public PriceableStructuredRateCoupon
(string uniqueId
, DateTime accrualStartDate
, DateTime accrualEndDate
, Boolean adjustCalculationDatesIndicator
, AdjustableDate paymentDate
, Money notionalAmount
, ResetRelativeToEnum resetRelativeTo
, RelativeDateOffset fixingDateRelativeOffset
, RateIndex underlyingRateIndex
, RelativeDateOffset resetLagOffset
, Decimal margin
, Calculation calculation
, ForecastRateIndex forecastRateIndex
)
: base
(uniqueId
, accrualStartDate
, accrualEndDate
, adjustCalculationDatesIndicator
, paymentDate
, notionalAmount
, resetRelativeTo
, fixingDateRelativeOffset
, margin
, calculation
, forecastRateIndex
)
{
UnderlyingRateIndex = underlyingRateIndex;
ResetLagOffset = resetLagOffset;
PriceableCouponType = CouponType.StructuredRate;
AnalyticsModel = new StructuredRateCouponAnalytic();
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableRateCoupon"/> class.
/// </summary>
/// <param name="cashlfowId">The stream id.</param>
/// <param name="accrualStartDate">The accrual start date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="accrualEndDate">The accrual end date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="adjustCalculationDatesIndicator">if set to <c>true</c> [adjust calculation dates indicator].</param>
/// <param name="accrualBusinessCenters">The accrual business centers.</param>
/// <param name="underlyingRateIndex">Te underlying rate index can be Xibor or Swap.</param>
/// <param name="resetLagOffset">This allows for non-standard lags to be used in convexity adjustment calculations.</param>
/// <param name="margin">The margin.</param>
/// <param name="observedRate">The observed Rate.</param>
/// <param name="notionalAmount">The notional amount.</param>
/// <param name="accrualDayCountfraction">Type of day Countfraction used for the acrual period.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="accrualRollConvention">The accrual roll convention.</param>
/// <param name="resetRelativeTo">reset relative to?</param>
/// <param name="fixingDateRelativeOffset">The fixing date offset.</param>
/// <param name="forecastRateIndex">The forecastrateindex.</param>
/// <param name="discountingType">The swap discounting type.</param>
/// <param name="discountRate">The discount rate.</param>
/// <param name="fraDiscounting">Determines whether the coupon is discounted or not. If this parameter is null,
/// <param name="underlyingRateIndex"></param>
/// then it is assumed that there is no fradiscounting</param>
public PriceableStructuredRateCoupon
(
string cashlfowId
, DateTime accrualStartDate
, DateTime accrualEndDate
, Boolean adjustCalculationDatesIndicator
, BusinessCenters accrualBusinessCenters
, BusinessDayConventionEnum accrualRollConvention
, DayCountFraction accrualDayCountfraction
, ResetRelativeToEnum resetRelativeTo
, RelativeDateOffset fixingDateRelativeOffset
, RateIndex underlyingRateIndex
, RelativeDateOffset resetLagOffset
, Decimal margin
, Decimal?observedRate
, Money notionalAmount
, AdjustableDate paymentDate
, ForecastRateIndex forecastRateIndex
, DiscountingTypeEnum?discountingType
, Decimal?discountRate
, FraDiscountingEnum?fraDiscounting)
: base(
cashlfowId
, accrualStartDate
, accrualEndDate
, adjustCalculationDatesIndicator
, accrualBusinessCenters
, accrualRollConvention
, accrualDayCountfraction
, resetRelativeTo
, fixingDateRelativeOffset
, margin
, observedRate
, notionalAmount
, paymentDate
, forecastRateIndex
, discountingType
, discountRate
, fraDiscounting
)
{
UnderlyingRateIndex = underlyingRateIndex;
ResetLagOffset = resetLagOffset;
PriceableCouponType = CouponType.StructuredRate;
AnalyticsModel = new StructuredRateCouponAnalytic();
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableRateCoupon"/> class.
/// This is only used for Xibor type structured coupons with convexity adjustments and only
/// in the same currency i.e. there is no quanto effects.
