public static CapFloor GeneratedFpMLCapFloor(
ILogger logger, ICoreCache cache,
CapFloorLegParametersRange capFloorParametersRange,
List <InputCashflowRangeItem> capFloorDetailedCashflowsList,
List <InputPrincipalExchangeCashflowRangeItem> capFloorPrincipalExchangeCashflowListArray,
List <AdditionalPaymentRangeItem> capFloorAdditionalPaymentList,
List <FeePaymentRangeItem> feePaymentList
)
{
//Check if the calendars are null. If not build them!
InterestRateStream stream1 = GetCashflowsSchedule(null, null, capFloorParametersRange);//parametric definiton + cashflows schedule
// Update FpML cashflows
//
stream1.cashflows = UpdateCashflowsWithDetailedCashflows(capFloorDetailedCashflowsList);
if (null != capFloorPrincipalExchangeCashflowListArray)
{
// create principal exchanges
//
InterestRateSwapPricer.CreatePrincipalExchangesFromListOfRanges(stream1.cashflows, capFloorPrincipalExchangeCashflowListArray);
}
// Add bullet payments...
//
var bulletPaymentList = new List <Payment>();
if (null != capFloorAdditionalPaymentList)
{
bulletPaymentList.AddRange(capFloorAdditionalPaymentList.Select(bulletPaymentRangeItem =>
new Payment {
payerPartyReference = PartyReferenceFactory.Create(capFloorParametersRange.Payer), receiverPartyReference =
PartyReferenceFactory.Create(capFloorParametersRange.Receiver),
paymentAmount = MoneyHelper.GetNonNegativeAmount(bulletPaymentRangeItem.Amount, bulletPaymentRangeItem.Currency),
paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(bulletPaymentRangeItem.PaymentDate)
}));
}
CapFloor capFloor = CapFloorFactory.Create(stream1);
capFloor.additionalPayment = bulletPaymentList.ToArray();
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, feePaymentRangeItem.Currency), //TODO The currency needs to be added!
payerPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Payer),
receiverPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Receiver)
}));
}
capFloor.premium = feeList.ToArray();
return(capFloor);
}
public double Value(double parRate)
{
var pricer = new InterestRateSwapPricer();
// We can safely assign FIXED rate it to both (fixed and floating sides) legs as a floating side ignores this value
//
_payLegParametersRange.CouponOrLastResetRate = _receiveLegParametersRange.CouponOrLastResetRate = (decimal)parRate;
// ValuationResultRange valuationResult = pricer.GetPrice(_payLegParametersRange, _receiveLegParametersRange, _valuationRange);
//
// return (double)valuationResult.PresentValue;
throw new NotImplementedException();
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="swaptionFpML"> </param>
/// <param name="basePartyReference"></param>
/// <param name="forecastRateInterpolation"></param>
public InterestRateSwaptionPricer(ILogger logger, ICoreCache cache, String nameSpace,
Swaption swaptionFpML, string basePartyReference, Boolean forecastRateInterpolation)
: base(logger, cache, nameSpace, swaptionFpML, basePartyReference, forecastRateInterpolation)
{
ProductType = ProductTypeSimpleEnum.InterestRateSwaption;
var underlyingSwap = new InterestRateSwapPricer(logger, cache, nameSpace, null, swaptionFpML.swap, basePartyReference, forecastRateInterpolation);
Swap = underlyingSwap;
//Add the currencies for the trade pricer.
foreach (var ccy in Swap.PaymentCurrencies)
{
if (!PaymentCurrencies.Contains(ccy))
{
PaymentCurrencies.Add(ccy);
}
}
if (underlyingSwap.SwapType == SwapType.FixedFloat && underlyingSwap.ProductType == ProductTypeSimpleEnum.InterestRateSwap)
{
if (Swap.BasePartyPayingFixed && underlyingSwap.PayLeg.Strike != null)
{
StrikeRate = (decimal)underlyingSwap.PayLeg.Strike;
if (!IsBasePartyBuyer)
{
IsCall = true;
}
}
if (!Swap.BasePartyPayingFixed && underlyingSwap.ReceiveLeg.Strike != null)//
{
StrikeRate = (decimal)underlyingSwap.ReceiveLeg.Strike;
if (IsBasePartyBuyer)
{
IsCall = true;
}
}
VolatilitySurfaceName = CurveNameHelpers.GetRateVolatilityMatrixName(swaptionFpML.swap);
}
BucketedDates = new DateTime[] { };
RiskMaturityDate = Swap.RiskMaturityDate;
}
public static object[,] DoXLReport(InterestRateSwapPricer interestRateSwap, bool receiveLeg)
{
if (interestRateSwap != null)
{
var result = new object[interestRateSwap.ReceiveLeg.Coupons.Count, 6];
if (receiveLeg)
{
var index = 0;
foreach (var receiveRateCoupon in interestRateSwap.ReceiveLeg.Coupons)
{
result[index, 0] = "ReceiveLeg_Coupon_" + index;
result[index, 1] = receiveRateCoupon.PriceableCouponType.ToString();
result[index, 2] = receiveRateCoupon.PaymentDate;
result[index, 3] = receiveRateCoupon.NotionalAmount.amount;
result[index, 4] = receiveRateCoupon.Rate;
result[index, 5] = receiveRateCoupon.PaymentAmount.amount;
index++;
}
}
else
{
var index = 0;
var secondIndex = 0;
foreach (var payRateCoupon in interestRateSwap.PayLeg.Coupons)
{
result[index, 0] = "PayLeg_Coupon_" + secondIndex;
result[index, 1] = payRateCoupon.PriceableCouponType.ToString();
result[index, 2] = payRateCoupon.PaymentDate;
result[index, 3] = payRateCoupon.NotionalAmount.amount;
result[index, 4] = payRateCoupon.Rate;
result[index, 5] = payRateCoupon.PaymentAmount.amount;
index++;
secondIndex++;
}
}
