/// <summary>
/// Initializes a new instance of the <see cref="VanillaEuropeanFxOptionPricer"/> class. All the cashflows must be signed.
/// </summary>
/// <param name="paymentCalendar">The payment calendar</param>
/// <param name="fxOptionLeg">The fxLeg.</param>
/// <param name="baseParty">The the base party.</param>
/// <param name="logger">The logger</param>
/// <param name="cache">The cache</param>
/// <param name="nameSpace">The namespace</param>
/// <param name="fixingCalendar">The fixing calendar</param>
public VanillaEuropeanFxOptionPricer(ILogger logger, ICoreCache cache,
String nameSpace, IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar, FxOption fxOptionLeg, string baseParty)
{
OrderedPartyNames = new List <string>();
Multiplier = 1.0m;
Id = fxOptionLeg.id;
AnalyticsModel = new FxOptionLegAnalytic();
ProductType = ProductTypeSimpleEnum.FxOption;
HybridValuation = true;
BuyerPartyReference = fxOptionLeg.buyerPartyReference.href;
SellerPartyReference = fxOptionLeg.sellerPartyReference.href;
BasePartyBuyer = baseParty == BuyerPartyReference;
FxOptionType = FxOptionType.Put;
ProductType = ProductTypeSimpleEnum.FxOption;
if (fxOptionLeg.spotRateSpecified)
{
SpotRate = fxOptionLeg.spotRate;
}
if (CallCurrency == OptionOnCurrency)
{
FxOptionType = FxOptionType.Call;
}
FpMLProductType = ProductTypeHelper.GetProductType(fxOptionLeg.Items, fxOptionLeg.ItemsElementName);
//Temporary values used to build the fx and option trades.
PutCurrencyAmount = fxOptionLeg.putCurrencyAmount.amount;
PutCurrency = fxOptionLeg.callCurrencyAmount.currency.Value;
CallCurrencyAmount = fxOptionLeg.callCurrencyAmount.amount;
CallCurrency = fxOptionLeg.putCurrencyAmount.currency.Value;
FxStrike = fxOptionLeg.strike.rate;
StrikeQuoteBasis = fxOptionLeg.strike.strikeQuoteBasis;
SoldAs = fxOptionLeg.soldAs;
if (fxOptionLeg.tenorPeriod != null)
{
QuotedTenor = fxOptionLeg.tenorPeriod.ToString();
}
var vanillaOption = fxOptionLeg.Item as FxEuropeanExercise;
if (vanillaOption != null)
{
ExpiryDate = vanillaOption.expiryDate;
ExpiryTimeBusinessCenter = vanillaOption.expiryTime.businessCenter.Value;
ExpiryTime = vanillaOption.expiryTime.hourMinuteTime; //TODO Not Implemented yet!
CutName = vanillaOption.cutName;
ValueDate = vanillaOption.valueDate;
}
var type = HasBeenExercised ? ProductTypeSimpleEnum.FxSpot : ProductTypeSimpleEnum.FxForward;
//Create the fxleg.
//TODO Currently this does not handle non-deliverable forwards or a third settlement currency.
var fxLeg = FxOption.CreateFxSingleLeg(HasBeenExercised, BuyerPartyReference, SellerPartyReference, PutCurrencyAmount, PutCurrency, CallCurrencyAmount,
CallCurrency, StrikeQuoteBasis, ValueDate, FxStrike);
FxLeg = new FxSingleLegPricer(fxLeg, baseParty, type);
VolatilitySurfaceName = fxOptionLeg.GetRequiredVolatilitySurfaces()[0];
//FxOptionType;
//Get the currency.
