/// <summary>
/// Gets and sets the required pricing structures to value this leg.
/// </summary>
public List <String> GetRequiredPricingStructures()
{
var result = new List <String>();
if (calculationPeriodAmount.Item is Calculation amount)
{
var currency = XsdClassesFieldResolver.CalculationGetNotionalSchedule(amount);
if (currency?.notionalStepSchedule != null)
{
var discountCurve = CurveNameHelpers.GetDiscountCurveName(currency.notionalStepSchedule.currency, true);
result.Add(discountCurve);
}
if (amount.Items[0] is FloatingRateCalculation floatingRateCalculation)
{
result.Add(CurveNameHelpers.GetForecastCurveName(floatingRateCalculation.floatingRateIndex, floatingRateCalculation.indexTenor));
}
}
//TODO
if (stubCalculationPeriodAmount != null)
{
if (stubCalculationPeriodAmount.initialStub?.Items != null)
{
result.AddRange(from value in stubCalculationPeriodAmount.initialStub.Items
where value is Money
select CurveNameHelpers.GetDiscountCurveName(((Money)value).currency, true));
}
if (stubCalculationPeriodAmount.finalStub?.Items != null)
{
result.AddRange(from value in stubCalculationPeriodAmount.finalStub.Items
where value is Money
select CurveNameHelpers.GetDiscountCurveName(((Money)value).currency, true));
}
}
return(result);
}
/// <summary>
/// Updates forecastRate, forecastPaymentAmount, discountFactor and presentValueAmount of each paymentCalculation period.
/// </summary>
/// <param name="interestRateStream">The interest rate stream.</param>
/// <param name="forecastCurve">The forecast curve.</param>
/// <param name="discountCurve">The discount curve.</param>
/// <param name="valuationDate">The valuation date.</param>
public static void UpdateCashflowsAmounts(InterestRateStream interestRateStream,
IRateCurve forecastCurve, IRateCurve discountCurve,
DateTime valuationDate)
{
//FixAfterManualUpdate(interestRateStream);//should it be removed, since it might produce subtle errors which will be effectively hidden.
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(interestRateStream.calculationPeriodAmount);
UpdateNumberOfDaysAndYearFraction(new List <PaymentCalculationPeriod>(interestRateStream.cashflows.paymentCalculationPeriod), calculation);
FloatingRateCalculation floatingRateCalculation =
XsdClassesFieldResolver.CalculationHasFloatingRateCalculation(calculation)
? XsdClassesFieldResolver.CalculationGetFloatingRateCalculation(calculation) : null;
// calculate forecast payment amount for each payment calculation period
//
foreach (PaymentCalculationPeriod period in interestRateStream.cashflows.paymentCalculationPeriod)
{
CalculateForecastPaymentAmount(calculation, floatingRateCalculation, period, forecastCurve, discountCurve, valuationDate);
}
// principle exchanges
//
if (interestRateStream.cashflows.principalExchange != null)
{
foreach (PrincipalExchange principalExchange in interestRateStream.cashflows.principalExchange)
{
CalculateForecastPaymentAmount(principalExchange, discountCurve, valuationDate);
}
}
}
public static ValuationReport Generate(string valuationId, string baseParty, Fra fra, Market market, AssetValuation assetValuation)
{
var valuationReport = new ValuationReport
{
header = new NotificationMessageHeader
{
messageId = new MessageId
{
Value
=
valuationId
}
},
market = market
};
// Associate id with the valuation
//
var tradeValuationItem = new TradeValuationItem();
valuationReport.tradeValuationItem = new[] { tradeValuationItem };
var trade = new Trade();
XsdClassesFieldResolver.TradeSetFra(trade, fra);
tradeValuationItem.Items = new object[] { trade };
tradeValuationItem.valuationSet = new ValuationSet
{
baseParty = PartyReferenceFactory.Create(baseParty),
assetValuation = new[] { assetValuation }
};
return(valuationReport);
}
private static void UpdateCashflowsWithDetailedCashflows(Cashflows cashflows, IEnumerable <DetailedCashflowRangeItem> listDetailedCashflows /*, bool fixedLeg*/)
{
var paymentCalculationPeriods = new List <PaymentCalculationPeriod>();