}
return(null);
}
public double Value(double spread)
{
var pricer = new InterestRateSwapPricer();
// We can safely assign SPREAD to both (fixed and floating sides) legs as a FIXED side ignores this value
//
_payLegParametersRange.FloatingRateSpread = _receiveLegParametersRange.FloatingRateSpread = (decimal)spread;
// public ValuationResultRange GetPrice(
// ValuationRange valuationRange,
// TradeRange tradeRange,
// SwapLegParametersRange leg1ParametersRange,
// SwapLegParametersRange leg2ParametersRange,
// List<DetailedCashflowRangeItem> leg1DetailedCashflowsListArray,
// List<DetailedCashflowRangeItem> leg2DetailedCashflowsListArray,
// List<PrincipleExchangeCashflowRangeItem> leg1PrincipleExchangeCashflowListArray,
// List<PrincipleExchangeCashflowRangeItem> leg2PrincipleExchangeCashflowListArray,
// List<AdditionalPaymentRangeItem> leg1AdditionalPaymentListArray,
// List<AdditionalPaymentRangeItem> leg2AdditionalPaymentListArray)
throw new NotImplementedException();
// ValuationResultRange valuationResult = pricer.GetPrice(_valuationRange, null,
// _payLegParametersRange, _receiveLegParametersRange,
// new List<DetailedCashflowRangeItem>(),
// new List<DetailedCashflowRangeItem>(),
// new List<PrincipleExchangeCashflowRangeItem>(),
// new List<PrincipleExchangeCashflowRangeItem>(),
// new List<AdditionalPaymentRangeItem>(),
// new List<AdditionalPaymentRangeItem>()
// );
//
//
//
// return (double)valuationResult.PresentValue;
}
/// <summary>
/// <remarks>
/// Always:
/// pay floating
/// receive fixed
/// </remarks>
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="valueDate"></param>
/// <param name="effectiveDate"></param>
/// <param name="terminationDate"></param>
/// <param name="interpolationMethod"></param>
/// <param name="margineAboveFloatingRate"></param>
/// <param name="resetRate"></param>
/// <param name="directionDateGenerationPayLeg"></param>
/// <param name="cashFlowFrequencyPayLeg"></param>
/// <param name="accrualMethodPayLeg"></param>
/// <param name="holidaysPayLeg"></param>
/// <param name="discountFactorCurvePayLeg"></param>
/// <param name="directionDateGenerationRecLeg"></param>
/// <param name="cashFlowFrequencyRecLeg"></param>
/// <param name="accrualMethodRecLeg"></param>
/// <param name="holidaysRecLeg"></param>
/// <param name="discountFactorCurveRecLeg"></param>
/// <returns></returns>
public double GetSwapParRateWithoutCurves
(
ILogger logger,
ICoreCache cache,
String nameSpace,
DateTime valueDate,
DateTime effectiveDate,
DateTime terminationDate,
string interpolationMethod, //1 is linear on forward rates => make sure that the right curve is provided ...
double margineAboveFloatingRate, // use 0 initially
double resetRate,
int directionDateGenerationPayLeg,
string cashFlowFrequencyPayLeg,
string accrualMethodPayLeg,
string holidaysPayLeg,
IRateCurve discountFactorCurvePayLeg,
int directionDateGenerationRecLeg,
string cashFlowFrequencyRecLeg,
string accrualMethodRecLeg,
string holidaysRecLeg,
IRateCurve discountFactorCurveRecLeg
)
{
const decimal dummyNotional = 1000000.0m;
// received fixed leg
//
var recFixedCashflows = InterestRateSwapPricer.GenerateCashflows(logger, cache, nameSpace, null, valueDate, effectiveDate, terminationDate,
interpolationMethod, margineAboveFloatingRate, resetRate,
dummyNotional,
directionDateGenerationRecLeg,
cashFlowFrequencyRecLeg,
accrualMethodRecLeg,
holidaysRecLeg,
discountFactorCurveRecLeg,
true);
recFixedCashflows.PayingFixedRate = false;
// pay floating leg
//
var payFloatingCashflows = InterestRateSwapPricer.GenerateCashflows(logger, cache, nameSpace, null, valueDate, effectiveDate, terminationDate,
interpolationMethod, margineAboveFloatingRate, resetRate,
dummyNotional,
directionDateGenerationPayLeg,
cashFlowFrequencyPayLeg,
accrualMethodPayLeg,
holidaysPayLeg,
discountFactorCurvePayLeg,
false);
payFloatingCashflows.PayingFixedRate = false;
var objectiveFunction = new InterestRateSwapPricer
{
ReceiveLeg = recFixedCashflows,
PayLeg = payFloatingCashflows
};
var solver = new Brent
{
LowerBound = -100.0,
UpperBound = 100.0
};
return(solver.Solve(objectiveFunction, Accuracy, Guess, Step));
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="valueDate"></param>
/// <param name="effectiveDate"></param>
/// <param name="terminationDate"></param>
/// <param name="interpolationMethod"></param>
/// <param name="margineAboveFloatingRate"></param>
/// <param name="resetRate"></param>
/// <param name="notional"></param>
/// <param name="directionDateGenerationPayLeg"></param>
/// <param name="cashFlowFrequencyPayLeg"></param>
/// <param name="accrualMethodPayLeg"></param>
/// <param name="holidaysPayLeg"></param>
/// <param name="rateCurvePayLeg"></param>
/// <param name="directionDateGenerationRecLeg"></param>
/// <param name="cashFlowFrequencyRecLeg"></param>
/// <param name="accrualMethodRecLeg"></param>
/// <param name="holidaysRecLeg"></param>
/// <param name="rateCurveRecLeg"></param>
/// <param name="layout">
/// if 0 - cashflows displayed one under another,
/// if 1 - cashflows displayed side by side.
