public static double GetPremiumImpl(
ILogger logger,
ICoreCache cache,
String nameSpace,
SwapLegParametersRange payLegParametersRange,
SwapLegParametersRange receiveLegParametersRange,
SwaptionParametersRange swaptionTermsRange,
ValuationRange valuationRange)
{
InterestRateStream payStream = null;
InterestRateStream receiveStream = null;
UpdateCashflowsWithAmounts(logger, cache, nameSpace, payStream, payLegParametersRange, valuationRange);
UpdateCashflowsWithAmounts(logger, cache, nameSpace, receiveStream, receiveLegParametersRange, valuationRange);
Money fv = CashflowsHelper.GetForecastValue(payStream.cashflows);
Money pv = CashflowsHelper.GetPresentValue(payStream.cashflows);
double tillExpiry = (swaptionTermsRange.ExpirationDate - valuationRange.ValuationDate).TotalDays / 365.0;
//Debug.Print("Future value :{0}", fv.amount);
//Debug.Print("Present value :{0}", pv.amount);
// get swaption price
//
double pricePerDollar = BlackModel.GetSwaptionValue((double)payLegParametersRange.CouponOrLastResetRate, (double)swaptionTermsRange.StrikeRate, (double)swaptionTermsRange.Volatility, tillExpiry);
double premium = System.Math.Abs((double)payLegParametersRange.NotionalAmount * pricePerDollar);
return(premium);
}
private static List <IRateCurve> GetUniqueCurves(
ILogger logger,
ICoreCache cache,
String nameSpace,
SwapLegParametersRange payLegParametersRange,
SwapLegParametersRange receiveLegParametersRange)
{
var uniqueCurves = new List <IRateCurve>();
var curveNames = new[]
{
payLegParametersRange.ForecastCurve,
payLegParametersRange.DiscountCurve,
receiveLegParametersRange.ForecastCurve,
receiveLegParametersRange.DiscountCurve
};
foreach (string curveName in curveNames)
{
if (!String.IsNullOrEmpty(curveName) && curveName.ToLower() != "none")
{
var curve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, curveName);
if (!uniqueCurves.Contains(curve))
{
uniqueCurves.Add(curve);
}
}
}
return(uniqueCurves);
}
public static InterestRateStream GenerateStreamDefinition(SwapLegParametersRange legParametersRange)
{
InterestRateStream result;
if (legParametersRange.LegType == LegType.Fixed)
{
result = GenerateFixedStreamDefinition(legParametersRange);
}
else if (legParametersRange.LegType == LegType.Floating)
{
result = GenerateFloatingStreamDefinition(legParametersRange);
}
else
{
throw new NotImplementedException(String.Format("'{0}' leg type is not suported!", legParametersRange.LegType));
}
// Payer/Receiver references
//
result.payerPartyReference = PartyReferenceFactory.Create(legParametersRange.Payer);
result.receiverPartyReference = PartyReferenceFactory.Create(legParametersRange.Receiver);
// Principal exchanges
//
result.principalExchanges = new PrincipalExchanges();
result.principalExchanges.initialExchange =
result.principalExchanges.finalExchange =
result.principalExchanges.intermediateExchange = legParametersRange.GeneratePrincipalExchanges;
return(result);
}
public static InterestRateStream GetCashflowsSchedule(SwapLegParametersRange legParametersRange)
{
InterestRateStream stream = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(legParametersRange);
Cashflows cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(stream);
stream.cashflows = cashflows;
return(stream);
}
private static InterestRateStream GetCashflowsSchedule(
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
SwapLegParametersRange legParametersRange)
{
InterestRateStream stream = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(legParametersRange);
Cashflows cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(stream, fixingCalendar, paymentCalendar);
stream.cashflows = cashflows;
return(stream);
}
/// <summary>
///
/// </summary>
/// <param name="leg1Parameters"></param>