foreach (DetailedCashflowRangeItem detailedCashflowRangeItem in listDetailedCashflows)
{
var paymentCalculationPeriod = new PaymentCalculationPeriod();
var calculationPeriod = new CalculationPeriod();
paymentCalculationPeriod.Items = new object[] { calculationPeriod };
paymentCalculationPeriod.adjustedPaymentDate = detailedCashflowRangeItem.PaymentDate;
paymentCalculationPeriod.adjustedPaymentDateSpecified = true;
PaymentCalculationPeriodHelper.SetCalculationPeriodStartDate(paymentCalculationPeriod, detailedCashflowRangeItem.StartDate);
PaymentCalculationPeriodHelper.SetCalculationPeriodEndDate(paymentCalculationPeriod, detailedCashflowRangeItem.EndDate);
// Update notional amount
//
PaymentCalculationPeriodHelper.SetNotionalAmount(paymentCalculationPeriod, (decimal)detailedCashflowRangeItem.NotionalAmount);
if (detailedCashflowRangeItem.CouponType == "Fixed")
{
//CalculationPeriod calculationPeriod = PaymentCalculationPeriodHelper.GetCalculationPeriods(paymentCalculationPeriod)[0];
//if (XsdClassesFieldResolver.CalculationPeriod_HasFixedRate(calculationPeriod))
//{
// Fixed->Fixed
//
//PaymentCalculationPeriodHelper.SetRate(paymentCalculationPeriod, (decimal)detailedCashflowRangeItem.Rate);
XsdClassesFieldResolver.SetCalculationPeriodFixedRate(calculationPeriod, (decimal)detailedCashflowRangeItem.Rate);
//}
//else if (XsdClassesFieldResolver.CalculationPeriod_HasFloatingRateDefinition(calculationPeriod))
// {
// // Float->Fixed
// //
// PaymentCalculationPeriodHelper.ReplaceFloatingRateWithFixedRate(paymentCalculationPeriod, (decimal)detailedCashflowRangeItem.Rate);
// }
// else
// {
// throw new NotImplementedException();
// }
}
else if (detailedCashflowRangeItem.CouponType == "Float")
{
// Create floating rate definiton...
//
var floatingRateDefinition = new FloatingRateDefinition();
//XsdClassesFieldResolver.CalculationPeriod_SetFloatingRateDefinition(calculationPeriod, floatingRateDefinition);
calculationPeriod.Item1 = floatingRateDefinition;
// After the spread is reset - we need to update calculated rate.
//
PaymentCalculationPeriodHelper.SetSpread(paymentCalculationPeriod, (decimal)detailedCashflowRangeItem.Spread);
}
else
{
string message = $"Unsupported coupon type '{detailedCashflowRangeItem.CouponType}";
throw new System.Exception(message);
}
paymentCalculationPeriods.Add(paymentCalculationPeriod);
}
cashflows.cashflowsMatchParameters = false;
cashflows.paymentCalculationPeriod = paymentCalculationPeriods.ToArray();
}
public static void SetFloorRateSchedule(InterestRateStream stream, Schedule floorRateShedule, bool isReceiverBuyer)
{
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(stream.calculationPeriodAmount);
FloatingRateCalculation floatingRateCalculation = XsdClassesFieldResolver.CalculationGetFloatingRateCalculation(calculation);
var schedule = new StrikeSchedule
{
initialValue = floorRateShedule.initialValue,
step = floorRateShedule.step
};
floatingRateCalculation.floorRateSchedule = new[] { schedule };
if (isReceiverBuyer)
{
floatingRateCalculation.floorRateSchedule[0].buyer = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Receiver
};
floatingRateCalculation.floorRateSchedule[0].seller = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Payer
};
}
else
{
floatingRateCalculation.floorRateSchedule[0].buyer = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Payer
};
floatingRateCalculation.floorRateSchedule[0].seller = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Receiver
};
}
}
internal static void AddOtherPartyPayments(ValuationReport valuationReport, List <OtherPartyPaymentRangeItem> otherPartyPaymentList)
{
var otherPartyPayments = new List <Payment>();
// other party payments
//
if (null != otherPartyPaymentList)
{
foreach (OtherPartyPaymentRangeItem item in otherPartyPaymentList)
{
var otherPartyPayment = new Payment
{
payerPartyReference =
PartyReferenceFactory.Create(item.Payer),
receiverPartyReference =