/// </param>
/// <returns>
/// Pay cashflows:
///
///
///
/// Rec cashflows:
///
///
/// </returns>
public object[,] GetSwapCashflowsWithoutCurves
(
ILogger logger,
ICoreCache cache,
String nameSpace,
DateTime valueDate,
DateTime effectiveDate,
DateTime terminationDate,
string interpolationMethod, //1 is linear on forward rates => make sure that the right curve is provided ...
double margineAboveFloatingRate, // use 0 initially
double resetRate,
decimal notional,
int directionDateGenerationPayLeg,
string cashFlowFrequencyPayLeg,
string accrualMethodPayLeg,
string holidaysPayLeg,
IRateCurve rateCurvePayLeg,
int directionDateGenerationRecLeg,
string cashFlowFrequencyRecLeg,
string accrualMethodRecLeg,
string holidaysRecLeg,
IRateCurve rateCurveRecLeg,
int layout
)
{
// received fixed leg
//
var recFixedCashflows = InterestRateSwapPricer.GenerateCashflows(logger, cache, nameSpace, null, valueDate, effectiveDate, terminationDate,
interpolationMethod, margineAboveFloatingRate, resetRate,
notional,
directionDateGenerationRecLeg,
cashFlowFrequencyRecLeg,
accrualMethodRecLeg,
holidaysRecLeg,
rateCurvePayLeg,
true);
// pay floating leg
//
var payFloatingCashflows = InterestRateSwapPricer.GenerateCashflows(logger, cache, nameSpace, null, valueDate, effectiveDate, terminationDate,
interpolationMethod, margineAboveFloatingRate, resetRate,
notional,
directionDateGenerationPayLeg,
cashFlowFrequencyPayLeg,
accrualMethodPayLeg,
holidaysPayLeg,
rateCurveRecLeg,
false);
var objectiveFunction = new InterestRateSwapPricer
{
ReceiveLeg = recFixedCashflows,
PayLeg = payFloatingCashflows
};
var solver = new Brent
{
LowerBound = -100.0,
UpperBound = 100.0
};
solver.Solve(objectiveFunction, Accuracy, Guess, Step);
// bool bothLegsHaveTheSameStructure =
// directionDateGenerationPayLeg == directionDateGenerationRecLeg &&
// cashFlowFrequencyPayLeg == cashFlowFrequencyRecLeg &&
// holidaysPayLeg == holidaysRecLeg;
// if 0 - cashflows displayed one under another,
// if 1 - cashflows displayed side by side.
var result = 1 == layout?Utilities.GetCashflowsSideBySideExcelRange(payFloatingCashflows.Coupons, recFixedCashflows.Coupons) : Utilities.GetCashflowsOneUnderAnotherExcelRange(payFloatingCashflows.Coupons, recFixedCashflows.Coupons);
return(result);
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="legCalendars"></param>
/// <param name="trade"></param>
/// <param name="tradeProps"></param>
/// <param name="forecastRateInterpolation"></param>
public TradePricer(ILogger logger, ICoreCache cache, String nameSpace,
List <Pair <IBusinessCalendar, IBusinessCalendar> > legCalendars,
Trade trade, NamedValueSet tradeProps, bool forecastRateInterpolation)
{
if (tradeProps == null)
{
tradeProps = new NamedValueSet();//TODO Need to generate properties for the FpML examples.
}
var tradeIdentifier = new TradeIdentifier(tradeProps);
TradeIdentifier = tradeIdentifier;
TradeHeader = trade.tradeHeader;
//Get the baseParty, which in GWML is the originating party.
BaseParty = tradeProps.GetValue <string>(TradeProp.BaseParty, false) ?? TradeProp.Party1;
var party1 = tradeProps.GetValue <string>(TradeProp.Party1, true);
var party2 = tradeProps.GetValue <string>(TradeProp.Party2, true);
Parties = new List <Party> {
new Party {
partyName = new PartyName {
Value = party1
}
}, new Party {
partyName = new PartyName {
Value = party2
}
}
};
TradeType = trade.ItemElementName;
//Determine the product type, so that the appropriate productPricer can be instantiated.
