/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <param name="isBuyer"></param>
/// <param name="fraFpML"></param>
/// <param name="nameSpace"></param>
public FraPricer(ILogger logger, ICoreCache cache,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
bool isBuyer, Fra fraFpML, String nameSpace)
{
OrderedPartyNames = new List <string>();
Multiplier = 1.0m;
FraDiscounting = fraFpML.fraDiscounting;
FixingOffSet = fraFpML.fixingDateOffset;
FloatingRateIndex = fraFpML.floatingRateIndex;
DayCountFraction = fraFpML.dayCountFraction;
Notional = fraFpML.notional;
IndexTenor = fraFpML.indexTenor;
AdjustablePaymentDate = fraFpML.paymentDate;
FixedRate = fraFpML.fixedRate;
AddCashFlows(logger, cache, fixingCalendar, paymentCalendar, fraFpML, isBuyer, nameSpace);
BasePartyPayingFixed = !isBuyer;
RiskMaturityDate = TerminationDate;
NumberOfDays = (DayCounterHelper.Parse(DayCountFraction.Value)).DayCount(EffectiveDate, TerminationDate);
//Set the product type.
ProductType = ProductTypeSimpleEnum.FRA;
PaymentCurrencies = new List <string> {
Notional.currency.Value
};
//Set the default discount curve name.
DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Notional.currency.Value, true);
ForecastCurveName = CurveNameHelpers.GetForecastCurveName(fraFpML.floatingRateIndex, fraFpML.indexTenor);
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="isCollateralised"></param>
/// <param name="collateralCurrency"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <param name="isPayer"></param>
/// <param name="commodityForwardFpML"></param>
/// <param name="nameSpace"></param>
public CommodityForwardPricer(ILogger logger, ICoreCache cache, bool isCollateralised,
string collateralCurrency, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar,
bool isPayer, CommodityForward commodityForwardFpML, String nameSpace)
{
IsCollateralised = isCollateralised;
CollateralCurrency = collateralCurrency;
OrderedPartyNames = new List <string>();
Multiplier = 1.0m;
ValueDate = commodityForwardFpML.valueDate;
FixedLeg = commodityForwardFpML.fixedLeg;
BullionPhysicalLeg = commodityForwardFpML.Item;
if (commodityForwardFpML.commonPricingSpecified)
{
CommonPricing = commodityForwardFpML.commonPricing;
}
AddCashFlows(logger, cache, fixingCalendar, paymentCalendar, commodityForwardFpML, isPayer, nameSpace);
BasePartyPayingFixed = !isPayer;
RiskMaturityDate = TerminationDate;
NumberOfDays = (DayCounterHelper.Parse(DayCountFraction.Value)).DayCount(EffectiveDate, TerminationDate);
//Set the product type.
ProductType = ProductTypeSimpleEnum.FRA;
PaymentCurrencies = new List <string> {
Notional.currency.Value
};
//Set the default discount curve name.
DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(CollateralCurrency, !IsCollateralised);
ForecastCurveName = CurveNameHelpers.GetForecastCurveName(commodityForwardFpML.floatingRateIndex, commodityForwardFpML.indexTenor);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableFxRateCashflow"/> class.
/// </summary>
/// <param name="cashlfowId">The stream id.</param>
/// <param name="payerIsBase">The payer is base flag.</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="adjustAccrualDatesIndicator">if set to <c>true</c> [adjust calculation dates indicator].</param>
/// <param name="accrualBusinessCenters">The accrual business centers.</param>
/// <param name="margin">The margin.</param>
/// <param name="baseRate">The base rate for a nettable fixed/floating cash flow. </param>
/// <param name="observedRate">The observed Rate.</param>
/// <param name="notionalAmount">The notional amount.</param>
/// <param name="dayCountfraction">Type of day Countfraction.</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,
/// then it is assumed that there is no fradiscounting</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
public PriceableFloatingRateCoupon
(
string cashlfowId
, bool payerIsBase
, DateTime accrualStartDate
, DateTime accrualEndDate
, Boolean adjustAccrualDatesIndicator
, BusinessCenters accrualBusinessCenters
, BusinessDayConventionEnum accrualRollConvention
, DayCountFraction dayCountfraction
, ResetRelativeToEnum resetRelativeTo
, RelativeDateOffset fixingDateRelativeOffset
, Decimal margin
, Decimal baseRate
, Decimal?observedRate
, Money notionalAmount
, AdjustableOrAdjustedDate paymentDate
, ForecastRateIndex forecastRateIndex
, DiscountingTypeEnum?discountingType
, Decimal?discountRate
, FraDiscountingEnum?fraDiscounting
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: base(
cashlfowId
, CouponType.FloatingRate
, payerIsBase
, accrualStartDate
, accrualEndDate
, adjustAccrualDatesIndicator
, accrualBusinessCenters
, accrualRollConvention
, dayCountfraction
, observedRate
, notionalAmount
, paymentDate
, discountingType
, discountRate
, fraDiscounting
, paymentCalendar)
{
BaseRate = baseRate;