PaymentCurrencies = new List <string>();
PaymentCurrencies.AddRange(FxLeg.PaymentCurrencies);
//Add the premia
Premia = new List <PriceableFxOptionPremium>();
if (fxOptionLeg.premium != null)
{
foreach (var premium in fxOptionLeg.premium)
{
var priceablePayment = PriceableInstrumentsFactory.CreatePriceableFxOptionPremium(cache, nameSpace, null, baseParty, premium, fixingCalendar, paymentCalendar);
Premia.Add(priceablePayment);
PaymentCurrencies.AddRange(priceablePayment.PaymentCurrencies);
}
}
PaymentCurrencies = PaymentCurrencies.Distinct().ToList();
if (fxOptionLeg.cashSettlement != null)
{
IsCashSettled = true;
CashSettlementCurrency = fxOptionLeg.cashSettlement.settlementCurrency;
//Only a single fixing date is currency implemented.
if (fxOptionLeg.cashSettlement.fixing != null && fxOptionLeg.cashSettlement.fixing[0].fixingDateSpecified)
{
FixingDate = fxOptionLeg.cashSettlement.fixing[0].fixingDate;
FixingQuotedCurrencyPair = fxOptionLeg.cashSettlement.fixing[0].quotedCurrencyPair;
}
}
if (vanillaOption != null)
{
RiskMaturityDate = vanillaOption.valueDate;
}
logger.LogInfo("FxOption trade created :");
}
protected SwapPricer(ILogger logger, ICoreCache cache, String nameSpace,
List <Pair <IBusinessCalendar, IBusinessCalendar> > legCalendars,
Swap swapFpML, string basePartyReference,
ProductTypeSimpleEnum productType, Boolean forecastRateInterpolation)
{
Multiplier = 1.0m;
if (swapFpML == null)
{
return;
}
BusinessCentersResolver.ResolveBusinessCenters(swapFpML);
ForecastRateInterpolation = forecastRateInterpolation;
//Get the effective date
AdjustableDate adjustableEffectiveDate = XsdClassesFieldResolver.CalculationPeriodDatesGetEffectiveDate(swapFpML.swapStream[0].calculationPeriodDates);
EffectiveDate = adjustableEffectiveDate.unadjustedDate.Value;
//We make the assumption that the termination date is the same for all legs.
AdjustableDate adjustableTerminationDate = XsdClassesFieldResolver.CalculationPeriodDatesGetTerminationDate(swapFpML.swapStream[0].calculationPeriodDates);
var paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, adjustableTerminationDate.dateAdjustments.businessCenters, nameSpace);
TerminationDate = AdjustedDateHelper.ToAdjustedDate(paymentCalendar, adjustableTerminationDate);
RiskMaturityDate = TerminationDate;
//EffectiveDate is not set;
ProductType = productType;
PaymentCurrencies = new List <string>();
//Resolve the payer
var legs = swapFpML.swapStream.Length;
if (legs == 0)
{
return;
}
var flag = false;
var index = 0;
if (legCalendars != null && legCalendars.Count == legs)
{
flag = true;
}
foreach (var swapStream in swapFpML.swapStream)
{
bool payerIsBase = basePartyReference == swapStream.payerPartyReference.href;//TODO add in the calendar functionality.
//Set the id of the first stream.
PriceableInterestRateStream leg = flag ? new PriceableInterestRateStream(logger, cache, nameSpace, payerIsBase, swapStream, ForecastRateInterpolation, legCalendars[index].First, legCalendars[index].Second)
: new PriceableInterestRateStream(logger, cache, nameSpace, payerIsBase, swapStream, ForecastRateInterpolation, null, null);
Legs.Add(leg);
//Add the currencies for the trade pricer.
if (!PaymentCurrencies.Contains(leg.Currency.Value))
{
PaymentCurrencies.Add(leg.Currency.Value);
}
index++;
}
if (swapFpML.additionalPayment != null)
{
AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, swapFpML.additionalPayment, null);
foreach (var payment in swapFpML.additionalPayment)
{
if (!PaymentCurrencies.Contains(payment.paymentAmount.currency.Value))
{
PaymentCurrencies.Add(payment.paymentAmount.currency.Value);
}
}
}
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="paymentCalendar"> </param>
/// <param name="capFloorFpML"></param>
/// <param name="basePartyReference"></param>
/// <param name="forecastRateInterpolation"></param>
/// <param name="nameSpace"></param>
/// <param name="fixingCalendar"> </param>
public CapFloorPricer(ILogger logger, ICoreCache cache, String nameSpace,
IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar,
CapFloor capFloorFpML, string basePartyReference, Boolean forecastRateInterpolation)
{
if (capFloorFpML == null)
{
return;
}
//AnalyticsModel = new SimpleIRSwapInstrumentAnalytic();
BusinessCentersResolver.ResolveBusinessCenters(capFloorFpML);
ForecastRateInterpolation = forecastRateInterpolation;
//We make the assumption that the termination date is the same for all legs..