/// <param name="leg2Parameters"></param>
/// <returns></returns>
public static Swap GenerateDefiniton(
SwapLegParametersRange leg1Parameters,
SwapLegParametersRange leg2Parameters)
{
InterestRateStream stream1 = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(leg1Parameters);
InterestRateStreamHelper.SetPayerAndReceiver(stream1, leg1Parameters.Payer, leg1Parameters.Receiver);
InterestRateStream stream2 = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(leg2Parameters);
InterestRateStreamHelper.SetPayerAndReceiver(stream2, leg2Parameters.Payer, leg2Parameters.Receiver);
return(SwapFactory.Create(stream1, stream2));
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="leg1Parameters"></param>
/// <param name="leg1Calendars"></param>
/// <param name="leg2Parameters"></param>
/// <param name="leg2Calendars"></param>
/// <param name="fixedRateSchedule"></param>
/// <param name="spreadSchedule"></param>
/// <param name="notionalSchedule"></param>
/// <returns></returns>
public static Swap GenerateDefinitionCashflowsAmounts(ILogger logger, ICoreCache cache,
string nameSpace,
SwapLegParametersRange leg1Parameters,
Pair <IBusinessCalendar, IBusinessCalendar> leg1Calendars,
SwapLegParametersRange leg2Parameters,
Pair <IBusinessCalendar, IBusinessCalendar> leg2Calendars,
Schedule fixedRateSchedule,
Schedule spreadSchedule,
NonNegativeAmountSchedule notionalSchedule)
{
var swap = GenerateDefinitionCashflows(logger, cache, nameSpace, leg1Parameters, leg1Calendars, leg2Parameters, leg2Calendars, fixedRateSchedule, spreadSchedule, notionalSchedule);
return(swap);
}
public static void UpdateStreamCashflowsAmounts(SwapLegParametersRange legParameters,
InterestRateStream stream,
ISwapLegEnvironment marketEnvironment,
DateTime valuationDate)
{
IRateCurve forecastCurve = null;
if (!String.IsNullOrEmpty(legParameters.ForecastCurve))
{
forecastCurve = marketEnvironment.GetForecastRateCurve();
}
IRateCurve discountingCurve = marketEnvironment.GetDiscountRateCurve();
FixedAndFloatingRateStreamCashflowGenerator.UpdateCashflowsAmounts(stream, forecastCurve, discountingCurve, valuationDate);
}
public static void UpdatePaymentsAmounts(ILogger logger, ICoreCache cache,
String nameSpace, Swap swap,
SwapLegParametersRange leg1Parameters,
SwapLegParametersRange leg2Parameters,
IRateCurve leg1DiscountCurve,
IRateCurve leg2DiscountCurve,
DateTime valuationDate, IBusinessCalendar paymentCalendar)
{
foreach (Payment payment in swap.additionalPayment)
{
// choose correct discount curve
//
IRateCurve discountCurve;
if (payment.payerPartyReference.href == leg1Parameters.Payer)
{
discountCurve = leg1DiscountCurve;
}
else if (payment.payerPartyReference.href == leg2Parameters.Payer)
{
discountCurve = leg2DiscountCurve;
}
else
{
throw new NotImplementedException();
}
if (paymentCalendar == null)
{
var containsPaymentDateAdjustments = AdjustableOrAdjustedDateHelper.Contains(payment.paymentDate, ItemsChoiceType.dateAdjustments, out var dateAdjustments);
if (containsPaymentDateAdjustments && dateAdjustments != null)
{
paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, ((BusinessDayAdjustments)dateAdjustments).
businessCenters, nameSpace);
}
}
var date = AdjustedDateHelper.GetAdjustedDate(paymentCalendar, payment.paymentDate);
if (date == null)
{
continue;
}
payment.discountFactor = (decimal)discountCurve.GetDiscountFactor(valuationDate, (DateTime)date);
payment.discountFactorSpecified = true;
payment.presentValueAmount = MoneyHelper.Mul(payment.paymentAmount, payment.discountFactor);
}
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="leg1Parameters"></param>
/// <param name="leg1Calendars"></param>
/// <param name="leg2Parameters"></param>
/// <param name="leg2Calendars"></param>