/// </summary>
/// <param name="cashlfowId">The stream id.</param>
/// <param name="accrualStartDate">The accrual start date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="accrualEndDate">The accrual end date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="calculationDayCountFraction">The daycountfraction used for the calculation period i.e. the index calculation.</param>
/// <param name="margin">The margin.</param>
/// <param name="observedRate">The observed Rate. If this is not null, then it is used.</param>
/// <param name="notionalAmount">The notional amount.</param>
/// <param name="adjustedFixingDate">The adjusted fixing date.</param>
/// <param name="calculationStartDate">The calculation start date.</param>
/// <param name="calculationEndDate">The calculation end date.</param>
/// <param name="accrualDayCountfraction">Type of dayCountfraction use for the the accrual period.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="forecastRateIndex">The forecastrateindex.</param>
/// <param name="discountingType">The swap discounting type.</param>
/// <param name="discountRate">The discount rate.</param>
/// <param name="fraDiscounting">Determines whether the coupon is discounted or not. If this parameter is null,
/// <param name="calculationStartDate"></param>
/// then it is assumed that there is no fradiscounting</param>
public PriceableStructuredRateCoupon
(
string cashlfowId
, DateTime accrualStartDate
, DateTime accrualEndDate
, DateTime adjustedFixingDate
, DateTime calculationStartDate
, DateTime calculationEndDate
, DayCountFraction accrualDayCountfraction
, DayCountFraction calculationDayCountFraction
, Decimal margin
, Decimal?observedRate
, Money notionalAmount
, DateTime paymentDate
, ForecastRateIndex forecastRateIndex
, DiscountingTypeEnum?discountingType
, Decimal?discountRate
, FraDiscountingEnum?fraDiscounting)
: base(
cashlfowId
, accrualStartDate
, accrualEndDate
, adjustedFixingDate
, accrualDayCountfraction
, margin
, observedRate
, notionalAmount
, paymentDate
, forecastRateIndex
, discountingType
, discountRate
, fraDiscounting
)
{
CalculationStartDate = calculationStartDate;
CalculationEndDate = calculationEndDate;
CalculationDayCountFraction = calculationDayCountFraction;
PriceableCouponType = CouponType.StructuredRate;
AnalyticsModel = new StructuredRateCouponAnalytic();
}
public PriceableStructuredRateCoupon()
{
PriceableCouponType = CouponType.StructuredRate;
AnalyticsModel = new StructuredRateCouponAnalytic();
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
override public AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
RequiresReset = modelData.ValuationDate > ResetDate;
IsRealised = HasBeenRealised(ModelData.ValuationDate);
if (AnalyticsModel == null)
{
AnalyticsModel = new StructuredRateCouponAnalytic();
}
var metrics = ResolveModelMetrics(AnalyticsModel.Metrics);
// Determine if DFAM has been requested - if so thats all we evaluate - every other metric is ignored
if (metrics.Contains(RateInstrumentMetrics.DiscountFactorAtMaturity))
{
metrics.RemoveAll(metricItem => metricItem != RateInstrumentMetrics.DiscountFactorAtMaturity);
}
var metricsToEvaluate = metrics.ToArray();
if (metricsToEvaluate.Length > 0)
{
//May need to adapt for fra discounting.
var isDiscounted = (GetDiscountingTypeEnum() ==
DiscountingTypeEnum.Standard
? true
: false);
var reportingCurrency = ModelData.ReportingCurrency == null
? PaymentCurrency.Value
: ModelData.ReportingCurrency.Value;
IRateCouponParameters analyticModelParameters = new RateCouponParameters {
Currency = PaymentCurrency.Value,
ReportingCurrency = reportingCurrency,
IsDiscounted = isDiscounted,
IsRealised = IsRealised,
HasReset = RequiresReset,
NotionalAmount = NotionalAmount.amount,
Spread = Margin,
Rate = GetRate(),
DiscountRate = GetRate(),
YearFraction = CouponYearFraction
};
// Curve Related
var streamMarket = (ISwapLegEnvironment)modelData.MarketEnvironment;
var discountCurve = streamMarket.GetDiscountRateCurve();
discountCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
var fwdCurve = streamMarket.GetForecastRateCurve();
fwdCurve.PricingStructureEvolutionType = PricingStructureEvolutionType;
DiscountCurveName = discountCurve.GetPricingStructureId().UniqueIdentifier;
ForecastCurveName = fwdCurve.GetPricingStructureId().UniqueIdentifier;
//Volatility must be added for the structuredanalytic, which can handle convexity adjustments.
//Calculating the appropriate index using an assetcontroller. THe config will need to be set up
//for both Xibor and Swap indices.
//Setting the parameters
analyticModelParameters.StartDiscountFactor = (decimal)fwdCurve.GetDiscountFactor(ModelData.ValuationDate, AccrualStartDate);
analyticModelParameters.EndDiscountFactor = (decimal)fwdCurve.GetDiscountFactor(ModelData.ValuationDate, AccrualEndDate);
analyticModelParameters.PaymentDiscountFactor = (decimal)discountCurve.GetDiscountFactor(ModelData.ValuationDate, PaymentDate);
analyticModelParameters.CurveYearFraction = GetPaymentYearFraction(ModelData.ValuationDate, PaymentDate);
// Bucketed Delta
if (BucketedDates.Count > 1)
{
analyticModelParameters.PeriodAsTimesPerYear = GetPaymentYearFraction(BucketedDates[0], BucketedDates[1]);
analyticModelParameters.BucketedDiscountFactors = GetBucketedDiscountFactors(discountCurve, ModelData.ValuationDate, BucketedDates);
}
IRateInstrumentResults analyticResults = AnalyticsModel.Calculate <IRateInstrumentResults, RateInstrumentResults>(analyticModelParameters, metricsToEvaluate);
UpdateResults(metricsToEvaluate, analyticResults);
// store inputs and results from this run
AnalyticModelParameters = analyticModelParameters;
CalculationPerfomedIndicator = true;
}
AssetValuation valuation = GetValue(CalculationResults);
valuation.id = Id;
return(valuation);
}