AdjustableDate adjustableTerminationDate = XsdClassesFieldResolver.CalculationPeriodDatesGetTerminationDate(capFloorFpML.capFloorStream.calculationPeriodDates);
if (paymentCalendar == null)
{
paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, adjustableTerminationDate.dateAdjustments.businessCenters, nameSpace);
}
RiskMaturityDate = AdjustedDateHelper.ToAdjustedDate(paymentCalendar, adjustableTerminationDate);
ProductType = ProductTypeSimpleEnum.CapFloor;
PaymentCurrencies = new List <string>();
//Resolve the payer
if (capFloorFpML.capFloorStream == null)
{
return;
}
var calculation = capFloorFpML.capFloorStream.calculationPeriodAmount.Item as Calculation;
var floatingRatecalculation = calculation?.Items[0] as FloatingRateCalculation;
if (floatingRatecalculation == null)
{
return;
}
if (floatingRatecalculation.capRateSchedule != null)
{
var schedule = floatingRatecalculation.capRateSchedule[0];
var buyerPartyReference = schedule.buyer.Value;
if (buyerPartyReference == PayerReceiverEnum.Receiver)
{
BuyerPartyReference = capFloorFpML.capFloorStream.receiverPartyReference.href;
SellerPartyReference = capFloorFpML.capFloorStream.payerPartyReference.href;
}
else
{
BuyerPartyReference = capFloorFpML.capFloorStream.payerPartyReference.href;
SellerPartyReference = capFloorFpML.capFloorStream.receiverPartyReference.href;
}
}
if (floatingRatecalculation.capRateSchedule == null && floatingRatecalculation.floorRateSchedule != null)
{
var schedule = floatingRatecalculation.floorRateSchedule[0];
var buyerPartyReference = schedule.buyer.Value;
if (buyerPartyReference == PayerReceiverEnum.Receiver)
{
BuyerPartyReference = capFloorFpML.capFloorStream.receiverPartyReference.href;
SellerPartyReference = capFloorFpML.capFloorStream.payerPartyReference.href;
}
else
{
BuyerPartyReference = capFloorFpML.capFloorStream.payerPartyReference.href;
SellerPartyReference = capFloorFpML.capFloorStream.receiverPartyReference.href;
}
}
BasePartyBuyer = basePartyReference == BuyerPartyReference;//TODO add in the calendar functionality.
//Set the id of the first stream. THe generator requires the flag: BasePartyPayer.
var capFloorLeg = new PriceableCapFloorStream(logger, cache, nameSpace, !BasePartyBuyer, capFloorFpML.capFloorStream, ForecastRateInterpolation, fixingCalendar, paymentCalendar);
Legs.Add(capFloorLeg);
//Add the currencies for the trade pricer.