PartyReferenceFactory.Create(item.Receiver),
paymentAmount = MoneyHelper.GetNonNegativeAmount(item.Amount),
paymentDate = AdjustableOrAdjustedDateHelper.CreateAdjustedDate(item.PaymentDate),
paymentType = PaymentTypeHelper.Create(item.PaymentType)
};
otherPartyPayments.Add(otherPartyPayment);
}
}
TradeValuationItem valuationItem = valuationReport.tradeValuationItem[0];
Trade[] tradeArray = XsdClassesFieldResolver.TradeValuationItemGetTradeArray(valuationItem);
Trade trade = tradeArray[0];
trade.otherPartyPayment = otherPartyPayments.ToArray();
}
public string CacheFraTrade(ILogger logger, ICoreCache cache, string fraId, FraInputRange fraInputRange)
{
var fra = ProductFactory.GetFpMLFra(fraInputRange);
var trade = new Trade();
XsdClassesFieldResolver.TradeSetFra(trade, fra);
cache.SaveObject(trade, fraId, null);
return(fraId);
}
public static ValuationReport Generate(string valuationId, string baseParty,
string tradeId, DateTime tradeDate,
Swap swap, Market market,
AssetValuation assetValuation)
{
var valuationReport = new ValuationReport
{
header = new NotificationMessageHeader
{
messageId = new MessageId
{
Value
=
valuationId
}
},
market = market
};
// Associate id with the valuation
//
var tradeValuationItem = new TradeValuationItem();
valuationReport.tradeValuationItem = new[] { tradeValuationItem };
//Party nabParty = PartyFactory.Create("Party1");
//Party counterParty = PartyFactory.Create(_counterpartyName);
//
// valuationReport.party = new Party[] { nabParty, counterParty };
// PartyOrAccountReference nabPartyReference = PartyOrAccountReferenceFactory.Create(nabParty.id);
// PartyOrAccountReference counterPartyReference = PartyOrAccountReferenceFactory.Create(counterParty.id);
// // NAB is the payer of pay paystream and receiver of receive stream
// //
// SwapHelper.GetPayerStream(swap).payerPartyReference = nabPartyReference;
// SwapHelper.GetReceiverStream(swap).receiverPartyReference = nabPartyReference;
//
// // CounterParty is the receiver of paystream and payer of receivestream
// //
// SwapHelper.GetPayStream(swap).receiverPartyReference = counterPartyReference;
// SwapHelper.GetReceiveStream(swap).payerPartyReference = counterPartyReference;
var trade = new Trade();
// Generate trade header
//
TradeHeader tradeHeader = CreateTradeHeader(tradeDate, tradeId);
trade.tradeHeader = tradeHeader;
XsdClassesFieldResolver.TradeSetSwap(trade, swap);
tradeValuationItem.Items = new object[] { trade };
tradeValuationItem.valuationSet = new ValuationSet
{
baseParty = PartyReferenceFactory.Create(baseParty),
assetValuation = new[] { assetValuation }
};
return(valuationReport);
}
private static void SetFirstPeriodStartDate(InterestRateStream stream,
AdjustableDate firstPeriodStartDate)
{
if (firstPeriodStartDate != null)
{
XsdClassesFieldResolver.CalculationPeriodDatesSetFirstPeriodStartDate(
stream.calculationPeriodDates, firstPeriodStartDate);
}
}
private static void SetLastRegularPeriodEndDate(InterestRateStream stream,
DateTime lastRegularPeriodEndDate)
{
if (lastRegularPeriodEndDate != new DateTime())
{
XsdClassesFieldResolver.CalculationPeriodDatesSetLastRegularPeriodEndDate(
stream.calculationPeriodDates, lastRegularPeriodEndDate);
}
}
private static void SetFirstRegularPeriodStartDate(InterestRateStream stream,
DateTime firstRegularPeriodStartDate)
{
if (firstRegularPeriodStartDate != new DateTime())
{
XsdClassesFieldResolver.CalculationPeriodDatesSetFirstRegularPeriodStartDate(
stream.calculationPeriodDates, firstRegularPeriodStartDate);
}
}
//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 void SetNotionalSchedule(InterestRateStream stream, AmountSchedule amountSchedule)
//{
// Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmount_GetCalculation(stream.calculationPeriodAmount);
// var notional = new Notional { notionalStepSchedule = amountSchedule };
// XsdClassesFieldResolver.Calculation_SetNotionalSchedule(calculation, notional);
//}