/// <param name="fixedRateSchedule"></param>
/// <param name="spreadSchedule"></param>
/// <param name="notionalSchedule"></param>
/// <param name="leg1MarketEnvironment"></param>
/// <param name="leg2MarketEnvironment"></param>
/// <param name="valuationDate"></param>
/// <returns></returns>
public static Swap GenerateDefinitionCashflowsAmounts(ILogger logger, ICoreCache cache,
string nameSpace, SwapLegParametersRange leg1Parameters,
Pair <IBusinessCalendar, IBusinessCalendar> leg1Calendars,
SwapLegParametersRange leg2Parameters,
Pair <IBusinessCalendar, IBusinessCalendar> leg2Calendars,
Schedule fixedRateSchedule,
Schedule spreadSchedule,
NonNegativeAmountSchedule notionalSchedule,
ISwapLegEnvironment leg1MarketEnvironment,
ISwapLegEnvironment leg2MarketEnvironment,
DateTime valuationDate)
{
var swap = GenerateDefinitionCashflows(logger, cache, nameSpace, leg1Parameters, leg1Calendars, leg2Parameters, leg2Calendars, fixedRateSchedule, spreadSchedule, notionalSchedule);
InterestRateStream stream1 = swap.swapStream[0];
InterestRateStream stream2 = swap.swapStream[1];
UpdateStreamCashflowsAmounts(leg1Parameters, stream1, leg1MarketEnvironment, valuationDate);
UpdateStreamCashflowsAmounts(leg2Parameters, stream2, leg2MarketEnvironment, valuationDate);
return(swap);
}
private static void UpdateCashflowsWithAmounts(
ILogger logger,
ICoreCache cache,
String nameSpace,
InterestRateStream stream,
SwapLegParametersRange legParametersRange,
ValuationRange valuationRange)
{
// Get a forecast curve
//
IRateCurve forecastCurve = null;
if (!String.IsNullOrEmpty(legParametersRange.ForecastCurve))
{
forecastCurve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, legParametersRange.ForecastCurve);
}
// Get a discount curve
//
var discountCurve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, legParametersRange.DiscountCurve);
FixedAndFloatingRateStreamCashflowGenerator.UpdateCashflowsAmounts(stream, forecastCurve, discountCurve, valuationRange.ValuationDate);
}
public string CreateValuation(
ILogger logger,
ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
SwaptionParametersRange swaptionParametersRange,
List <StringObjectRangeItem> valuationSet,
ValuationRange valuationRange,
TradeRange tradeRange,
SwapLegParametersRange leg1ParametersRange,
SwapLegParametersRange leg2ParametersRange,
List <InputCashflowRangeItem> leg1DetailedCashflowsListArray,
List <InputCashflowRangeItem> leg2DetailedCashflowsListArray,
List <InputPrincipalExchangeCashflowRangeItem> leg1PrincipalExchangeCashflowListArray,
List <InputPrincipalExchangeCashflowRangeItem> leg2PrincipalExchangeCashflowListArray,
List <AdditionalPaymentRangeItem> leg1AdditionalPaymentListArray,
List <AdditionalPaymentRangeItem> leg2AdditionalPaymentListArray,
List <PartyIdRangeItem> partyIdList, //optional
List <OtherPartyPaymentRangeItem> otherPartyPaymentList, //opt
List <FeePaymentRangeItem> feePaymentList //opt
)
{
var swap = GetPriceAndGeneratedFpMLSwap(logger, cache, nameSpace,
fixingCalendar, paymentCalendar, valuationRange,
tradeRange, leg1ParametersRange, leg2ParametersRange,
leg1DetailedCashflowsListArray, leg2DetailedCashflowsListArray,
leg1PrincipalExchangeCashflowListArray, leg2PrincipalExchangeCashflowListArray,
leg1AdditionalPaymentListArray, leg2AdditionalPaymentListArray).Second;
string baseParty = valuationRange.BaseParty;
List <IRateCurve> uniqueCurves = GetUniqueCurves(logger, cache, nameSpace, leg1ParametersRange, leg2ParametersRange);
Market fpMLMarket = InterestRateProduct.CreateFpMLMarketFromCurves(uniqueCurves);
// TODO: add Trade Id & Trade data into valuation. (Trade.Id & Trade.TradeHeader.TradeDate)
//
// create ValuationReport and add it to in-memory collection.
// Add methods!