//Set the product type
var productType = tradeIdentifier.ProductType;
//Check whether the business calendars list is null.
Pair <IBusinessCalendar, IBusinessCalendar> firstCalendarPair = null;
if (legCalendars?.Count > 0)
{
firstCalendarPair = legCalendars[0];
}
//Instantiate the productPricer.
if (productType != null && productType != ProductTypeSimpleEnum.Undefined)
{
ProductType = (ProductTypeSimpleEnum)productType;
switch (ProductType)
{
case ProductTypeSimpleEnum.PropertyTransaction:
{
IBusinessCalendar settlementCalendar = null;
if (firstCalendarPair != null)
{
settlementCalendar = firstCalendarPair.First;
}
var property = (PropertyTransaction)trade.Item;
var tradeDate = tradeProps.GetValue <DateTime>(TradeProp.TradeDate, false);
var referenceProperty = tradeProps.GetValue <String>(PropertyProp.ReferenceProperty, false);
//Get the instrument configuration data.
//Modify the pricer to include this data.
PriceableProduct = new PropertyTransactionPricer(logger, cache, nameSpace, tradeDate, referenceProperty, settlementCalendar, property, BaseParty, forecastRateInterpolation);
ProductReporter = new PropertyTransactionReporter();
}
break;
case ProductTypeSimpleEnum.EquityTransaction:
{
IBusinessCalendar settlementCalendar = null;
if (firstCalendarPair != null)
{
settlementCalendar = firstCalendarPair.First;
}
var equity = (EquityTransaction)trade.Item;
var tradeDate = tradeProps.GetValue <DateTime>(TradeProp.TradeDate, true);
var effectiveDate = tradeProps.GetValue <DateTime>(TradeProp.EffectiveDate, true);
var referenceEquity = tradeProps.GetValue <String>(EquityProp.ReferenceEquity, false);
//Get the instrument configuration data.
//Modify the pricer to include this data.
PriceableProduct = new EquityTransactionPricer(logger, cache, nameSpace, tradeDate, effectiveDate, referenceEquity, settlementCalendar, equity, BaseParty, forecastRateInterpolation);
ProductReporter = new EquityTransactionReporter();
}
break;
case ProductTypeSimpleEnum.BondTransaction:
{
IBusinessCalendar settlementCalendar = null;
if (firstCalendarPair != null)
{
settlementCalendar = firstCalendarPair.First;
}
var bond = (BondTransaction)trade.Item;
var tradeDate = tradeProps.GetValue <DateTime>(TradeProp.TradeDate, true);
var effectiveDate = tradeProps.GetValue <DateTime>(TradeProp.EffectiveDate, true);
var bondType = tradeProps.GetValue <string>(BondProp.BondType, false);
//Get the instrument configuration data.
//Modify the pricer to include this data.
PriceableProduct = new BondTransactionPricer(logger, cache, nameSpace, tradeDate, effectiveDate, settlementCalendar, settlementCalendar, bond, BaseParty, bondType, forecastRateInterpolation);
ProductReporter = new BondTransactionReporter();
}
break;
case ProductTypeSimpleEnum.FutureTransaction:
{
IBusinessCalendar settlementCalendar = null;
if (firstCalendarPair != null)
{
settlementCalendar = firstCalendarPair.First;
}
var future = (FutureTransaction)trade.Item;
var tradeDate = tradeProps.GetValue <DateTime>(TradeProp.TradeDate, false);
var type = tradeProps.GetValue <String>(FuturesProp.FuturesType, true);
var futureType = EnumHelper.Parse <ExchangeContractTypeEnum>(type);
//Get the instrument configuration data.
//Modify the pricer to include this data.
PriceableProduct = new FutureTransactionPricer(logger, cache, nameSpace, tradeDate, futureType, settlementCalendar, future, BaseParty, forecastRateInterpolation);
ProductReporter = new FutureTransactionReporter();
}
break;
case ProductTypeSimpleEnum.InterestRateSwap:
{
var swap = (Swap)trade.Item;
PriceableProduct = new InterestRateSwapPricer(logger, cache, nameSpace, legCalendars, swap, BaseParty, forecastRateInterpolation);
ProductReporter = new InterestRateSwapReporter();
}
break;
case ProductTypeSimpleEnum.AssetSwap:
{
var swap = (Swap)trade.Item;
//TODO set for the payer. This needs to be modified for the base counterparty.
PriceableProduct = new AssetSwapPricer(logger, cache, nameSpace, legCalendars, swap, BaseParty, new Bond(), forecastRateInterpolation);
ProductReporter = new InterestRateSwapReporter();
}
break;
case ProductTypeSimpleEnum.CrossCurrencySwap:
{
var swap = (Swap)trade.Item;
//TODO set for the payer. This needs to be modified for the base counterparty.