public static void SetNotionalSchedule(InterestRateStream stream, NonNegativeAmountSchedule amountSchedule)
{
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(stream.calculationPeriodAmount);
var notional = new Notional {
notionalStepSchedule = amountSchedule
};
XsdClassesFieldResolver.CalculationSetNotionalSchedule(calculation, notional);
}
private static void UpdateStubCalculationPeriodData(InterestRateStream interestRateStream, CalculationPeriod stubCalculationPeriod, StubValue stubValue, Notional notinalSchedule)
{
StubCalculationPeriodAmountHelper.UpdateStubCalculationPeriod(interestRateStream, stubCalculationPeriod, stubValue);
decimal notional = NotionalHelper.GetNotionalValue(notinalSchedule, stubCalculationPeriod.adjustedStartDate);
// Notinal amount
//
XsdClassesFieldResolver.CalculationPeriodSetNotionalAmount(stubCalculationPeriod, notional);
}
public static void SetSpreadSchedule(InterestRateStream stream, Schedule spreadShedule)
{
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(stream.calculationPeriodAmount);
FloatingRateCalculation floatingRateCalculation = XsdClassesFieldResolver.CalculationGetFloatingRateCalculation(calculation);
var schedule = new SpreadSchedule {
initialValue = spreadShedule.initialValue, step = spreadShedule.step
};
floatingRateCalculation.spreadSchedule = new[] { schedule };
}
/// <summary>
///
/// </summary>
/// <returns></returns>
public List <string> GetRequiredCurrencies()
{
var result = new List <string>();
var item = XsdClassesFieldResolver.CalculationGetNotionalSchedule((Calculation)calculationPeriodAmount.Item);
if (item?.notionalStepSchedule?.currency != null)
{
result.Add(item.notionalStepSchedule.currency.Value);
}
return(result);
}
///<summary>
/// Gets all the Forecast curve name.
///</summary>
///<returns></returns>
public static string GetRateVolatilityMatrixName(Swap swap)
{
AdjustableDate adjustableEffectiveDate = XsdClassesFieldResolver.CalculationPeriodDatesGetEffectiveDate(swap.swapStream[0].calculationPeriodDates);
AdjustableDate adjustableTerminationDate = XsdClassesFieldResolver.CalculationPeriodDatesGetTerminationDate(swap.swapStream[0].calculationPeriodDates);
var years = adjustableTerminationDate.unadjustedDate.Value.Year - adjustableEffectiveDate.unadjustedDate.Value.Year;
var calculation = (Calculation)swap.swapStream[0].calculationPeriodAmount.Item;
var notional = XsdClassesFieldResolver.CalculationGetNotionalSchedule(calculation);
var currency = notional.notionalStepSchedule.currency.Value;
return(PricingStructureTypeEnum.RateVolatilityMatrix + "." + currency + "-IRSwap-" + years + "Y");
}
public static Trade CreateFraTrade(FraInputRange2 fraInputRange)
{
var trade = new Trade();
var fra = new Fra
{
adjustedEffectiveDate =
DateTypesHelper.ToRequiredIdentifierDate(fraInputRange.AdjustedEffectiveDate),
adjustedTerminationDate = fraInputRange.AdjustedTerminationDate,
adjustedTerminationDateSpecified = true,
paymentDate =
DateTypesHelper.ToAdjustableDate(fraInputRange.UnadjustedPaymentDate,
fraInputRange.PaymentDateBusinessDayConvention,
fraInputRange.PaymentDateBusinessCenters),
Items = new object[] { new ProductType {
Value = ProductTypeSimpleEnum.FRA.ToString()
} },
ItemsElementName = new[] { ItemsChoiceType2.productType }
};
if ("resetDate" != fraInputRange.FixingDayOffsetDateRelativeTo)
{
throw new ArgumentException("The fixing date must be specified as 'resetDate'-relative!", nameof(fraInputRange));
}
var fixingDayType = EnumHelper.Parse <DayTypeEnum>(fraInputRange.FixingDayOffsetDayType);
fra.fixingDateOffset = RelativeDateOffsetHelper.Create(fraInputRange.FixingDayOffsetPeriod, fixingDayType,
fraInputRange.FixingDayOffsetBusinessDayConvention,
fraInputRange.FixingDayOffsetBusinessCenters,
fraInputRange.FixingDayOffsetDateRelativeTo);
fra.dayCountFraction = DayCountFractionHelper.Parse(fraInputRange.DayCountFraction);
IDayCounter dayCounter = DayCounterHelper.Parse(fra.dayCountFraction.Value);