AssetValuation assetValuation = InterestRateProduct.CreateAssetValuationFromValuationSet(valuationSet);
NonNegativeMoney premium = MoneyHelper.GetNonNegativeAmount(swaptionParametersRange.Premium, swaptionParametersRange.PremiumCurrency);
AdjustableDate expirationDate = DateTypesHelper.ToAdjustableDate(swaptionParametersRange.ExpirationDate, swaptionParametersRange.ExpirationDateBusinessDayAdjustments, swaptionParametersRange.ExpirationDateCalendar);
AdjustableOrAdjustedDate paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(swaptionParametersRange.PaymentDate, swaptionParametersRange.PaymentDateBusinessDayAdjustments, swaptionParametersRange.PaymentDateCalendar);
TimeSpan earliestExerciseTimeAsTimeSpan = TimeSpan.FromDays(swaptionParametersRange.EarliestExerciseTime);
DateTime earliestExerciseTime = DateTime.MinValue.Add(earliestExerciseTimeAsTimeSpan);
TimeSpan expirationTimeAsTimeSpan = TimeSpan.FromDays(swaptionParametersRange.ExpirationTime);
DateTime expirationTime = DateTime.MinValue.Add(expirationTimeAsTimeSpan);
var swaption = SwaptionFactory.Create(swap, premium, swaptionParametersRange.PremiumPayer, swaptionParametersRange.PremiumReceiver,
paymentDate, expirationDate,
earliestExerciseTime, expirationTime, swaptionParametersRange.AutomaticExcercise);
// overrides the premium created by SwaptionFactort.Create
//
var feeList = new List <Payment>();
if (null != feePaymentList)
{
feeList.AddRange(feePaymentList.Select(feePaymentRangeItem => new Payment
{
paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(feePaymentRangeItem.PaymentDate),
paymentAmount = MoneyHelper.GetNonNegativeAmount(feePaymentRangeItem.Amount),
payerPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Payer),
receiverPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Receiver)
}));
}
swaption.premium = feeList.ToArray();
string valuationReportAndProductId = tradeRange.Id ?? Guid.NewGuid().ToString();
swaption.id = valuationReportAndProductId;
ValuationReport valuationReport = ValuationReportGenerator.Generate(valuationReportAndProductId, baseParty, valuationReportAndProductId, tradeRange.TradeDate, swaption, fpMLMarket, assetValuation);
cache.SaveObject(valuationReport, valuationReportAndProductId, null);
InterestRateProduct.ReplacePartiesInValuationReport(valuationReport, partyIdList);
InterestRateProduct.AddOtherPartyPayments(valuationReport, otherPartyPaymentList);
return(valuationReportAndProductId);
}
private static InterestRateStream GenerateFixedStreamDefinition(SwapLegParametersRange legParametersRange)
{
var discountingType = legParametersRange.DiscountingType;
InterestRateStream stream;
Discounting discounting = null;
if (discountingType != null && discountingType.ToUpper() != "NONE")
{
discounting = new Discounting {
discountingType = EnumHelper.Parse <DiscountingTypeEnum>(legParametersRange.DiscountingType), discountingTypeSpecified = true
};
stream = InterestRateStreamFactory.CreateFixedRateStream(DiscountingTypeToPayRelativeTo(discounting.discountingType));
}
else
{
stream = InterestRateStreamFactory.CreateFixedRateStream(DiscountingTypeToPayRelativeTo(null));
}
// Set effective and termination dates of the stream.
//
SetEffectiveAndTerminationDates(stream, legParametersRange.EffectiveDate, legParametersRange.MaturityDate, legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
//Set the FirstRegularPeriodStartDate
SetFirstRegularPeriodStartDate(stream, legParametersRange.FirstRegularPeriodStartDate);
//Set the LastRegularPeriodEndDate
SetLastRegularPeriodEndDate(stream, legParametersRange.LastRegularPeriodEndDate);
// Adjusted or unadjusted swap
//
var dateAdjustments = AdjustedType.Adjusted != legParametersRange.AdjustedType ? BusinessDayAdjustmentsHelper.Create(BusinessDayConventionEnum.NONE, legParametersRange.PaymentCalendar) : BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
stream.calculationPeriodDates.calculationPeriodDatesAdjustments = dateAdjustments;
stream.calculationPeriodDates.calculationPeriodFrequency = CalculationPeriodFrequencyHelper.Parse(legParametersRange.PaymentFrequency, legParametersRange.RollConvention);
//Set FirstPeriodStartDate i.e. Full or Partial period.