FixingCalendar = fixingCalendar;
ModelIdentifier = "DualCurveCouponModel";
Id = cashlfowId;
ForwardStartDate = AccrualStartDate;
ForecastRateIndex = forecastRateIndex;
FixingDateRelativeOffset = fixingDateRelativeOffset;
ResetRelativeTo = resetRelativeTo;
Margin = margin;
AdjustedFixingDate = GetResetDate(resetRelativeTo, fixingDateRelativeOffset);
if (observedRate != null)
{
RateObservation = RateObservationHelper.Parse(AdjustedFixingDate, (decimal)observedRate, "1");
}
SetRateObservation(RateObservation, ResetDate);
ForecastCurveName = CurveNameHelpers.GetForecastCurveName(forecastRateIndex);
}
/// <summary>
///
/// </summary>
/// <param name="uniqueId"></param>
/// <param name="payerIsBase"></param>
/// <param name="accrualStartDate"></param>
/// <param name="accrualEndDate"></param>
/// <param name="adjustCalculationDatesIndicator"></param>
/// <param name="paymentDate"></param>
/// <param name="notionalAmount"></param>
/// <param name="resetRelativeTo"></param>
/// <param name="fixingDateRelativeOffset"></param>
/// <param name="margin"></param>
/// <param name="baseRate"> </param>
/// <param name="calculation"></param>
/// <param name="forecastRateIndex"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
public PriceableFloatingRateCoupon
(string uniqueId
, bool payerIsBase
, DateTime accrualStartDate
, DateTime accrualEndDate
, Boolean adjustCalculationDatesIndicator
, AdjustableOrAdjustedDate paymentDate
, Money notionalAmount
, ResetRelativeToEnum resetRelativeTo
, RelativeDateOffset fixingDateRelativeOffset
, Decimal margin
, Decimal baseRate
, Calculation calculation
, ForecastRateIndex forecastRateIndex
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: base
(uniqueId
, CouponType.FloatingRate
, payerIsBase
, accrualStartDate
, accrualEndDate
, adjustCalculationDatesIndicator
, BusinessDayAdjustmentsHelper.Create(fixingDateRelativeOffset.businessDayConvention, fixingDateRelativeOffset.businessCenters)
, calculation
, notionalAmount
, paymentDate
, paymentCalendar)
{
BaseRate = baseRate;
FixingCalendar = fixingCalendar;
ModelIdentifier = "DualCurveCouponModel";
ForwardStartDate = AccrualStartDate;
ForwardEndDate = AccrualEndDate;
ForecastRateIndex = forecastRateIndex;
FixingDateRelativeOffset = fixingDateRelativeOffset;
ResetRelativeTo = resetRelativeTo;
Margin = margin;
var floatingRateDefinition = (FloatingRateDefinition)calculation.Items[0];
RateObservation = floatingRateDefinition.rateObservation[0];
AdjustedFixingDate = GetResetDate(resetRelativeTo, fixingDateRelativeOffset);
SetRateObservation(RateObservation, ResetDate);
ForecastCurveName = CurveNameHelpers.GetForecastCurveName(forecastRateIndex);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableFxRateCashflow"/> class.
/// </summary>
/// <param name="cashlfowId">The stream id.</param>
/// <param name="payerIsBase">The payer is base flag.</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="margin">The margin.</param>
/// <param name="baseRate">The base rate for a nettable fixed/floating cash flow. </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="dayCountfraction">Type of day Countfraction.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="forecastRateIndex">The forecastrate index.</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,
/// then it is assumed that there is no fradiscounting</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
public PriceableFloatingRateCoupon
(
string cashlfowId
, bool payerIsBase
, DateTime accrualStartDate
, DateTime accrualEndDate
, DateTime adjustedFixingDate
, DayCountFraction dayCountfraction
, Decimal margin
, Decimal baseRate
, Decimal?observedRate
, Money notionalAmount
, DateTime paymentDate
, ForecastRateIndex forecastRateIndex
, DiscountingTypeEnum?discountingType
, Decimal?discountRate
, FraDiscountingEnum?fraDiscounting
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: base(
cashlfowId
, CouponType.FloatingRate
, payerIsBase
, accrualStartDate
, accrualEndDate
, notionalAmount
, dayCountfraction
, observedRate
, paymentDate
, discountingType
, discountRate
, fraDiscounting
, paymentCalendar)
{
BaseRate = baseRate;
FixingCalendar = fixingCalendar;
ModelIdentifier = "DualCurveCouponModel";
Id = cashlfowId;
ForecastRateIndex = forecastRateIndex;
Margin = margin;
AdjustedFixingDate = adjustedFixingDate;
RateObservation = RateObservationHelper.Parse(AdjustedFixingDate, observedRate, "1");
SetRateObservation(RateObservation, ResetDate);
ForecastCurveName = CurveNameHelpers.GetForecastCurveName(forecastRateIndex);
}
/// <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 namesspace.</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 payerreference is the base party.</param>
/// <param name="calculationPeriodDates">The caluclation 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");
}