PriceableProduct = new CrossCurrencySwapPricer(logger, cache, nameSpace, legCalendars, swap, BaseParty, forecastRateInterpolation);
ProductReporter = new InterestRateSwapReporter();
}
break;
case ProductTypeSimpleEnum.FRA: // todo
{
var fra = (Fra)trade.Item;
IBusinessCalendar fixingCalendar = null;
IBusinessCalendar paymentCalendar = null;
if (firstCalendarPair != null)
{
fixingCalendar = firstCalendarPair.First;
paymentCalendar = firstCalendarPair.Second;
}
PriceableProduct = new FraPricer(logger, cache, fixingCalendar, paymentCalendar, fra, BaseParty, nameSpace)
{
ForecastRateInterpolation = forecastRateInterpolation
};
ProductReporter = new ForwardRateAgreementReporter();
}
break;
//case ProductTypeSimpleEnum.InflationSwap:
// break;
//case ProductTypeSimpleEnum.CreditDefaultSwap:
// break;
//case ProductTypeSimpleEnum.TotalReturnSwap:
// break;
//case ProductTypeSimpleEnum.VarianceSwap:
// break;
case ProductTypeSimpleEnum.CapFloor:
{
var capFloor = (CapFloor)trade.Item;
IBusinessCalendar fixingCalendar = null;
IBusinessCalendar paymentCalendar = null;
if (firstCalendarPair != null)
{
fixingCalendar = firstCalendarPair.First;
paymentCalendar = firstCalendarPair.Second;
}
PriceableProduct = new CapFloorPricer(logger, cache, nameSpace, fixingCalendar, paymentCalendar, capFloor, BaseParty);
ProductReporter = new CapFloorReporter();
}
break;
case ProductTypeSimpleEnum.FxSpot:
{
var fxForward = (FxSingleLeg)trade.Item;
PriceableProduct = new FxSingleLegPricer(fxForward, BaseParty, ProductTypeSimpleEnum.FxSpot);
ProductReporter = new FxSingleLegReporter();
}
break;
case ProductTypeSimpleEnum.FxForward:
{
var fxForward = (FxSingleLeg)trade.Item;
PriceableProduct = new FxSingleLegPricer(fxForward, BaseParty, ProductTypeSimpleEnum.FxForward);
ProductReporter = new FxSingleLegReporter();
}
break;
case ProductTypeSimpleEnum.BulletPayment:
{
if (trade.Item is BulletPayment bullet)
{
IBusinessCalendar paymentCalendar = null;
if (firstCalendarPair != null)
{
paymentCalendar = firstCalendarPair.Second;
}
//The calendars
if (paymentCalendar == null)
{
if (bullet.payment.paymentDate != null)
{
var containsPaymentDateAdjustments = AdjustableOrAdjustedDateHelper.Contains(bullet.payment.paymentDate, ItemsChoiceType.dateAdjustments, out object dateAdjustments);
if (containsPaymentDateAdjustments && dateAdjustments != null)
{
paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, ((BusinessDayAdjustments)dateAdjustments).
businessCenters, nameSpace);
}
}
}
PriceableProduct = new BulletPaymentPricer(bullet, BaseParty, paymentCalendar);
ProductReporter = new BulletPaymentReporter();
}
}
break;
case ProductTypeSimpleEnum.FxSwap:
{
var fxSwap = (FxSwap)trade.Item;
PriceableProduct = new FxSwapPricer(fxSwap, BaseParty);
ProductReporter = new FxSwapReporter();
}
break;
//case ProductTypeSimpleEnum.EquityOption:
// break;
//case ProductTypeSimpleEnum.BondOption:
// break;
case ProductTypeSimpleEnum.FxOption:
{
IBusinessCalendar fixingCalendar = null;
IBusinessCalendar paymentCalendar = null;
if (firstCalendarPair != null)
{
fixingCalendar = firstCalendarPair.First;
paymentCalendar = firstCalendarPair.Second;
}
var fxOption = (FxOption)trade.Item;
PriceableProduct = new VanillaEuropeanFxOptionPricer(logger, cache, nameSpace, fixingCalendar, paymentCalendar, fxOption, BaseParty);
ProductReporter = new FxOptionLegReporter();
}
break;
//case ProductTypeSimpleEnum.FxOptionStrategy:
// break;
//case ProductTypeSimpleEnum.CreditDefaultIndex:
// break;
//case ProductTypeSimpleEnum.CreditDefaultIndexTranche:
// break;
//case ProductTypeSimpleEnum.CreditDefaultBasket:
// break;
//case ProductTypeSimpleEnum.CreditDefaultBasketTranche:
// break;
//case ProductTypeSimpleEnum.CreditDefaultOption:
// break;
//case ProductTypeSimpleEnum.EquityForward:
// break;
case ProductTypeSimpleEnum.InterestRateSwaption:
{
var interestRateSwaption = (Swaption)trade.Item;
PriceableProduct = new InterestRateSwaptionPricer(logger, cache, nameSpace, interestRateSwaption, BaseParty, forecastRateInterpolation);
ProductReporter = new InterestRateSwaptionReporter();
}
break;
case ProductTypeSimpleEnum.TermDeposit:
{
//var party1 = tradeProps.GetValue<string>(TradeProp.Party1, true);
//var party2 = tradeProps.GetValue<string>(TradeProp.Party2, true);
//var reportingParty = baseParty == party1 ? "Party1" : "Party2"; // TODO this is for backward compatability.
var deposit = (TermDeposit)trade.Item;
PriceableProduct = new TermDepositPricer(logger, cache, deposit, TradeProp.Party1); //The payment date must be correct before calling this!