if (legParametersRange.FirstCouponType == FirstCouponType.Full)
{
var firstCouponStartDate = new AdjustableDate
{
dateAdjustments = dateAdjustments, id = "FullFirstCoupon"
};
SetFirstPeriodStartDate(stream, firstCouponStartDate);
}
// Set payment dates frequency and adjustments
//
stream.paymentDates.paymentFrequency = PeriodHelper.Parse(legParametersRange.PaymentFrequency).ToFrequency();
stream.paymentDates.paymentDatesAdjustments = BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(stream.calculationPeriodAmount);
// Set discounting type
//
calculation.discounting = discounting;
// Set notional amount (as the initial value in notional schedule)
//
SetNotional(calculation, legParametersRange.NotionalAmount, legParametersRange.Currency);
// Set fixed rate (as the initial value in fixed-rate schedule)
//
Schedule fixedRateSchedule = ScheduleHelper.Create(legParametersRange.CouponOrLastResetRate);
XsdClassesFieldResolver.CalculationSetFixedRateSchedule(calculation, fixedRateSchedule);
// Set the 'day count convention'
//
calculation.dayCountFraction = DayCountFractionHelper.Parse(legParametersRange.DayCount);
// Initial stub
//
//if (paymentCalendar==null)
//{
// paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, stream.paymentDates.paymentDatesAdjustments.businessCenters);
//}
//ProcessStubs(stream, legParametersRange, paymentCalendar);
return(stream);
}
private static InterestRateStream GenerateFloatingStreamDefinition(SwapLegParametersRange legParametersRange)
{
Discounting discounting = null;
InterestRateStream stream;
if (legParametersRange.DiscountingType != null && legParametersRange.DiscountingType.ToUpper() != "NONE")
{
discounting = new Discounting {
discountingType = EnumHelper.Parse <DiscountingTypeEnum>(legParametersRange.DiscountingType)
};
// Create the stream object
stream = InterestRateStreamFactory.CreateFloatingRateStream(DiscountingTypeToPayRelativeTo(discounting.discountingType));
}
else
{
// Create the stream object
//
stream = InterestRateStreamFactory.CreateFloatingRateStream(DiscountingTypeToPayRelativeTo(null));
}
// Set effective and termination dates of the stream.
//
SetEffectiveAndTerminationDates(stream, legParametersRange.EffectiveDate, legParametersRange.MaturityDate, legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
//Set the FirstRegularPeriodStartDate
SetFirstRegularPeriodStartDate(stream, legParametersRange.FirstRegularPeriodStartDate);
//Set the LastRegularPeriodEndDate
SetLastRegularPeriodEndDate(stream, legParametersRange.LastRegularPeriodEndDate);
// Adjusted or unadjusted swap
//Set the stub period type
var dateAdjustments = AdjustedType.Adjusted != legParametersRange.AdjustedType
? BusinessDayAdjustmentsHelper.Create(BusinessDayConventionEnum.NONE, legParametersRange.PaymentCalendar)
: BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
stream.calculationPeriodDates.calculationPeriodDatesAdjustments = dateAdjustments;
stream.calculationPeriodDates.calculationPeriodFrequency = CalculationPeriodFrequencyHelper.Parse(legParametersRange.PaymentFrequency, legParametersRange.RollConvention);
if (legParametersRange.FirstCouponType == FirstCouponType.Full)
{
var firstCouponStartDate = new AdjustableDate
{
dateAdjustments = dateAdjustments, id = "FullFirstCoupon"
};
SetFirstPeriodStartDate(stream, firstCouponStartDate);
}
//Set the payment dates
stream.paymentDates.paymentFrequency = PeriodHelper.Parse(legParametersRange.PaymentFrequency).ToFrequency();
stream.paymentDates.paymentDatesAdjustments = BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
stream.resetDates.fixingDates = RelativeDateOffsetHelper.Create(legParametersRange.PaymentFrequency, DayTypeEnum.Business, BusinessDayConventionEnum.NONE.ToString(), legParametersRange.FixingCalendar, "resetDates");//"NONE" & "resedDates" - hardcoded
stream.resetDates.resetFrequency = ResetFrequencyHelper.Parse(legParametersRange.PaymentFrequency);
stream.resetDates.resetDatesAdjustments = BusinessDayAdjustmentsHelper.Create(legParametersRange.FixingBusinessDayAdjustments, legParametersRange.FixingCalendar);
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(stream.calculationPeriodAmount);
// Set discounting type
//
calculation.discounting = discounting;
// Set notional amount (as the initial value in notional schedule)
//
SetNotional(calculation, legParametersRange.NotionalAmount, legParametersRange.Currency);
// Set floating rate index name
//
string indexTenor = legParametersRange.PaymentFrequency;
//string indexName = legParametersRange.ForecastCurve;
string indexName = legParametersRange.ForecastIndexName;
FloatingRateCalculation floatingRateCalculation = FloatingRateCalculationFactory.Create(indexName, indexTenor, legParametersRange.FloatingRateSpread);
XsdClassesFieldResolver.CalculationSetFloatingRateCalculation(calculation, floatingRateCalculation);
// Set day count convention
//
calculation.dayCountFraction = DayCountFractionHelper.Parse(legParametersRange.DayCount);
return(stream);
}
internal static Pair <ValuationResultRange, Swap> GetPriceAndGeneratedFpMLSwap(
ILogger logger,
ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
ValuationRange valuationRange,
TradeRange tradeRange,
SwapLegParametersRange leg1ParametersRange,
SwapLegParametersRange leg2ParametersRange,
List <InputCashflowRangeItem> leg1DetailedCashflowsList,
List <InputCashflowRangeItem> leg2DetailedCashflowsList,
List <InputPrincipalExchangeCashflowRangeItem> leg1PrincipalExchangeCashflowList,
List <InputPrincipalExchangeCashflowRangeItem> leg2PrincipalExchangeCashflowList,
List <AdditionalPaymentRangeItem> leg1AdditionalPaymentList,
List <AdditionalPaymentRangeItem> leg2AdditionalPaymentList
)
{
//Check if the calendars are null. If not build them!
