculationPeriodHelper.SetCalculationPeriodStartDate(paymentCalculationPeriod, detailedCashflowRangeItem.StartDate);
PaymentCalculationPeriodHelper.SetCalculationPeriodEndDate(paymentCalculationPeriod, detailedCashflowRangeItem.EndDate);
// Update notional amount
//
PaymentCalculationPeriodHelper.SetNotionalAmount(paymentCalculationPeriod, (decimal)detailedCashflowRangeItem.NotionalAmount);
if (detailedCashflowRangeItem.CouponType == "Fixed")
{
//CalculationPeriod calculationPeriod = PaymentCalculationPeriodHelper.GetCalculationPeriods(paymentCalculationPeriod)[0];
//if (XsdClassesFieldResolver.CalculationPeriod_HasFixedRate(calculationPeriod))
//{
// Fixed->Fixed
//
//PaymentCalculationPeriodHelper.SetRate(paymentCalculationPeriod, (decimal)detailedCashflowRangeItem.Rate);
XsdClassesFieldResolver.SetCalculationPeriodFixedRate(calculationPeriod, (decimal)detailedCashflowRangeItem.Rate);
//}
//else if (XsdClassesFieldResolver.CalculationPeriod_HasFloatingRateDefinition(calculationPeriod))
// {
// // Float->Fixed
// //
// PaymentCalculationPeriodHelper.ReplaceFloatingRateWithFixedRate(paymentCalculationPeriod, (decimal)detailedCashflowRangeItem.Rate);
// }
// else
// {
// throw new NotImplementedException();
// }
}
else if (detailedCashflowRangeItem.CouponType == "Float")
{
// Create floating rate definiton...
//
var floatingRateDefinition = new FloatingRateDefinition();
//XsdClassesFieldResolver.CalculationPeriod_SetFloatingRateDefinition(calculationPeriod, floatingRateDefinition);
calculationPeriod.Item1 = floatingRateDefinition;
// After the spread is reset - we need to update calculated rate.
//
PaymentCalculationPeriodHelper.SetSpread(paymentCalculationPeriod, (decimal)detailedCashflowRangeItem.Spread);
}
else
{
string message = $"Unsupported coupon type '{detailedCashflowRangeItem.CouponType}";
throw new System.Exception(message);
}
paymentCalculationPeriods.Add(paymentCalculationPeriod);
}
cashflows.cashflowsMatchParameters = false;
cashflows.paymentCalculationPeriod = paymentCalculationPeriods.ToArray();
}
public void TestGetCapPremiumAUD_6M100M_5YExpiry05Vol20Pct()
{
var valuationDate = new DateTime(1994, 12, 14);
var curveId = BuildAndCacheRateCurve(valuationDate);
CapFloorLegParametersRange_Old capLeg = GetCapFloorInputParameters(valuationDate, valuationDate.AddMonths(6), valuationDate.AddYears(5),
CapFloorType.Cap, "Standard", curveId, curveId);
InterestRateStream floatStream = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(capLeg);
floatStream.cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(floatStream, FixingCalendar, PaymentCalendar);
double sumOfCapletPremiums = 0;
var rateCurve = (RateCurve)Engine.GetCurve(curveId, false);
foreach (PaymentCalculationPeriod paymentCalculationPeriod in floatStream.cashflows.paymentCalculationPeriod)
{
DateTime startDate = PaymentCalculationPeriodHelper.GetCalculationPeriodStartDate(paymentCalculationPeriod);
DateTime endDate = PaymentCalculationPeriodHelper.GetCalculationPeriodEndDate(paymentCalculationPeriod);
double accrualFactor = (endDate - startDate).TotalDays / 365.0;
var discountFactor = (double)paymentCalculationPeriod.discountFactor;