ProductReporter = new TermDepositReporter();
}
break;
//case ProductTypeSimpleEnum.DividendSwap:
// break;
//case ProductTypeSimpleEnum.ConvertibleBondOption:
// break;
//case ProductTypeSimpleEnum.Loan:
// break;
//case ProductTypeSimpleEnum.Repo:
// break;
default:
throw new NotSupportedException("Unsupported ProductType: " + ProductType);
}
}
else
{
switch (TradeType)
{
case ItemChoiceType15.propertyTransaction:
{
var equity = (PropertyTransaction)trade.Item;
IBusinessCalendar settlementCalendar = null;
if (firstCalendarPair != null)
{
settlementCalendar = firstCalendarPair.First;
}
var tradeDate = tradeProps.GetValue <DateTime>(TradeProp.TradeDate, false);
var referenceProperty = tradeProps.GetValue <String>(PropertyProp.ReferenceProperty, false);
PriceableProduct = new PropertyTransactionPricer(logger, cache, nameSpace, tradeDate, referenceProperty, settlementCalendar, equity, BaseParty, forecastRateInterpolation);
ProductReporter = new PropertyTransactionReporter();
}
break;
case ItemChoiceType15.equityTransaction:
{
var equity = (EquityTransaction)trade.Item;
IBusinessCalendar settlementCalendar = null;
if (firstCalendarPair != null)
{
settlementCalendar = firstCalendarPair.First;
}
var tradeDate = tradeProps.GetValue <DateTime>(TradeProp.TradeDate, false);
var effectiveDate = tradeProps.GetValue <DateTime>(TradeProp.EffectiveDate, true);
var referenceEquity = tradeProps.GetValue <String>(EquityProp.ReferenceEquity, false);
PriceableProduct = new EquityTransactionPricer(logger, cache, nameSpace, tradeDate, effectiveDate, referenceEquity, settlementCalendar, equity, BaseParty, forecastRateInterpolation);
ProductReporter = new EquityTransactionReporter();
}
break;
case ItemChoiceType15.bondTransaction:
{
var bond = (BondTransaction)trade.Item;
IBusinessCalendar settlementCalendar = null;
IBusinessCalendar paymentCalendar = null;
if (firstCalendarPair != null)
{
settlementCalendar = firstCalendarPair.First;
paymentCalendar = firstCalendarPair.Second;
}
var tradeDate = tradeProps.GetValue <DateTime>(TradeProp.TradeDate, true);
var effectiveDate = tradeProps.GetValue <DateTime>(TradeProp.EffectiveDate, true);
var bondType = tradeProps.GetValue <string>(BondProp.BondType, false);
PriceableProduct = new BondTransactionPricer(logger, cache, nameSpace, tradeDate, effectiveDate, settlementCalendar, paymentCalendar, bond, BaseParty, bondType, forecastRateInterpolation);
ProductReporter = new BondTransactionReporter();
}
break;
case ItemChoiceType15.futureTransaction:
{
IBusinessCalendar settlementCalendar = null;
if (firstCalendarPair != null)
{
settlementCalendar = firstCalendarPair.First;
}
var future = (FutureTransaction)trade.Item;
var tradeDate = tradeProps.GetValue <DateTime>(TradeProp.TradeDate, false);
var type = tradeProps.GetValue <String>(FuturesProp.FuturesType, true);
var futureType = EnumHelper.Parse <ExchangeContractTypeEnum>(type);
//Get the instrument configuration data.
//Modify the pricer to include this data.
