/// <summary>
/// Returns the known reset rate if necessary, either via user-specified known rate or rate fixings file. Returns null if either reset rate is not necessary or not found.
/// </summary>
private static double?GetKnownResetRate(TDate baseDate, TDate resetDate, TDate paymentDate, YesNo useKnownRate, double knownRate, string rateFixing, RateFixingsProvider rateFixingsProvider, Deal deal)
{
double?knownResetRate = null;
if (paymentDate >= baseDate && resetDate <= baseDate)
{
if (useKnownRate == YesNo.Yes)
{
knownResetRate = knownRate;
}
else if (!string.IsNullOrWhiteSpace(rateFixing) && rateFixingsProvider != null)
{
// Try get realized reset rate from Rate fixing file.
DateTime[] missingDates = { DateTime.FromOADate(resetDate) };
var fixings = CashflowsFixingsHelper.GetRateFixings(rateFixing, missingDates, rateFixingsProvider, baseDate, deal);
if (fixings != null && fixings.Length != 0 && !double.IsNaN(fixings[0]))
{
knownResetRate = fixings[0];
}
}
}
return(knownResetRate);
}
/// <summary>
/// Calculate the dates and years fractions not specified on the deal and get any known rates.
/// </summary>
public void Prepare(double baseDate, RateFixingsProvider rateFixings)
{
// Calculates various date properties of the deal and cache them.
var deal = (FloatingInterestCashflowInterpolatedDeal)Deal;
var accrualCalendars = deal.GetAccrualHolidayCalendars();
var rateCalendars = deal.GetRateHolidayCalendars();
fPaymentDate = deal.Payment_Date;
if (deal.Accrual_Year_Fraction > 0.0)
{
fAccrualYearFraction = deal.Accrual_Year_Fraction;
}
else
{
fAccrualYearFraction = CalcUtils.DayCountFraction(deal.Accrual_Start_Date, deal.Accrual_End_Date, deal.Accrual_Day_Count, accrualCalendars);
}
fKnownResetRate1 = null;
fKnownResetRate2 = null;
if (deal.HasRate1())
{
if (deal.Rate_1_End_Date > 0.0)
{
fRate1EndDate = deal.Rate_1_End_Date;
}
else
{
fRate1EndDate = DateAdjuster.Add(deal.Rate_Start_Date, deal.Rate_1_Tenor, 1, rateCalendars, true, deal.Rate_Adjustment_Method, deal.Rate_Sticky_Month_End == YesNo.Yes).ToOADate();
}
if (deal.Rate_1_Year_Fraction > 0.0)
{
fRate1YearFraction = deal.Rate_1_Year_Fraction;
}
else
{
fRate1YearFraction = CalcUtils.DayCountFraction(deal.Rate_Start_Date, fRate1EndDate, deal.Rate_Day_Count, rateCalendars, deal.Rate_1_Tenor);
}
fKnownResetRate1 = GetKnownResetRate(baseDate, deal.Reset_Date, fPaymentDate, deal.Use_Known_Rate_1, deal.Known_Rate_1, deal.Rate_1_Fixing, rateFixings, deal);
}
if (deal.HasRate2())
{
if (deal.Rate_2_End_Date > 0.0)
{
fRate2EndDate = deal.Rate_2_End_Date;
}
else
{
fRate2EndDate = DateAdjuster.Add(deal.Rate_Start_Date, deal.Rate_2_Tenor, 1, rateCalendars, true, deal.Rate_Adjustment_Method, deal.Rate_Sticky_Month_End == YesNo.Yes).ToOADate();
}
if (deal.Rate_2_Year_Fraction > 0.0)
{
fRate2YearFraction = deal.Rate_2_Year_Fraction;
}
else
{
fRate2YearFraction = CalcUtils.DayCountFraction(deal.Rate_Start_Date, fRate2EndDate, deal.Rate_Day_Count, rateCalendars, deal.Rate_2_Tenor);
}
fKnownResetRate2 = GetKnownResetRate(baseDate, deal.Reset_Date, fPaymentDate, deal.Use_Known_Rate_2, deal.Known_Rate_2, deal.Rate_2_Fixing, rateFixings, deal);
}
}
