/// <summary>
/// Initializes a new instance of the <see cref="PriceableCashflow"/> class.
/// </summary>
/// <param name="cashflowId">The identifier.</param>
/// <param name="payerIsBaseParty">The is base party flag.</param>
/// <param name="modelIdentifier">The _model identifier.</param>
/// <param name="amount">The amount.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="paymentType">Type of the payment.</param>
/// <param name="cashflowType">Type of the cashflow.</param>
/// <param name="includePaymentDate">if set to <c>true</c> [include payment date].</param>
/// <param name="paymentCalendar">Type paymentCalendar.</param>
protected PriceableCashflow
(
string cashflowId
, string modelIdentifier
, bool payerIsBaseParty
, Money amount
, AdjustableOrAdjustedDate paymentDate
, PaymentType paymentType
, CashflowType cashflowType
, bool includePaymentDate
, IBusinessCalendar paymentCalendar)
{
Multiplier = 1.0m;
var date = AdjustedDateHelper.GetAdjustedDate(paymentCalendar, paymentDate);
if (date != null)
{
PaymentDate = (DateTime)date;
}
var containsPaymentDateAdjustments = AdjustableOrAdjustedDateHelper.Contains(paymentDate, ItemsChoiceType.dateAdjustments, out var dateAdjustments);
if (containsPaymentDateAdjustments && dateAdjustments != null)
{
PaymentDateAdjustments = (BusinessDayAdjustments)dateAdjustments;
}
PayerIsBaseParty = payerIsBaseParty;
Id = cashflowId;
ModelIdentifier = modelIdentifier;
PaymentType = paymentType;
PaymentAmount = amount;
ForecastAmount = amount;
CashflowType = cashflowType;
PaymentDateIncluded = includePaymentDate;
PricingStructureEvolutionType = PricingStructureEvolutionType.ForwardToSpot;
RiskMaturityDate = PaymentDate;
DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(amount.currency.Value, true);
if (!PaymentCurrencies.Contains(amount.currency.Value))
{
PaymentCurrencies.Add(amount.currency.Value);
}
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="swaptionFpML"> </param>
/// <param name="basePartyReference"></param>
/// <param name="forecastRateInterpolation"></param>
public InterestRateSwaptionPricer(ILogger logger, ICoreCache cache, String nameSpace,
Swaption swaptionFpML, string basePartyReference, Boolean forecastRateInterpolation)
: base(logger, cache, nameSpace, swaptionFpML, basePartyReference, forecastRateInterpolation)
{
ProductType = ProductTypeSimpleEnum.InterestRateSwaption;
var underlyingSwap = new InterestRateSwapPricer(logger, cache, nameSpace, null, swaptionFpML.swap, basePartyReference, forecastRateInterpolation);
Swap = underlyingSwap;
//Add the currencies for the trade pricer.
foreach (var ccy in Swap.PaymentCurrencies)
{
if (!PaymentCurrencies.Contains(ccy))
{
PaymentCurrencies.Add(ccy);
}
}
if (underlyingSwap.SwapType == SwapType.FixedFloat && underlyingSwap.ProductType == ProductTypeSimpleEnum.InterestRateSwap)
{
if (Swap.BasePartyPayingFixed && underlyingSwap.PayLeg.Strike != null)
{
StrikeRate = (decimal)underlyingSwap.PayLeg.Strike;
if (!IsBasePartyBuyer)
{
IsCall = true;
}
}
if (!Swap.BasePartyPayingFixed && underlyingSwap.ReceiveLeg.Strike != null)//
{
StrikeRate = (decimal)underlyingSwap.ReceiveLeg.Strike;
if (IsBasePartyBuyer)
{
IsCall = true;
}
}
VolatilitySurfaceName = CurveNameHelpers.GetRateVolatilityMatrixName(swaptionFpML.swap);
}
BucketedDates = new DateTime[] { };
RiskMaturityDate = Swap.RiskMaturityDate;
}