PriceableProduct = new FutureTransactionPricer(logger, cache, nameSpace, tradeDate, futureType, settlementCalendar, future, BaseParty, forecastRateInterpolation);
ProductReporter = new FutureTransactionReporter();
}
break;
case ItemChoiceType15.swap:
{
var swap = (Swap)trade.Item;
//TODO this needs to be emnhanced
ProductType = ProductTypeSimpleEnum.InterestRateSwap;
PriceableProduct = new CrossCurrencySwapPricer(logger, cache, nameSpace, legCalendars, swap, BaseParty, forecastRateInterpolation);
ProductReporter = new InterestRateSwapReporter();
//var report =
}
break;
case ItemChoiceType15.fra: // todo
{
var fra = (Fra)trade.Item;
IBusinessCalendar fixingCalendar = null;
IBusinessCalendar paymentCalendar = null;
if (firstCalendarPair != null)
{
fixingCalendar = firstCalendarPair.First;
paymentCalendar = firstCalendarPair.Second;
}
ProductType = ProductTypeSimpleEnum.FRA;
PriceableProduct = new FraPricer(logger, cache, fixingCalendar, paymentCalendar, fra, BaseParty)
{
ForecastRateInterpolation = forecastRateInterpolation
};
ProductReporter = new ForwardRateAgreementReporter();
}
break;
case ItemChoiceType15.capFloor:
{
var capFloor = (CapFloor)trade.Item;
IBusinessCalendar fixingCalendar = null;
IBusinessCalendar paymentCalendar = null;
if (firstCalendarPair != null)
{
fixingCalendar = firstCalendarPair.First;
paymentCalendar = firstCalendarPair.Second;
}
ProductType = ProductTypeSimpleEnum.CapFloor;
PriceableProduct = new CapFloorPricer(logger, cache, nameSpace, fixingCalendar, paymentCalendar, capFloor, BaseParty);
ProductReporter = new CapFloorReporter();
}
break;
case ItemChoiceType15.fxSingleLeg:
{
var fxForward = (FxSingleLeg)trade.Item;
ProductType = ProductTypeSimpleEnum.FxSpot;
PriceableProduct = new FxSingleLegPricer(fxForward, BaseParty, ProductType);
ProductReporter = new FxSingleLegReporter();
}
break;
case ItemChoiceType15.fxSwap:
{
var fxSwap = (FxSwap)trade.Item;
ProductType = ProductTypeSimpleEnum.FxSwap;
PriceableProduct = new FxSwapPricer(fxSwap, BaseParty);
ProductReporter = new FxSwapReporter();
}
break;
case ItemChoiceType15.bulletPayment:
{
if (trade.Item is BulletPayment bullet)
{
IBusinessCalendar paymentCalendar = null;
if (firstCalendarPair != null)
{
paymentCalendar = firstCalendarPair.Second;
}
//The calendars
if (paymentCalendar == null)
{
if (bullet.payment.paymentDate != null)
{
var containsPaymentDateAdjustments = AdjustableOrAdjustedDateHelper.Contains(bullet.payment.paymentDate, ItemsChoiceType.dateAdjustments, out object dateAdjustments);
if (containsPaymentDateAdjustments && dateAdjustments != null)
{
paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, ((BusinessDayAdjustments)dateAdjustments).
businessCenters, nameSpace);
}
}
}
ProductType = ProductTypeSimpleEnum.BulletPayment;
PriceableProduct = new BulletPaymentPricer(bullet, BaseParty, paymentCalendar);
ProductReporter = new BulletPaymentReporter();
}
}
break;
case ItemChoiceType15.termDeposit:
{
var deposit = (TermDeposit)trade.Item;
ProductType = ProductTypeSimpleEnum.TermDeposit;
PriceableProduct = new TermDepositPricer(logger, cache, deposit, TradeProp.Party1); //The payment date must be correct before calling this!
ProductReporter = new TermDepositReporter();
}
break;
case ItemChoiceType15.swaption:
{
var interestRateSwaption = (Swaption)trade.Item;
ProductType = ProductTypeSimpleEnum.InterestRateSwaption;
PriceableProduct = new InterestRateSwaptionPricer(logger, cache, nameSpace, interestRateSwaption, BaseParty, forecastRateInterpolation);
ProductReporter = new InterestRateSwaptionReporter();
}
break;
case ItemChoiceType15.fxOption:
{
IBusinessCalendar fixingCalendar = null;
IBusinessCalendar paymentCalendar = null;
if (firstCalendarPair != null)
{
fixingCalendar = firstCalendarPair.First;
paymentCalendar = firstCalendarPair.Second;
}
var fxOption = (FxOption)trade.Item;
ProductType = ProductTypeSimpleEnum.FxOption;
PriceableProduct = new VanillaEuropeanFxOptionPricer(logger, cache, nameSpace, fixingCalendar, paymentCalendar, fxOption, BaseParty);
ProductReporter = new FxOptionLegReporter();
}
break;
default:
throw new NotSupportedException("Unsupported TradeType: " + TradeType);
}
//Adds the extra party info now required.
PriceableProduct.OrderedPartyNames.Add(party1);
PriceableProduct.OrderedPartyNames.Add(party2);
//Check if collateralised
if (trade.collateral != null)
{
PriceableProduct.IsCollateralised = true;
}
}
}
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 void CreateSwaptionValuation()
{
DateTime valuationDate = DateTime.Today;
SwaptionPricer irSwaptionPricer = new InterestRateSwaptionPricer();
string discountCurveID = BuildAndCacheRateCurve(valuationDate); //RateCurveExcelInterfaceTests.ExcelInterface_CreateAUDCurveFromDepostSwapsFuturesFras_WithDates(valuationDate, valuationDate);
string projectionCurveID = discountCurveID;
SwapLegParametersRange_Old payFixed = CreateFixedAUD_6MSwapLegParametersRange(_NAB, CounterParty, valuationDate, 0.065m, "ACT/365.FIXED", "AUSY", "FOLLOWING", "AUSY", "NONE", discountCurveID);