var rate = (double)PaymentCalculationPeriodHelper.GetRate(paymentCalculationPeriod);
double rate2 = rateCurve.GetForwardRate(startDate, endDate, "ACT/365.FIXED");
double diff = rate - rate2;
Debug.Print("Diff in forward rate: {0}", diff);
var strikeRate = (double)capLeg.StrikeRate; //fixed - replace with a schedule
const double volatility = 0.2; //fixed - replace with a schedule
double timeToExpiry = (startDate - valuationDate).TotalDays / 365.0;
double optionValue = accrualFactor * BlackModel.GetSwaptionValue(rate, strikeRate, volatility, timeToExpiry) * discountFactor;
Debug.Print("Expiry:\t{0},\tPremium:\t{1}'", timeToExpiry, optionValue);
sumOfCapletPremiums += optionValue;
}
Debug.Print("Premium : '{0}'", sumOfCapletPremiums * (double)capLeg.NotionalAmount);
}
public List <DetailedCashflowRangeItem> GetDetailedCashflowsWithNotionalSchedule(
ILogger logger,
ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
SwapLegParametersRange_Old legParametersRange,
List <DateTimeDoubleRangeItem> notionalValueItems,
ValuationRange valuationRange)
{
var tempList = notionalValueItems.Select(item => new Pair <DateTime, decimal>(item.DateTime, Convert.ToDecimal(item.Value))).ToList();
NonNegativeSchedule notionalScheduleFpML = NonNegativeScheduleHelper.Create(tempList);
Currency currency = CurrencyHelper.Parse(legParametersRange.Currency);
NonNegativeAmountSchedule amountSchedule = NonNegativeAmountScheduleHelper.Create(notionalScheduleFpML, currency);
InterestRateStream interestRateStream = GetCashflowsScheduleWithNotionalSchedule(fixingCalendar, paymentCalendar, legParametersRange, amountSchedule);
UpdateCashflowsWithAmounts(logger, cache, nameSpace, interestRateStream, legParametersRange, valuationRange);
var list = new List <DetailedCashflowRangeItem>();
//int periodNumber = 1;
foreach (PaymentCalculationPeriod paymentCalculationPeriod in interestRateStream.cashflows.paymentCalculationPeriod)
{
var detailedCashflowRangeItem = new DetailedCashflowRangeItem();
list.Add(detailedCashflowRangeItem);
detailedCashflowRangeItem.PaymentDate = paymentCalculationPeriod.adjustedPaymentDate;
detailedCashflowRangeItem.StartDate = PaymentCalculationPeriodHelper.GetCalculationPeriodStartDate(paymentCalculationPeriod);
detailedCashflowRangeItem.EndDate = PaymentCalculationPeriodHelper.GetCalculationPeriodEndDate(paymentCalculationPeriod);
//detailedCashflowRangeItem.NumberOfDays = PaymentCalculationPeriodHelper.GetNumberOfDays(paymentCalculationPeriod);
//detailedCashflowRangeItem.FutureValue = MoneyHelper.ToDouble(paymentCalculationPeriod.forecastPaymentAmount);
//detailedCashflowRangeItem.PresentValue = MoneyHelper.ToDouble(paymentCalculationPeriod.presentValueAmount);
//detailedCashflowRangeItem.DiscountFactor = (double)paymentCalculationPeriod.discountFactor;
detailedCashflowRangeItem.NotionalAmount = (double)PaymentCalculationPeriodHelper.GetNotionalAmount(paymentCalculationPeriod);
detailedCashflowRangeItem.CouponType = GetCouponType(paymentCalculationPeriod);
detailedCashflowRangeItem.Rate = (double)PaymentCalculationPeriodHelper.GetRate(paymentCalculationPeriod);
// If floating rate - retrieve the spread.