//
//
//
//
//
InterestRateStream stream1 = GetCashflowsSchedule(fixingCalendar, paymentCalendar, leg1ParametersRange); //parametric definiton + cashflows schedule
InterestRateStream stream2 = GetCashflowsSchedule(fixingCalendar, paymentCalendar, leg2ParametersRange); //parametric definiton + cashflows schedule
var swap = SwapFactory.Create(stream1, stream2);
// Update FpML cashflows
//
InterestRateSwapPricer.UpdateCashflowsWithDetailedCashflows(stream1.cashflows, leg1DetailedCashflowsList);
InterestRateSwapPricer.UpdateCashflowsWithDetailedCashflows(stream2.cashflows, leg2DetailedCashflowsList);
// Update PE
//
CreatePrincipalExchangesFromListOfRanges(stream1.cashflows, leg1PrincipalExchangeCashflowList);
CreatePrincipalExchangesFromListOfRanges(stream2.cashflows, leg2PrincipalExchangeCashflowList);
// Add bullet payments...
//
var bulletPaymentList = new List <Payment>();
if (null != leg1AdditionalPaymentList)
{
bulletPaymentList.AddRange(leg1AdditionalPaymentList.Select(bulletPaymentRangeItem => new Payment
{
payerPartyReference = PartyReferenceFactory.Create(leg1ParametersRange.Payer), receiverPartyReference = PartyReferenceFactory.Create(leg1ParametersRange.Receiver), paymentAmount = MoneyHelper.GetNonNegativeAmount(bulletPaymentRangeItem.Amount), paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(bulletPaymentRangeItem.PaymentDate)
}));
}
if (null != leg2AdditionalPaymentList)
{
bulletPaymentList.AddRange(leg2AdditionalPaymentList.Select(bulletPaymentRangeItem => new Payment
{
payerPartyReference = PartyReferenceFactory.Create(leg2ParametersRange.Payer), receiverPartyReference = PartyReferenceFactory.Create(leg2ParametersRange.Receiver), paymentAmount = MoneyHelper.GetNonNegativeAmount(bulletPaymentRangeItem.Amount), paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(bulletPaymentRangeItem.PaymentDate)
}));
}
swap.additionalPayment = bulletPaymentList.ToArray();
// Update FpML cashflows with DF,FV,PV, etc (LegParametersRange needed to access curve functionality)
//
UpdateCashflowsWithAmounts(logger, cache, nameSpace, stream1, leg1ParametersRange, valuationRange);
UpdateCashflowsWithAmounts(logger, cache, nameSpace, stream2, leg2ParametersRange, valuationRange);
// Update additional payments
//
var leg1DiscountCurve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, leg1ParametersRange.DiscountCurve);
var leg2DiscountCurve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, leg2ParametersRange.DiscountCurve);
SwapGenerator.UpdatePaymentsAmounts(logger, cache, nameSpace, swap, leg1ParametersRange, leg2ParametersRange, leg1DiscountCurve, leg2DiscountCurve, valuationRange.ValuationDate, paymentCalendar);
//~ Update additional payments
string baseParty = valuationRange.BaseParty;
return(new Pair <ValuationResultRange, Swap>(CreateValuationRange(swap, baseParty), swap));
}
public InterestRateSwapParRateObjectiveFunction(SwapLegParametersRange payLegParametersRange, SwapLegParametersRange receiveLegParametersRange, ValuationRange valuationRange)
{
_payLegParametersRange = payLegParametersRange;
_receiveLegParametersRange = receiveLegParametersRange;
_valuationRange = valuationRange;
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="leg1Parameters"></param>
/// <param name="leg1Calendars"></param>
/// <param name="leg2Parameters"></param>
/// <param name="leg2Calendars"></param>
/// <param name="fixedRateSchedule"></param>
