public ForwardRateAgreement(DateTime startDate, double parRate, FloatRateIndex rateIndex, SwapPayReceiveType payRec, FraDiscountingType fraType, string forecastCurve, string discountCurve)
{
StartDate = startDate;
ResetDate = StartDate.AddPeriod(RollType.P, rateIndex.HolidayCalendars, rateIndex.FixingOffset);
EndDate = new TenorDateRelative(rateIndex.ResetTenor);
RateIndex = rateIndex;
ParRate = parRate;
Basis = rateIndex.DayCountBasis;
PayRec = payRec;
FraLeg = new GenericSwapLeg(StartDate, EndDate.Date(StartDate, rateIndex.RollConvention, rateIndex.HolidayCalendars), rateIndex.HolidayCalendars, rateIndex.Currency, rateIndex.ResetTenor, Basis)
{
FixedRateOrMargin = (decimal)ParRate
};
FlowScheduleFra = FraLeg.GenerateSchedule();
FraLeg.FixedRateOrMargin = (decimal)ParRate;
FraLeg.LegType = SwapLegType.Fra;
FlowScheduleFra.Flows[0].SettleDate = StartDate;
ForecastCurve = forecastCurve;
DiscountCurve = discountCurve;
FraType = fraType;
PillarDate = FlowScheduleFra.Flows[0].AccrualPeriodEnd;
}
public IrSwap(DateTime startDate, Frequency swapTenor, FloatRateIndex rateIndex, double parRate,
SwapPayReceiveType swapType, string forecastCurve, string discountCurve)
{
SwapTenor = swapTenor;
ResetFrequency = rateIndex.ResetTenor;
StartDate = startDate;
EndDate = StartDate.AddPeriod(rateIndex.RollConvention, rateIndex.HolidayCalendars, SwapTenor);
ParRate = parRate;
BasisFloat = rateIndex.DayCountBasis;
BasisFixed = rateIndex.DayCountBasisFixed;
SwapType = swapType;
FixedLeg = new GenericSwapLeg(StartDate, swapTenor, rateIndex.HolidayCalendars, rateIndex.Currency,
ResetFrequency, BasisFixed)
{
FixedRateOrMargin = (decimal)parRate,
LegType = SwapLegType.Fixed,
Nominal = 1e6M * (swapType == SwapPayReceiveType.Payer ? -1.0M : 1.0M)
};
FloatLeg = new GenericSwapLeg(StartDate, swapTenor, rateIndex.HolidayCalendars, rateIndex.Currency,
ResetFrequency, BasisFloat)
{
FixedRateOrMargin = 0.0M,
LegType = SwapLegType.Float,
Nominal = 1e6M * (swapType == SwapPayReceiveType.Payer ? 1.0M : -1.0M)
};
FlowScheduleFixed = FixedLeg.GenerateSchedule();
FlowScheduleFloat = FloatLeg.GenerateSchedule();
ResetDates = FlowScheduleFloat.Flows.Select(x => x.FixingDateStart).ToArray();
ForecastCurve = forecastCurve;
DiscountCurve = discountCurve;
}
public ForwardRateAgreement(DateTime valDate, string fraCode, double parRate, FloatRateIndex rateIndex, SwapPayReceiveType payRec, FraDiscountingType fraType, string forecastCurve, string discountCurve)
{
var code = fraCode.ToUpper().Split('X');
StartDate = valDate.AddPeriod(rateIndex.RollConvention, rateIndex.HolidayCalendars, new Frequency(code[0] + "M"));
ResetDate = StartDate.AddPeriod(RollType.P, rateIndex.HolidayCalendars, rateIndex.FixingOffset);
EndDate = new TenorDateRelative(rateIndex.ResetTenor);
ParRate = parRate;
Basis = rateIndex.DayCountBasis;
PayRec = payRec;
FraLeg = new GenericSwapLeg(StartDate, EndDate.Date(StartDate, rateIndex.RollConvention, rateIndex.HolidayCalendars), rateIndex.HolidayCalendars, rateIndex.Currency, rateIndex.ResetTenor, Basis)
{
FixedRateOrMargin = (decimal)ParRate
};
FlowScheduleFra = FraLeg.GenerateSchedule();
FraLeg.FixedRateOrMargin = (decimal)ParRate;
FraLeg.LegType = SwapLegType.Fra;
FlowScheduleFra.Flows[0].SettleDate = StartDate;
ForecastCurve = forecastCurve;
DiscountCurve = discountCurve;
FraType = fraType;
}