//
if (legParametersRange.IsFloatingLegType())
{
detailedCashflowRangeItem.Spread = (double)PaymentCalculationPeriodHelper.GetSpread(paymentCalculationPeriod);
}
}
return(list);
}
private static string GetCouponType(PaymentCalculationPeriod pcalculationPeriod)
{
CalculationPeriod calculationPeriod = PaymentCalculationPeriodHelper.GetCalculationPeriods(pcalculationPeriod)[0];
FloatingRateDefinition floatingRateDefinition = XsdClassesFieldResolver.CalculationPeriodGetFloatingRateDefinition(calculationPeriod);
// If has a Cap rate, finalRate = MAX(0, FinalRate - CapRate)
//
if (null != floatingRateDefinition.capRate)
{
return("Cap");
}
// If has a Floor rate, finalRate = MAX(0, FloorRate - FinalRate)
//
if (null != floatingRateDefinition.floorRate)
{
return("Floor");
}
throw new System.Exception("Invalid coupond type. Only Cap & Floor coupons are expected here.");
}
public static List <DetailedCashflowRangeItem> GetDetailedCashflowsTestOnly(
ILogger logger,
ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
SwapLegParametersRange_Old legParametersRange,
ValuationRange valuationRange)
{
InterestRateStream interestRateStream = GetCashflowsSchedule(fixingCalendar, paymentCalendar, legParametersRange);
UpdateCashflowsWithAmounts(logger, cache, nameSpace, interestRateStream, legParametersRange, valuationRange);
var list = new List <DetailedCashflowRangeItem>();
foreach (PaymentCalculationPeriod paymentCalculationPeriod in interestRateStream.cashflows.paymentCalculationPeriod)
{
var detailedCashflowRangeItem = new DetailedCashflowRangeItem();
list.Add(detailedCashflowRangeItem);
detailedCashflowRangeItem.PaymentDate = paymentCalculationPeriod.adjustedPaymentDate;
detailedCashflowRangeItem.StartDate = PaymentCalculationPeriodHelper.GetCalculationPeriodStartDate(paymentCalculationPeriod);
detailedCashflowRangeItem.EndDate = PaymentCalculationPeriodHelper.GetCalculationPeriodEndDate(paymentCalculationPeriod);
//detailedCashflowRangeItem.NumberOfDays = PaymentCalculationPeriodHelper.GetNumberOfDays(paymentCalculationPeriod);
//detailedCashflowRangeItem.FutureValue = MoneyHelper.ToDouble(paymentCalculationPeriod.forecastPaymentAmount);
//detailedCashflowRangeItem.PresentValue = MoneyHelper.ToDouble(paymentCalculationPeriod.presentValueAmount);
//detailedCashflowRangeItem.DiscountFactor = (double)paymentCalculationPeriod.discountFactor;
detailedCashflowRangeItem.NotionalAmount = (double)PaymentCalculationPeriodHelper.GetNotionalAmount(paymentCalculationPeriod);
detailedCashflowRangeItem.CouponType = GetCouponType(paymentCalculationPeriod);
detailedCashflowRangeItem.Rate = (double)PaymentCalculationPeriodHelper.GetRate(paymentCalculationPeriod);
// If floating rate - retrieve a spread.
//
if (legParametersRange.IsFloatingLegType())
{
detailedCashflowRangeItem.Spread = (double)PaymentCalculationPeriodHelper.GetSpread(paymentCalculationPeriod);
}
}
return(list);
}
private static string GetCouponType(PaymentCalculationPeriod pcalculationPeriod)
{
CalculationPeriod calculationPeriod = PaymentCalculationPeriodHelper.GetCalculationPeriods(pcalculationPeriod)[0];
return(XsdClassesFieldResolver.CalculationPeriodHasFloatingRateDefinition(calculationPeriod) ? "Float" : "Fixed");
}
private static Cashflows UpdateCashflowsWithDetailedCashflows(IEnumerable <InputCashflowRangeItem> listDetailedCashflows /*, bool fixedLeg*/)
{
var cashflows = new Cashflows();
var paymentCalculationPeriods = new List <PaymentCalculationPeriod>();
foreach (var detailedCashflowRangeItem in listDetailedCashflows)
{
var paymentCalculationPeriod = new PaymentCalculationPeriod();
var calculationPeriod = new CalculationPeriod();
paymentCalculationPeriod.Items = new object[] { calculationPeriod };
paymentCalculationPeriod.adjustedPaymentDate = detailedCashflowRangeItem.PaymentDate;
paymentCalculationPeriod.adjustedPaymentDateSpecified = true;
PaymentCalculationPeriodHelper.SetCalculationPeriodStartDate(paymentCalculationPeriod, detailedCashflowRangeItem.StartDate);
PaymentCalculationPeriodHelper.SetCalculationPeriodEndDate(paymentCalculationPeriod, detailedCashflowRangeItem.EndDate);
// Update notional amount
//
PaymentCalculationPeriodHelper.SetNotionalAmount(paymentCalculationPeriod, (decimal)detailedCashflowRangeItem.NotionalAmount);
switch (detailedCashflowRangeItem.CouponType.ToLower())
{
case "cap":
{
var floatingRateDefinition = new FloatingRateDefinition();
calculationPeriod.Item1 = floatingRateDefinition;
// After the spread is reset - we need to update calculated rate.
