public IrSwap(DateTime startDate, Frequency swapTenor, FloatRateIndex rateIndex, double parRate,
SwapPayReceiveType swapType, string forecastCurve, string discountCurve)
{
SwapTenor = swapTenor;
ResetFrequency = rateIndex.ResetTenor;
StartDate = startDate;
EndDate = StartDate.AddPeriod(rateIndex.RollConvention, rateIndex.HolidayCalendars, SwapTenor);
ParRate = parRate;
BasisFloat = rateIndex.DayCountBasis;
BasisFixed = rateIndex.DayCountBasisFixed;
SwapType = swapType;
FixedLeg = new GenericSwapLeg(StartDate, swapTenor, rateIndex.HolidayCalendars, rateIndex.Currency,
ResetFrequency, BasisFixed)
{
FixedRateOrMargin = (decimal)parRate,
LegType = SwapLegType.Fixed,
Nominal = 1e6M * (swapType == SwapPayReceiveType.Payer ? -1.0M : 1.0M)
};
FloatLeg = new GenericSwapLeg(StartDate, swapTenor, rateIndex.HolidayCalendars, rateIndex.Currency,
ResetFrequency, BasisFloat)
{
FixedRateOrMargin = 0.0M,
LegType = SwapLegType.Float,
Nominal = 1e6M * (swapType == SwapPayReceiveType.Payer ? 1.0M : -1.0M)
};
FlowScheduleFixed = FixedLeg.GenerateSchedule();
FlowScheduleFloat = FloatLeg.GenerateSchedule();
ResetDates = FlowScheduleFloat.Flows.Select(x => x.FixingDateStart).ToArray();
ForecastCurve = forecastCurve;
DiscountCurve = discountCurve;
}
public ForwardRateAgreement(DateTime startDate, double parRate, FloatRateIndex rateIndex, SwapPayReceiveType payRec, FraDiscountingType fraType, string forecastCurve, string discountCurve)
{
StartDate = startDate;
ResetDate = StartDate.AddPeriod(RollType.P, rateIndex.HolidayCalendars, rateIndex.FixingOffset);
EndDate = new TenorDateRelative(rateIndex.ResetTenor);
RateIndex = rateIndex;
ParRate = parRate;
Basis = rateIndex.DayCountBasis;
PayRec = payRec;
FraLeg = new GenericSwapLeg(StartDate, EndDate.Date(StartDate, rateIndex.RollConvention, rateIndex.HolidayCalendars), rateIndex.HolidayCalendars, rateIndex.Currency, rateIndex.ResetTenor, Basis)
{
FixedRateOrMargin = (decimal)ParRate
};
FlowScheduleFra = FraLeg.GenerateSchedule();
FraLeg.FixedRateOrMargin = (decimal)ParRate;
FraLeg.LegType = SwapLegType.Fra;
FlowScheduleFra.Flows[0].SettleDate = StartDate;
ForecastCurve = forecastCurve;
DiscountCurve = discountCurve;
FraType = fraType;
PillarDate = FlowScheduleFra.Flows[0].AccrualPeriodEnd;
}
public ForwardRateAgreement(DateTime valDate, string fraCode, double parRate, FloatRateIndex rateIndex, SwapPayReceiveType payRec, FraDiscountingType fraType, string forecastCurve, string discountCurve)
{
var code = fraCode.ToUpper().Split('X');
StartDate = valDate.AddPeriod(rateIndex.RollConvention, rateIndex.HolidayCalendars, new Frequency(code[0] + "M"));
ResetDate = StartDate.AddPeriod(RollType.P, rateIndex.HolidayCalendars, rateIndex.FixingOffset);
EndDate = new TenorDateRelative(rateIndex.ResetTenor);
ParRate = parRate;
Basis = rateIndex.DayCountBasis;
PayRec = payRec;
FraLeg = new GenericSwapLeg(StartDate, EndDate.Date(StartDate, rateIndex.RollConvention, rateIndex.HolidayCalendars), rateIndex.HolidayCalendars, rateIndex.Currency, rateIndex.ResetTenor, Basis)
{
FixedRateOrMargin = (decimal)ParRate
};
FlowScheduleFra = FraLeg.GenerateSchedule();
FraLeg.FixedRateOrMargin = (decimal)ParRate;
FraLeg.LegType = SwapLegType.Fra;
FlowScheduleFra.Flows[0].SettleDate = StartDate;
ForecastCurve = forecastCurve;
DiscountCurve = discountCurve;
FraType = fraType;
}
public XccyBasisSwap(DateTime startDate, Frequency swapTenor, double parSpread, bool spreadOnPayLeg, FloatRateIndex payIndex, FloatRateIndex recIndex, ExchangeType notionalExchange, MTMSwapType mtmSwapType, string forecastCurvePay, string forecastCurveRec, string discountCurvePay, string discountCurveRec)
{
SwapTenor = swapTenor;
NotionalExchange = notionalExchange;
MtmSwapType = mtmSwapType;
RateIndexPay = payIndex;
RateIndexRec = recIndex;