if (!PaymentCurrencies.Contains(capFloorLeg.Currency.Value))
{
PaymentCurrencies.Add(capFloorLeg.Currency.Value);
}
if (capFloorFpML.additionalPayment != null)
{
AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, capFloorFpML.additionalPayment, null);
foreach (var payment in capFloorFpML.additionalPayment)
{
if (!PaymentCurrencies.Contains(payment.paymentAmount.currency.Value))
{
PaymentCurrencies.Add(payment.paymentAmount.currency.Value);
}
}
}
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="tradeDate"></param>
/// <param name="effectiveDate"></param>
/// <param name="referenceEquity"></param>
/// <param name="settlementCalendar"></param>
/// <param name="equityFpML"></param>
/// <param name="basePartyReference"></param>
/// <param name="forecastRateInterpolation"></param>
public EquityTransactionPricer(ILogger logger, ICoreCache cache, string nameSpace, DateTime tradeDate, DateTime effectiveDate,
String referenceEquity, IBusinessCalendar settlementCalendar, EquityTransaction equityFpML, string basePartyReference, Boolean forecastRateInterpolation)
{
logger.LogInfo("EquityType set. Commence to build a equity transaction.");
if (equityFpML == null)
{
return;
}
SettlementDate = effectiveDate;
TradeDate = tradeDate;
Multiplier = 1.0m;
BuyerReference = equityFpML.buyerPartyReference.href;
PaymentCurrencies = new List <string> {
equityFpML.unitPrice.currency.Value
};
SellerReference = equityFpML.sellerPartyReference.href;
BasePartyBuyer = basePartyReference == equityFpML.buyerPartyReference.href;
ForecastRateInterpolation = forecastRateInterpolation;
SettlementCalendar = settlementCalendar;
ReferenceEquity = referenceEquity;
NumberOfShares = Convert.ToInt16(equityFpML.numberOfUnits);
PurchasePrice = MoneyHelper.GetAmount(equityFpML.unitPrice.amount, equityFpML.unitPrice.currency.Value);
PaymentCurrencies = new List <string> {
equityFpML.unitPrice.currency.Value
};
var exchangeMIC = equityFpML.equity.exchangeId;
var exchangeMICData = InstrumentDataHelper.CreateEquityExchangeKey(nameSpace, exchangeMIC.Value);
var exchangeData = cache.LoadItem <ExchangeConfigData>(exchangeMICData);
if (exchangeData?.Data is ExchangeConfigData exchange)
{
var equityTypeInfo = new EquityNodeStruct {
SettlementDate = exchange.SettlementDate
};
if (equityFpML.equity != null)
{
if (SettlementCalendar == null)
{
SettlementCalendar = BusinessCenterHelper.ToBusinessCalendar(cache,
equityTypeInfo.SettlementDate
.businessCenters,
nameSpace);
}
if (PaymentCalendar == null)
{
PaymentCalendar = SettlementCalendar;
}
var equity = XmlSerializerHelper.Clone(equityFpML.equity);
EquityTypeInfo = XmlSerializerHelper.Clone(equityTypeInfo);
EquityTypeInfo.Equity = equity;
RiskMaturityDate = SettlementDate;
MaturityDate = SettlementDate;
if (!PaymentCurrencies.Contains(equityFpML.equity.currency.Value))
{
PaymentCurrencies.Add(equityFpML.equity.currency.Value);
}
logger.LogInfo("Equity transaction has been successfully created.");
}
}
else
{
logger.LogInfo("Equity type data not available.");
}
//Add payments like the settlement price
if (PurchasePrice == null || !PurchasePrice.amountSpecified)
{
return;
}
var amount = PurchasePrice.amount * NumberOfShares;
var settlementPayment = PaymentHelper.Create("EquitySettlementAmount", BuyerReference, SellerReference, amount, SettlementDate);
AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, new[] { settlementPayment }, PaymentCalendar);
if (!PaymentCurrencies.Contains(settlementPayment.paymentAmount.currency.Value))
{
PaymentCurrencies.Add(settlementPayment.paymentAmount.currency.Value);
}
}
public FutureTransactionPricer(ILogger logger, ICoreCache cache, string nameSpace, DateTime tradeDate, ExchangeContractTypeEnum futuresType,
IBusinessCalendar settlementCalendar, FutureTransaction futureFpML, string basePartyReference, Boolean forecastRateInterpolation)
{
logger.LogInfo("FuturesType set. Commence to build a future transaction.");
if (futureFpML == null)
{
return;
}
Multiplier = 1.0m;