//
PaymentCalculationPeriodHelper.SetSpread(paymentCalculationPeriod, (decimal)detailedCashflowRangeItem.Spread);
floatingRateDefinition.capRate = new[] { new Strike() };
floatingRateDefinition.capRate[0].strikeRate = (decimal)detailedCashflowRangeItem.StrikeRate; //tODO There is no fixing date.
{
var rateObservation = new RateObservation
{
adjustedFixingDate =
detailedCashflowRangeItem.FixingDate,
adjustedFixingDateSpecified = true
};
floatingRateDefinition.rateObservation = new[] { rateObservation };
}
break;
}
case "floor":
{
var floatingRateDefinition = new FloatingRateDefinition();
//XsdClassesFieldResolver.CalculationPeriod_SetFloatingRateDefinition(calculationPeriod, floatingRateDefinition);
calculationPeriod.Item1 = floatingRateDefinition;
// After the spread is reset - we need to update calculated rate.
//
PaymentCalculationPeriodHelper.SetSpread(paymentCalculationPeriod, (decimal)detailedCashflowRangeItem.Spread);
floatingRateDefinition.capRate = new[] { new Strike() };
floatingRateDefinition.capRate[0].strikeRate = (decimal)detailedCashflowRangeItem.StrikeRate;
{
var rateObservation = new RateObservation
{
adjustedFixingDate =
detailedCashflowRangeItem.FixingDate,
adjustedFixingDateSpecified = true
};
floatingRateDefinition.rateObservation = new[] { rateObservation };
}
break;
}
default:
{
string message = String.Format("Specified coupon type : '{0}' is not supported. Please use one of these: 'cap, floor'", detailedCashflowRangeItem.CouponType.ToLower());
throw new NotSupportedException(message);
}
}
paymentCalculationPeriods.Add(paymentCalculationPeriod);
}
cashflows.cashflowsMatchParameters = true;
cashflows.paymentCalculationPeriod = paymentCalculationPeriods.ToArray();
return(cashflows);
}
public List <DetailedCashflowRangeItem> GetDetailedCashflowsWithNotionalSchedule(
ILogger logger, ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
CapFloorLegParametersRange_Old legParametersRange,
List <DateTimeDoubleRangeItem> notionalValueItems,
ValuationRange valuationRange)
{
//Check if the calendars are null. If not build them!
var list1 = notionalValueItems.Select(item => new Pair <DateTime, decimal>(item.DateTime, Convert.ToDecimal(item.Value))).ToList();
NonNegativeSchedule notionalScheduleFpML = NonNegativeScheduleHelper.Create(list1);
Currency currency = CurrencyHelper.Parse(legParametersRange.Currency);
NonNegativeAmountSchedule amountSchedule = NonNegativeAmountScheduleHelper.Create(notionalScheduleFpML, currency);
InterestRateStream interestRateStream = GetCashflowsScheduleWithNotionalSchedule(fixingCalendar, paymentCalendar, legParametersRange, amountSchedule);
//Add the principal exchanges to the cashflows.