SwapLegParametersRange_Old receiveFloat = CreateFloatingAUD_6MSwapLegParametersRange(CounterParty, _NAB, valuationDate, 0, "ACT/365.FIXED", "AUSY", "FOLLOWING", "AUSY", "NONE", discountCurveID, projectionCurveID);
ValuationRange valuationRange = CreateValuationRangeForNAB(valuationDate);
var payCFRangeItemList = InterestRateSwapPricer.GetDetailedCashflowsTestOnly(Engine.Logger, Engine.Cache, Engine.NameSpace, payFixed, valuationRange);
payCFRangeItemList[0].CouponType = "fixed"; // that should test case insensitive nature of coupons
payCFRangeItemList[1].CouponType = "Fixed"; //
var receiveCFRangeItemList = InterestRateSwapPricer.GetDetailedCashflowsTestOnly(Engine.Logger, Engine.Cache, Engine.NameSpace, receiveFloat, valuationRange);
receiveCFRangeItemList[0].CouponType = "float"; // that should test case insensitive nature of coupons
receiveCFRangeItemList[1].CouponType = "Float"; //
var tradeRange = new TradeRange {
Id = "TradeId_12345", TradeDate = valuationDate
};
var leg1PrincipalExchangeCashflowList = new List <InputPrincipalExchangeCashflowRangeItem>();
var leg2PrincipalExchangeCashflowList = new List <InputPrincipalExchangeCashflowRangeItem>();
var leg1BulletPaymentList = new List <AdditionalPaymentRangeItem>();
var leg2BulletPaymentList = new List <AdditionalPaymentRangeItem>();
var swaptionParametersRange = new SwaptionParametersRange
{
Premium = 456789.12m,
PremiumCurrency = "AUD",
PremiumPayer = CounterParty,
PremiumReceiver = _NAB,
ExpirationDate = valuationDate.AddDays(10),
ExpirationDateCalendar = "AUSY-GBLO",
ExpirationDateBusinessDayAdjustments = "FOLLOWING",
PaymentDate = valuationDate.AddDays(20),
PaymentDateCalendar = "USNY-GBLO",
PaymentDateBusinessDayAdjustments = "MODFOLLOWING",
EarliestExerciseTime = new TimeSpan(10, 0, 0).TotalDays,
ExpirationTime = new TimeSpan(11, 0, 0).TotalDays,
AutomaticExcercise = false
};
List <PartyIdRangeItem> partyList = GetPartyList("NAB", "book", "MCHammer", "counterparty");
List <OtherPartyPaymentRangeItem> otherPartyPaymentRangeItems = GetOtherPartyPaymentList("counterparty", "cost center");
List <FeePaymentRangeItem> feePaymentRangeItems = GetFeeList("counterparty", "book");
// Get price and swap representation using non-vanilla PRICE function.
//
string valuatonId = irSwaptionPricer.CreateValuation(Engine.Logger, Engine.Cache, Engine.NameSpace, null, null,
swaptionParametersRange,
CreateValuationSetList2(12345.67, -0.321), valuationRange, tradeRange,
payFixed, receiveFloat,
payCFRangeItemList, receiveCFRangeItemList,
leg1PrincipalExchangeCashflowList, leg2PrincipalExchangeCashflowList,
leg1BulletPaymentList, leg2BulletPaymentList,
partyList, otherPartyPaymentRangeItems,
feePaymentRangeItems);
var valuationReport = Engine.Cache.LoadObject <ValuationReport>(Engine.NameSpace + "." + valuatonId);
Debug.Print(XmlSerializerHelper.SerializeToString(valuationReport));
}
public static Pair <ValuationResultRange, CapFloor> GetPriceAndGeneratedFpML(
ILogger logger, ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
ValuationRange valuationRange, TradeRange tradeRange,
CapFloorLegParametersRange_Old leg1ParametersRange,
List <InputCashflowRangeItem> leg1DetailedCashflowsList,
List <InputPrincipalExchangeCashflowRangeItem> legPrincipalExchangeCashflowListArray,
List <AdditionalPaymentRangeItem> leg1AdditionalPaymentList,
List <FeePaymentRangeItem> feePaymentList
)
{
//Check if the calendars are null. If not build them!
InterestRateStream stream1 = GetCashflowsSchedule(fixingCalendar, paymentCalendar, leg1ParametersRange);//parametric definiton + cashflows schedule
// Update FpML cashflows
//
stream1.cashflows = UpdateCashflowsWithDetailedCashflows(leg1DetailedCashflowsList);
if (null != legPrincipalExchangeCashflowListArray)
{
// create principal exchanges
//
InterestRateSwapPricer.CreatePrincipalExchangesFromListOfRanges(stream1.cashflows, legPrincipalExchangeCashflowListArray);
}
// 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, bulletPaymentRangeItem.Currency),
paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(bulletPaymentRangeItem.PaymentDate)
}));
}
CapFloor capFloor = CapFloorFactory.Create(stream1);
capFloor.additionalPayment = bulletPaymentList.ToArray();
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, feePaymentRangeItem.Currency),
payerPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Payer),
receiverPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Receiver)
}));
}
capFloor.premium = feeList.ToArray();
// Update FpML cashflows with DF,FV,PV, etc (LegParametersRange needed to access curve functionality)
//
UpdateCashflowsWithAmounts(logger, cache, nameSpace, stream1, leg1ParametersRange, valuationRange);
// Update additional payments
//
var leg1DiscountCurve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, leg1ParametersRange.DiscountCurve);
CapFloorGenerator.UpdatePaymentsAmounts(paymentCalendar, capFloor, leg1ParametersRange, leg1DiscountCurve, valuationRange.ValuationDate);
//~ Update additional payments
string baseParty = valuationRange.BaseParty;
return(new Pair <ValuationResultRange, CapFloor>(CreateValuationRange(capFloor, baseParty), capFloor));
}