BuyerReference = futureFpML.buyerPartyReference.href;
PaymentCurrencies = new List <string> {
futureFpML.unitPrice.currency.Value
};
SellerReference = futureFpML.sellerPartyReference.href;
BasePartyBuyer = basePartyReference == futureFpML.buyerPartyReference.href;
if (!BasePartyBuyer)
{
Multiplier = -1.0m;
}
ForecastRateInterpolation = forecastRateInterpolation;
SettlementCalendar = settlementCalendar;
FuturesType = futuresType;
ReferenceContract = futureFpML.future.id;
var futuresCode = ReferenceContract.Split('-')[2];
NumberOfContracts = Convert.ToInt16(futureFpML.numberOfUnits);
PurchasePrice = MoneyHelper.GetAmount(futureFpML.unitPrice.amount, futureFpML.unitPrice.currency.Value);
var exchangeMIC = futureFpML.future.exchangeId;
FuturesCurveName = CurveNameHelpers.GetExchangeTradedCurveName(futureFpML.unitPrice.currency.Value, exchangeMIC.Value, futuresCode);
DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(futureFpML.unitPrice.currency, true);
FuturesTypeInfo = new FutureNodeStruct();
var exchangeMICData = InstrumentDataHelper.CreateEquityExchangeKey(nameSpace, exchangeMIC.Value);
var exchangeData = cache.LoadItem <ExchangeConfigData>(exchangeMICData);
if (exchangeData?.Data is ExchangeConfigData data)
{
Exchange = data;
FuturesTypeInfo.SpotDate = Exchange.SettlementDate;
}
if (futureFpML.future != null)
{
if (SettlementCalendar == null)
{
SettlementCalendar = BusinessCenterHelper.ToBusinessCalendar(cache,
FuturesTypeInfo.SpotDate
.businessCenters,
nameSpace);
}
var future = XmlSerializerHelper.Clone(futureFpML.future);
FuturesTypeInfo.Future = future;
if (FuturesTypeInfo.SpotDate != null)
{
SettlementDate = GetSettlementDate(tradeDate, SettlementCalendar,
FuturesTypeInfo.SpotDate);
}
//Instantiate the priceable future.
NamedValueSet namedValueSet = PriceableAssetFactory.BuildPropertiesForAssets(nameSpace, FuturesTypeInfo.Future.id, tradeDate);
var asset = AssetHelper.Parse(FuturesTypeInfo.Future.id, 0.0m, 0.0m);
UnderlyingFuture = PriceableAssetFactory.Create(logger, cache, nameSpace, asset.Second, namedValueSet, null, null) as IPriceableFuturesAssetController;
if (UnderlyingFuture != null)
{
RiskMaturityDate = UnderlyingFuture.GetRiskMaturityDate();
MaturityDate = RiskMaturityDate;
LastTradeDate = UnderlyingFuture.LastTradeDate;
}
if (!PaymentCurrencies.Contains(futureFpML.future.currency.Value))
{
PaymentCurrencies.Add(futureFpML.future.currency.Value);
}
logger.LogInfo("Futures transaction has been successfully created.");
}
else
{
logger.LogInfo("Futures type data not available.");
}
//Add payments like the settlement price
if (!PurchasePrice.amountSpecified)
{
return;
}
var amount = PurchasePrice.amount * NumberOfContracts / 100;
var settlementPayment = PaymentHelper.Create("FuturesSettlementAmount", BuyerReference, SellerReference, amount, SettlementDate);
AdditionalPayments = PriceableInstrumentsFactory.CreatePriceablePayments(basePartyReference, new[] { settlementPayment }, SettlementCalendar);
if (!PaymentCurrencies.Contains(settlementPayment.paymentAmount.currency.Value))
{
PaymentCurrencies.Add(settlementPayment.paymentAmount.currency.Value);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableInterestRateStream"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace.</param>
/// <param name="swapId">The swap Id.</param>
/// <param name="payerPartyReference">The payer party reference.</param>
/// <param name="receiverPartyReference">The receiver party reference.</param>
/// <param name="payerIsBase">The flag for whether the payer reference is the base party.</param>
/// <param name="calculationPeriodDates">The calculation period date information.</param>
/// <param name="paymentDates">The payment dates of the swap leg.</param>
/// <param name="resetDates">The reset dates of the swap leg.</param>
/// <param name="principalExchanges">The principal Exchange type.</param>
/// <param name="calculationPeriodAmount">The calculation period amount data.</param>
