//private static void ProcessStubs(InterestRateStream stream, SwapLegParametersRange_Old swapTermParametersRange, IBusinessCalendar paymentCalendar)
//{
// //bool isFullFirstCoupon = swapTermParametersRange.FirstCouponType == FirstCouponType.Full?true:false;
// DateTime adjustedEffectiveDate = AdjustedDateHelper.ToAdjustedDate(paymentCalendar, XsdClassesFieldResolver.CalculationPeriodDates_GetEffectiveDate(stream.calculationPeriodDates));
// DateTime adjustedTerminationDate = AdjustedDateHelper.ToAdjustedDate(paymentCalendar, XsdClassesFieldResolver.CalculationPeriodDates_GetTerminationDate(stream.calculationPeriodDates));
// StubPeriodTypeEnum? initialStubType = null;
// if (!string.IsNullOrEmpty(swapTermParametersRange.InitialStubType))
// {
// initialStubType = EnumHelper.Parse<StubPeriodTypeEnum>(swapTermParametersRange.InitialStubType);
// }
// StubPeriodTypeEnum? finalStubType = null;
// if (!string.IsNullOrEmpty(swapTermParametersRange.FinalStubType))
// {
// finalStubType = EnumHelper.Parse<StubPeriodTypeEnum>(swapTermParametersRange.FinalStubType);
// }
// //Only calculate a stub if required i.e.
// //If a FirsteRegularPeriod is specified -> Roll forward
// //If a lastRegularePeriod is specified --> Roll Backwards
// //If intialstub is not null
// //if finalStubType is not null
// //Otherwise, check if the maturity - effective date is modulo the frequency.
// //If yes, there is no stub.
// var periods = CalculationPeriodGenerator.GenerateAdjustedCalculationPeriods(adjustedEffectiveDate,
// adjustedTerminationDate,
// swapTermParametersRange.FirstRegularPeriodStartDate,
// stream.calculationPeriodDates.calculationPeriodFrequency,
// stream.calculationPeriodDates.calculationPeriodDatesAdjustments,
// initialStubType,
// finalStubType,
// paymentCalendar);
// //var periods = CalculationPeriodGenerator.GenerateAdjustedCalculationPeriods(adjustedEffectiveDate,
// // adjustedTerminationDate,
// // stream.calculationPeriodDates.firstRegularPeriodStartDate,
// // stream.calculationPeriodDates.lastRegularPeriodEndDate,
// // stream.calculationPeriodDates.calculationPeriodFrequency,
// // stream.calculationPeriodDates.calculationPeriodDatesAdjustments,
// // paymentCalendar);
// if (!stream.calculationPeriodDates.firstRegularPeriodStartDateSpecified && periods.HasInitialStub)
// {
// stream.calculationPeriodDates.firstRegularPeriodStartDate = periods.FirstRegularPeriodUnadjustedStartDate;
// stream.calculationPeriodDates.firstRegularPeriodStartDateSpecified = true;
// }
// if (!stream.calculationPeriodDates.lastRegularPeriodEndDateSpecified && periods.HasFinalStub)
// {
// stream.calculationPeriodDates.lastRegularPeriodEndDate = periods.LastRegularPeriodUnadjustedEndDate;
// stream.calculationPeriodDates.lastRegularPeriodEndDateSpecified = true;
// }
//}
private static void SetNotional(Calculation calculation,
decimal amount,
string currencyAsString)
{
Money notionalAsMoney = MoneyHelper.GetAmount(amount, currencyAsString);
Notional notionalSchedule = NotionalFactory.Create(notionalAsMoney);
XsdClassesFieldResolver.CalculationSetNotionalSchedule(calculation, notionalSchedule);
}
public static Calculation CreateFloating(decimal fixedRate, Money notional, FloatingRateIndex floatingRateIndex, Period tenor,
DayCountFraction dayCountFraction, DiscountingTypeEnum discountingType)
{
var calculation = new Calculation
{
Item = NotionalFactory.Create(notional),
compoundingMethod = CompoundingMethodEnum.None,
compoundingMethodSpecified = true,
dayCountFraction = dayCountFraction,
discounting =
DiscountingHelper.Create(fixedRate, dayCountFraction, discountingType),
Items = new object[] { FloatingRateCalculationHelper.CreateFloating(floatingRateIndex, tenor) }
};
return(calculation);
}
public static Calculation CreateFixed(decimal fixedRate, decimal discountRate, Money notional,
CompoundingMethodEnum compoundingMethod, DayCountFraction dayCountFraction, DiscountingTypeEnum discountingType)
{
var calculation = new Calculation
{
Item = NotionalFactory.Create(notional),
compoundingMethod = compoundingMethod,
compoundingMethodSpecified = true,
dayCountFraction = dayCountFraction,
discounting =
DiscountingHelper.Create(discountRate, dayCountFraction,
discountingType),
Items = new object[] { FixedRateScheduleHelper.Create(fixedRate) }
};
return(calculation);
}
public static Calculation CreateFloating(Money notional, FloatingRateIndex floatingRateIndex, Period tenor, DayCountFraction dayCountFraction, DiscountingTypeEnum?discountingType)
{
var discounting = discountingType != null
? DiscountingHelper.Create(null, dayCountFraction, (DiscountingTypeEnum)discountingType)
: null;
var calculation = new Calculation
{
Items = new object[] { NotionalFactory.Create(notional) },
compoundingMethod = CompoundingMethodEnum.None,
compoundingMethodSpecified = true,
dayCountFraction = dayCountFraction,
discounting = discounting,
Items1 = new object[] { FloatingRateCalculationHelper.CreateFloating(floatingRateIndex, tenor) }
};
return(calculation);
}
public static Calculation CreateFixed(decimal fixedRate, NonNegativeAmountSchedule notionalSchedule,
DayCountFraction dayCountFraction, DiscountingTypeEnum?discountingType)
{
var discounting = discountingType != null
? DiscountingHelper.Create(fixedRate, dayCountFraction, (DiscountingTypeEnum)discountingType)
: null;
var calculation = new Calculation
{
Item = NotionalFactory.Create(notionalSchedule),
compoundingMethod = CompoundingMethodEnum.None,
compoundingMethodSpecified = true,
dayCountFraction = dayCountFraction,
discounting = discounting,
Items = new object[] { FixedRateScheduleHelper.Create(fixedRate) }
};
return(calculation);
}
public static Calculation CreateFloating(Money notional, FloatingRateIndex floatingRateIndex, Period tenor, DayCountFraction dayCountFraction, DiscountingTypeEnum discountingType)
{
var calculation = new Calculation
{
Items = new object[] { NotionalFactory.Create(notional) },
compoundingMethod = CompoundingMethodEnum.None,
compoundingMethodSpecified = true,
dayCountFraction = dayCountFraction
};
var discounting = new Discounting
{
discountingType = discountingType,
discountRateDayCountFraction = dayCountFraction
};
calculation.discounting = discounting;
calculation.Items = new object[] { FloatingRateCalculationHelper.CreateFloating(floatingRateIndex, tenor) };
return(calculation);
}