public static Swaption Create(Swap swap, Payment[] premium, EuropeanExercise exercise, bool automaticExercise)
{
var swaption = new Swaption {
swap = swap, premium = premium
};
var europeanExercise = exercise;
swaption.exerciseProcedure = new ExerciseProcedure();
if (automaticExercise)
{
XsdClassesFieldResolver.ExerciseProcedureSetAutomaticExercise(swaption.exerciseProcedure, new AutomaticExercise());
}
else//manual exercise
{
XsdClassesFieldResolver.ExerciseProcedureSetManualExercise(swaption.exerciseProcedure, new ManualExercise());
}
XsdClassesFieldResolver.SwaptionSetEuropeanExercise(swaption, europeanExercise);
return(swaption);
}
public static Swaption Create(Swap swap, decimal premiumAmount, DateTime expirationDate)
{
var swaption = new Swaption {
swap = swap, premium = new[] { new Payment() }
};
swaption.premium[0].paymentAmount = MoneyHelper.GetNonNegativeAmount(premiumAmount);
var europeanExercise = new EuropeanExercise
{
expirationDate = new AdjustableOrRelativeDate()
};
var adjustableDate = new AdjustableDate
{
unadjustedDate = new IdentifiedDate
{
Value = expirationDate
}
};
europeanExercise.expirationDate.Item = adjustableDate;
XsdClassesFieldResolver.SwaptionSetEuropeanExercise(swaption, europeanExercise);
return(swaption);
}
public static Swaption Create(Swap swap, NonNegativeMoney premium, string premiumPayer, string premiumReceiver,
AdjustableOrAdjustedDate paymentDate,
AdjustableDate expirationDate,
DateTime earliestExerciseTime, DateTime expirationTime, bool automaticExercise)
{
var swaption = new Swaption
{
swap = swap,
premium = new[] { new Payment() },
buyerPartyReference = PartyReferenceHelper.Parse(premiumPayer),
sellerPartyReference = PartyReferenceHelper.Parse(premiumReceiver)
};
swaption.premium[0].paymentAmount = premium;
swaption.premium[0].paymentDate = paymentDate;
swaption.premium[0].payerPartyReference = PartyReferenceHelper.Parse(premiumPayer);
swaption.premium[0].receiverPartyReference = PartyReferenceHelper.Parse(premiumReceiver);
var europeanExercise = new EuropeanExercise
{
expirationDate = new AdjustableOrRelativeDate(),
earliestExerciseTime = BusinessCenterTimeHelper.Create(earliestExerciseTime),
expirationTime = BusinessCenterTimeHelper.Create(expirationTime)
};
europeanExercise.expirationDate.Item = expirationDate;
swaption.exerciseProcedure = new ExerciseProcedure();
if (automaticExercise)
{
XsdClassesFieldResolver.ExerciseProcedureSetAutomaticExercise(swaption.exerciseProcedure, new AutomaticExercise());
}
else//manual exercise
{
XsdClassesFieldResolver.ExerciseProcedureSetManualExercise(swaption.exerciseProcedure, new ManualExercise());
}
XsdClassesFieldResolver.SwaptionSetEuropeanExercise(swaption, europeanExercise);
return(swaption);
}
public static void TradeSetSwaption(Trade trade, Swaption swaption)
{
trade.Item = swaption;
//trade.ItemElementName = ItemChoiceType15.swaption;
}
//class Swaption {
// [System.Xml.Serialization.XmlElementAttribute("americanExercise", typeof(AmericanExercise))]
// [System.Xml.Serialization.XmlElementAttribute("bermudaExercise", typeof(BermudaExercise))]
// [System.Xml.Serialization.XmlElementAttribute("europeanExercise", typeof(EuropeanExercise))]
// public Exercise Item {
public static void SwaptionSetEuropeanExercise(Swaption swaption, EuropeanExercise europeanExercise)
{
swaption.Item = europeanExercise;
}