public string CreateValuation(
ILogger logger, ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
List <StringObjectRangeItem> valuationSet,
ValuationRange valuationRange,
TradeRange tradeRange,
CapFloorLegParametersRange_Old legParametersRange,
List <InputCashflowRangeItem> legDetailedCashflowsListArray,
List <InputPrincipalExchangeCashflowRangeItem> legPrincipleExchangeCashflowListArray,
List <AdditionalPaymentRangeItem> legAdditionalPaymentListArray,
List <PartyIdRangeItem> partyIdList, //optional
List <OtherPartyPaymentRangeItem> otherPartyPaymentList, //optional
List <FeePaymentRangeItem> feePaymentList //optional
)
{
Pair <ValuationResultRange, CapFloor> fpML = GetPriceAndGeneratedFpML(logger, cache, nameSpace, fixingCalendar, paymentCalendar, valuationRange, tradeRange,
legParametersRange, legDetailedCashflowsListArray, legPrincipleExchangeCashflowListArray,
legAdditionalPaymentListArray, feePaymentList);
CapFloor capFloor = fpML.Second;
string valuationReportAndProductId = tradeRange.Id ?? Guid.NewGuid().ToString();
capFloor.id = valuationReportAndProductId;
AssetValuation assetValuation = InterestRateProduct.CreateAssetValuationFromValuationSet(valuationSet);
//Valuation valuation = new Valuation();
// TODO: add Trade Id & Trade data into valuation. (Trade.Id & Trade.TradeHeader.TradeDate)
//
string baseParty = valuationRange.BaseParty;
var uniqueCurves = new List <IRateCurve>();
foreach (string curveName in new[] { legParametersRange.ForecastCurve, legParametersRange.DiscountCurve })
{
if (!String.IsNullOrEmpty(curveName))
{
var curve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, curveName);
if (!uniqueCurves.Contains(curve))
{
uniqueCurves.Add(curve);
}
}
}
Market fpMLMarket = InterestRateProduct.CreateFpMLMarketFromCurves(uniqueCurves);
ValuationReport valuationReport = ValuationReportGenerator.Generate(valuationReportAndProductId, baseParty, valuationReportAndProductId, tradeRange.TradeDate, capFloor, fpMLMarket, assetValuation);
cache.SaveObject(valuationReport, valuationReportAndProductId, null);
InterestRateProduct.ReplacePartiesInValuationReport(valuationReport, partyIdList);
InterestRateProduct.AddOtherPartyPayments(valuationReport, otherPartyPaymentList);
return(valuationReportAndProductId);
}
public string CreateValuation(
ILogger logger,
ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
List <StringObjectRangeItem> valuationSet,
ValuationRange valuationRange,
TradeRange tradeRange,
SwapLegParametersRange_Old leg1ParametersRange,
List <DetailedCashflowRangeItem> leg1DetailedCashflowsListArray,
List <PrincipalExchangeCashflowRangeItem> leg1PrincipalExchangeCashflowListArray,
List <AdditionalPaymentRangeItem> leg1AdditionalPaymentListArray,
List <PartyIdRangeItem> partyIdList,//optional
List <OtherPartyPaymentRangeItem> otherPartyPaymentList
)
{
Swap floater = GetPriceAndGeneratedFpMLSwap(logger, cache, nameSpace, fixingCalendar, paymentCalendar, valuationRange, tradeRange, leg1ParametersRange, leg1DetailedCashflowsListArray, leg1PrincipalExchangeCashflowListArray, leg1AdditionalPaymentListArray).Second;
string baseParty = valuationRange.BaseParty;
string valuationReportAndProductId = tradeRange.Id ?? Guid.NewGuid().ToString();
floater.id = valuationReportAndProductId;
var uniqueCurves = GetUniqueCurves(logger, cache, nameSpace, leg1ParametersRange);
Market fpMLMarket = InterestRateProduct.CreateFpMLMarketFromCurves(uniqueCurves);
var valuation = new Valuations.Valuation();
// TODO: add Trade Id & Trade data into valuation. (Trade.Id & Trade.TradeHeader.TradeDate)
//
AssetValuation assetValuation = InterestRateProduct.CreateAssetValuationFromValuationSet(valuationSet);
valuation.CreateSwapValuationReport(cache, nameSpace, valuationReportAndProductId, baseParty, tradeRange.Id, tradeRange.TradeDate, floater, fpMLMarket, assetValuation);
ValuationReport valuationReport = valuation.Get(cache, nameSpace, valuationReportAndProductId);
InterestRateProduct.ReplacePartiesInValuationReport(valuationReport, partyIdList);
InterestRateProduct.AddOtherPartyPayments(valuationReport, otherPartyPaymentList);
return(valuationReportAndProductId);
}
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);
}