ResetFrequencyRec = recIndex.ResetTenor;
ResetFrequencyPay = payIndex.ResetTenor;
StartDate = startDate;
EndDate = StartDate.AddPeriod(payIndex.RollConvention, payIndex.HolidayCalendars, SwapTenor);
ParSpreadPay = spreadOnPayLeg ? parSpread : 0.0;
ParSpreadRec = spreadOnPayLeg ? 0.0 : parSpread;
BasisPay = payIndex.DayCountBasis;
BasisRec = recIndex.DayCountBasis;
CcyPay = payIndex.Currency;
CcyRec = recIndex.Currency;
PayLeg = new GenericSwapLeg(StartDate, swapTenor, payIndex.HolidayCalendars, payIndex.Currency, ResetFrequencyPay, BasisPay)
{
FixedRateOrMargin = (decimal)ParSpreadPay,
NotionalExchange = NotionalExchange,
Direction = SwapPayReceiveType.Payer,
LegType = SwapLegType.Float
};
RecLeg = new GenericSwapLeg(StartDate, swapTenor, recIndex.HolidayCalendars, recIndex.Currency, ResetFrequencyRec, BasisRec)
{
FixedRateOrMargin = (decimal)ParSpreadRec,
NotionalExchange = NotionalExchange
};
PayLeg.Direction = SwapPayReceiveType.Receiver;
RecLeg.LegType = SwapLegType.Float;
FlowSchedulePay = PayLeg.GenerateSchedule();
FlowScheduleRec = RecLeg.GenerateSchedule();
ResetDates = FlowSchedulePay.Flows.Select(x => x.FixingDateStart)
.Union(FlowScheduleRec.Flows.Select(y => y.FixingDateStart))
.Distinct()
.OrderBy(x => x)
.ToArray();
ForecastCurvePay = forecastCurvePay;
ForecastCurveRec = forecastCurveRec;
DiscountCurvePay = discountCurvePay;
DiscountCurveRec = discountCurveRec;
}
public IrBasisSwap(DateTime startDate, Frequency swapTenor, double parSpread, bool spreadOnPayLeg, FloatRateIndex payIndex, FloatRateIndex recIndex, string forecastCurvePay, string forecastCurveRec, string discountCurve, decimal?notional = null) : base()
{
SwapTenor = swapTenor;
ResetFrequencyRec = recIndex.ResetTenor;
ResetFrequencyPay = payIndex.ResetTenor;
PayIndex = payIndex;
RecIndex = recIndex;
StartDate = startDate;
EndDate = StartDate.AddPeriod(payIndex.RollConvention, payIndex.HolidayCalendars, SwapTenor);
ParSpreadPay = spreadOnPayLeg ? parSpread : 0.0;
ParSpreadRec = spreadOnPayLeg ? 0.0 : parSpread;
BasisPay = payIndex.DayCountBasis;
BasisRec = recIndex.DayCountBasis;
Notional = (double)(notional ?? 1e6M);
PayLeg = new GenericSwapLeg(StartDate, swapTenor, payIndex.HolidayCalendars, payIndex.Currency, ResetFrequencyPay, BasisPay)
{
FixedRateOrMargin = (decimal)ParSpreadPay,
LegType = SwapLegType.Float,
Nominal = -(notional ?? 1e6M),
AccrualDCB = payIndex.DayCountBasis
};
RecLeg = new GenericSwapLeg(StartDate, swapTenor, recIndex.HolidayCalendars, recIndex.Currency, ResetFrequencyRec, BasisRec)
{
FixedRateOrMargin = (decimal)ParSpreadRec,
LegType = SwapLegType.Float,
Nominal = notional ?? 1e6M,
AccrualDCB = recIndex.DayCountBasis
};
FlowSchedulePay = PayLeg.GenerateSchedule();
FlowScheduleRec = RecLeg.GenerateSchedule();
ResetDates = FlowSchedulePay.Flows.Select(x => x.FixingDateStart)
.Union(FlowScheduleRec.Flows.Select(y => y.FixingDateStart))
.Distinct()
.OrderBy(x => x)
.ToArray();
ForecastCurvePay = forecastCurvePay;
ForecastCurveRec = forecastCurveRec;
DiscountCurve = discountCurve;
}
public FloatingRateLoanDepo(DateTime startDate, Frequency tenor, FloatRateIndex floatRateIndex, double notional, double spread, string forecastCurve, string discountCurve)
{
var leg = new GenericSwapLeg(startDate, tenor, floatRateIndex.HolidayCalendars, floatRateIndex.Currency, floatRateIndex.ResetTenor, floatRateIndex.DayCountBasis)
{
Nominal = Convert.ToDecimal(notional),
Currency = floatRateIndex.Currency,
Direction = SwapPayReceiveType.Pay,
NotionalExchange = ExchangeType.Both,
LegType = SwapLegType.Float,
FixedRateOrMargin = Convert.ToDecimal(spread)
};
Spread = spread;
var schedule = leg.GenerateSchedule();
FloatRateIndex = floatRateIndex;
ForecastCurve = forecastCurve;
DiscountCurve = discountCurve;
LoanDepoSchedule = schedule;
Notional = notional;
}