/// <param name="spreadSchedule"></param>
/// <param name="notionalSchedule"></param>
/// <returns></returns>
public static Swap GenerateDefinitionCashflows(ILogger logger,
ICoreCache cache, string nameSpace,
SwapLegParametersRange leg1Parameters,
Pair <IBusinessCalendar, IBusinessCalendar> leg1Calendars,
SwapLegParametersRange leg2Parameters,
Pair <IBusinessCalendar, IBusinessCalendar> leg2Calendars,
Schedule fixedRateSchedule,
Schedule spreadSchedule,
NonNegativeAmountSchedule notionalSchedule)
{
IBusinessCalendar leg1PaymentCalendar = null;
IBusinessCalendar leg2PaymentCalendar = null;
IBusinessCalendar leg1FixingCalendar = null;
IBusinessCalendar leg2FixingCalendar = null;
if (leg1Calendars != null)
{
leg1FixingCalendar = leg1Calendars.First;
leg1PaymentCalendar = leg1Calendars.Second;
}
else
{
if (!string.IsNullOrEmpty(leg1Parameters.PaymentCalendar))
{
var payCalendar = BusinessCentersHelper.Parse(leg1Parameters.PaymentCalendar);
leg1PaymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, payCalendar, nameSpace);
leg1FixingCalendar = leg1PaymentCalendar;
}
if (!string.IsNullOrEmpty(leg1Parameters.FixingCalendar))
{
var fixingCalendar = BusinessCentersHelper.Parse(leg1Parameters.FixingCalendar);
leg1FixingCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, fixingCalendar, nameSpace);
}
}
if (leg2Calendars != null)
{
leg2FixingCalendar = leg2Calendars.First;
leg2PaymentCalendar = leg2Calendars.Second;
}
else
{
if (!string.IsNullOrEmpty(leg2Parameters.PaymentCalendar))
{
var payCalendar = BusinessCentersHelper.Parse(leg2Parameters.PaymentCalendar);
leg2PaymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, payCalendar, nameSpace);
leg2FixingCalendar = leg2PaymentCalendar;
}
if (!string.IsNullOrEmpty(leg2Parameters.FixingCalendar))
{
var fixingCalendar = BusinessCentersHelper.Parse(leg2Parameters.FixingCalendar);
leg2FixingCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, fixingCalendar, nameSpace);
}
}
var swap = GenerateDefiniton(leg1Parameters, leg2Parameters);
InterestRateStream stream1 = swap.swapStream[0];
InterestRateStream stream2 = swap.swapStream[1];
if (null != fixedRateSchedule)
{
// Set FixedRateSchedule (if this is a fixed leg)
//
if (leg1Parameters.IsFixedLegType())
{
InterestRateStreamParametricDefinitionGenerator.SetFixedRateSchedule(stream1, fixedRateSchedule);
}
// Set FixedRateSchedule (if this is a fixed leg)
//
if (leg2Parameters.IsFixedLegType())
{
InterestRateStreamParametricDefinitionGenerator.SetFixedRateSchedule(stream2, fixedRateSchedule);
}
}
if (null != spreadSchedule) //for float legs only
{
if (leg1Parameters.IsFloatingLegType())
{
InterestRateStreamParametricDefinitionGenerator.SetSpreadSchedule(stream1, spreadSchedule);
}
if (leg2Parameters.IsFloatingLegType())
{
InterestRateStreamParametricDefinitionGenerator.SetSpreadSchedule(stream2, spreadSchedule);
}
}
if (null != notionalSchedule)
{
// Set notional schedule
//
InterestRateStreamParametricDefinitionGenerator.SetNotionalSchedule(stream1, notionalSchedule);
InterestRateStreamParametricDefinitionGenerator.SetNotionalSchedule(stream2, notionalSchedule);
}
stream1.cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(stream1, leg1FixingCalendar, leg1PaymentCalendar);
stream2.cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(stream2, leg2FixingCalendar, leg2PaymentCalendar);
return(swap);
}