/// <param name="stubCalculationPeriodAmount">The stub calculation information.</param>
/// <param name="cashflows">The FpML cashflows for that stream.</param>
/// <param name="settlementProvision">The settlement provision data.</param>
/// <param name="forecastRateInterpolation">ForwardEndDate = forecastRateInterpolation ? AccrualEndDate
/// : AdjustedDateHelper.ToAdjustedDate(forecastRateIndex.indexTenor.Add(AccrualStartDate), AccrualBusinessDayAdjustments);</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
public PriceableInterestRateStream
(
ILogger logger
, ICoreCache cache
, String nameSpace
, string swapId
, string payerPartyReference
, string receiverPartyReference
, bool payerIsBase
, CalculationPeriodDates calculationPeriodDates
, PaymentDates paymentDates
, ResetDates resetDates
, PrincipalExchanges principalExchanges
, CalculationPeriodAmount calculationPeriodAmount
, StubCalculationPeriodAmount stubCalculationPeriodAmount
, Cashflows cashflows
, SettlementProvision settlementProvision
, bool forecastRateInterpolation
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
{
Multiplier = 1.0m;
Payer = payerPartyReference;
Receiver = receiverPartyReference;
PayerIsBaseParty = payerIsBase;
CalculationPeriodDates = calculationPeriodDates;
PaymentDates = paymentDates;
PaymentCurrencies = new List <string>();
ResetDates = resetDates;
PrincipalExchanges = principalExchanges;
CalculationPeriodAmount = calculationPeriodAmount;
AnalyticsModel = new StructuredStreamAnalytic();
Calculation = (Calculation)CalculationPeriodAmount.Item;
if (Calculation.Items?[0] is Schedule strikeSchedule)
{
Strike = strikeSchedule.initialValue;//Only picks up the first fixed rate for the swaption calculation.
}
StubCalculationPeriodAmount = stubCalculationPeriodAmount;
Cashflows = cashflows;
CouponStreamType = CouponTypeFromCalculation(Calculation);
Id = BuildId(swapId, CouponStreamType);
ForecastRateInterpolation = forecastRateInterpolation;
var isThereDiscounting = XsdClassesFieldResolver.CalculationHasDiscounting(Calculation);
if (isThereDiscounting)
{
IsDiscounted = true; //TODO need to include rate logic for the correct solved answers. What about reset cashflows??
}
//Get the currency.
var currency = XsdClassesFieldResolver.CalculationGetNotionalSchedule(Calculation);
Currency = currency.notionalStepSchedule.currency;
if (!PaymentCurrencies.Contains(Currency.Value))
{
PaymentCurrencies.Add(Currency.Value);
}
//The calendars
if (paymentCalendar == null)
{
paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, PaymentDates.paymentDatesAdjustments.businessCenters, nameSpace);
}
SettlementProvision = settlementProvision;
//Set the default discount curve name.
DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Currency.Value, true);
//Set the forecast curve name.//TODO extend this to the other types.
if (CouponStreamType != CouponStreamType.GenericFixedRate)
{
if (fixingCalendar == null)
{
fixingCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, ResetDates.resetDatesAdjustments.businessCenters, nameSpace);
}
ForecastCurveName = null;
if (Calculation.Items != null)
{
var floatingRateCalculation = Calculation.Items;
var floatingRateIndex = (FloatingRateCalculation)floatingRateCalculation[0];
ForecastCurveName = CurveNameHelpers.GetForecastCurveName(floatingRateIndex);
}
}
//Build the coupons and principal exchanges.
if (GetCashflowPaymentCalculationPeriods() != null)
{
Coupons = PriceableInstrumentsFactory.CreatePriceableCoupons(PayerIsBaseParty,
GetCashflowPaymentCalculationPeriods(),
Calculation, ForecastRateInterpolation, fixingCalendar, paymentCalendar);//TODO add the stubcalculation.
UpdateCouponIds();
}
if (GetCashflowPrincipalExchanges() != null)
{
var exchanges = GetCashflowPrincipalExchanges();
Exchanges = PriceableInstrumentsFactory.CreatePriceablePrincipalExchanges(PayerIsBaseParty, exchanges, Currency.Value, paymentCalendar);
UpdateExchangeIds();
}
RiskMaturityDate = LastDate();
logger.LogInfo("Stream built");
}