var principalExchangeList = list1.Select(cashflow => new PrincipalExchange
{
adjustedPrincipalExchangeDate = cashflow.First, adjustedPrincipalExchangeDateSpecified = true, principalExchangeAmount = cashflow.Second, principalExchangeAmountSpecified = true
}).ToArray();
interestRateStream.cashflows.principalExchange = principalExchangeList;
UpdateCashflowsWithAmounts(logger, cache, nameSpace, interestRateStream, legParametersRange, valuationRange);
var list = new List <DetailedCashflowRangeItem>();
foreach (PaymentCalculationPeriod paymentCalculationPeriod in interestRateStream.cashflows.paymentCalculationPeriod)
{
var detailedCashflowRangeItem = new DetailedCashflowRangeItem();
detailedCashflowRangeItem.PaymentDate = paymentCalculationPeriod.adjustedPaymentDate;
detailedCashflowRangeItem.StartDate = PaymentCalculationPeriodHelper.GetCalculationPeriodStartDate(paymentCalculationPeriod);
detailedCashflowRangeItem.EndDate = PaymentCalculationPeriodHelper.GetCalculationPeriodEndDate(paymentCalculationPeriod);
detailedCashflowRangeItem.NumberOfDays = PaymentCalculationPeriodHelper.GetNumberOfDays(paymentCalculationPeriod);
detailedCashflowRangeItem.FutureValue = MoneyHelper.ToDouble(paymentCalculationPeriod.forecastPaymentAmount);
detailedCashflowRangeItem.PresentValue = MoneyHelper.ToDouble(paymentCalculationPeriod.presentValueAmount);
detailedCashflowRangeItem.DiscountFactor = (double)paymentCalculationPeriod.discountFactor;
detailedCashflowRangeItem.NotionalAmount = (double)PaymentCalculationPeriodHelper.GetNotionalAmount(paymentCalculationPeriod);
detailedCashflowRangeItem.CouponType = GetCouponType(paymentCalculationPeriod);
detailedCashflowRangeItem.Rate = (double)PaymentCalculationPeriodHelper.GetRate(paymentCalculationPeriod);
CalculationPeriod calculationPeriod = PaymentCalculationPeriodHelper.GetCalculationPeriods(paymentCalculationPeriod)[0];
FloatingRateDefinition floatingRateDefinition = XsdClassesFieldResolver.CalculationPeriodGetFloatingRateDefinition(calculationPeriod);
switch (detailedCashflowRangeItem.CouponType.ToLower())
{
case "cap":
{
Strike strike = floatingRateDefinition.capRate[0];
detailedCashflowRangeItem.StrikeRate = (double)strike.strikeRate;
break;
}
case "floor":
{
Strike strike = floatingRateDefinition.floorRate[0];
detailedCashflowRangeItem.StrikeRate = (double)strike.strikeRate;
break;
}
default:
{
string message =
String.Format("Specified coupon type : '{0}' is not supported. Please use one of these: 'cap, floor'", detailedCashflowRangeItem.CouponType.ToLower());
throw new NotSupportedException(message);
}
}
// If floating rate - retrieve the spread.
//
detailedCashflowRangeItem.Spread = (double)PaymentCalculationPeriodHelper.GetSpread(paymentCalculationPeriod);
var fixingDate = new DateTime();
var tempDate = PaymentCalculationPeriodHelper.GetFirstFloatingFixingDate(paymentCalculationPeriod);
if (tempDate != null)
{
fixingDate = (DateTime)tempDate;
}
detailedCashflowRangeItem.FixingDate = fixingDate;
detailedCashflowRangeItem.Currency = "Not Specified";
if (currency != null)
{
detailedCashflowRangeItem.Currency = currency.Value;
}
list.Add(detailedCashflowRangeItem);
}
return(list);
}