fra.calculationPeriodNumberOfDays = dayCounter.DayCount(fra.adjustedEffectiveDate.Value, fra.adjustedTerminationDate).ToString(CultureInfo.InvariantCulture);
fra.notional = MoneyHelper.GetAmount(fraInputRange.NotionalAmount, fraInputRange.NotionalCurrency);
fra.fixedRate = (decimal)fraInputRange.FixedRate;
fra.fixedRateSpecified = true;
fra.floatingRateIndex = FloatingRateIndexHelper.Parse(fraInputRange.FloatingRateIndex);
fra.indexTenor = new[] { PeriodHelper.Parse(fraInputRange.IndexTenor) };
fra.fraDiscounting = fraInputRange.FraDiscounting;
fra.fraDiscountingSpecified = true;
PartyReference party1 = PartyReferenceFactory.Create("party1");
PartyReference party2 = PartyReferenceFactory.Create("party2");
fra.sellerPartyReference = party1;
fra.buyerPartyReference = party2;
if (bool.Parse(fraInputRange.IsParty1Buyer))
{
fra.sellerPartyReference = party2;
fra.buyerPartyReference = party1;
}
XsdClassesFieldResolver.TradeSetFra(trade, fra);
trade.id = fraInputRange.TradeId;
return(trade);
}
/// <summary>
/// Initializes a new instance of the <see cref="CommoditySpreadCurve2"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="referenceCurveData">The market data. This must contain both the underlying base curve and the spread curve.
/// Otherwise the RateBasisInterpolator can not instantiate.</param>
/// <param name="spreadCurveData">The spread Curve Data</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public CommoditySpreadCurve2(ILogger logger, ICoreCache cache, String nameSpace,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> referenceCurveData,
Triplet <PricingStructure, PricingStructureValuation, NamedValueSet> spreadCurveData, IBusinessCalendar rollCalendar)
: base(spreadCurveData.Third, GenerateHolder(logger, cache, nameSpace, spreadCurveData.Third))
{
PricingStructureData = new PricingStructureData(CurveType.Child, AssetClass.Rates, spreadCurveData.Third);
//Set the identifier.
var nvs = spreadCurveData.Third;
var pricingStructureId = GetCommodityCurveId();
var refCurveId = PropertyHelper.ExtractReferenceCurveUniqueId(nvs);
ReferenceCurveId = refCurveId != null ? new Identifier(refCurveId) : ReferenceCurveId = null;
if (pricingStructureId.PricingStructureType != PricingStructureTypeEnum.CommoditySpreadCurve)
{
return;
}
//Set the reference curve
var baseCurveFpml = new Pair <PricingStructure, PricingStructureValuation>(referenceCurveData.First, referenceCurveData.Second);
var baseCurveProps = referenceCurveData.Third;
BaseCurve = (ICommodityCurve)PricingStructureFactory.Create(logger, cache, nameSpace, rollCalendar, rollCalendar, baseCurveFpml, baseCurveProps);
//Get the spread Data
var spreadCurveFpml = new Pair <PricingStructure, PricingStructureValuation>(spreadCurveData.First, spreadCurveData.Second);
//Override properties.
//var optimize = PropertyHelper.ExtractOptimizeBuildFlag(properties);
var bootstrap = PropertyHelper.ExtractBootStrapOverrideFlag(nvs);
var tempFpml = (FxCurveValuation)spreadCurveFpml.Second;
var spreadAssets = tempFpml.spotRate;
//This is to catch it when there are no discount factor points.
var discountsAbsent = tempFpml.fxForwardCurve == null ||
tempFpml.fxForwardCurve.point == null ||
tempFpml.fxForwardCurve.point.Length == 0;
if (bootstrap || discountsAbsent)
{
//There must be a valid quotedassetset in order to bootstrap.
if (!XsdClassesFieldResolver.QuotedAssetSetIsValid(spreadAssets))
{
return;
}
PriceableCommoditySpreadAssets =
PriceableAssetFactory.CreatePriceableCommoditySpreadAssets(logger, cache, nameSpace, pricingStructureId.BaseDate, spreadAssets, rollCalendar);
Build(logger, cache, nameSpace, rollCalendar, rollCalendar);
}
else
{
// the discount curve is already built, so don't rebuild
PriceableCommoditySpreadAssets = PriceableAssetFactory.CreatePriceableCommoditySpreadAssets(logger, cache, nameSpace, pricingStructureId.BaseDate, spreadAssets, rollCalendar);
//Order the assets.
PriceableCommoditySpreadAssets = PriceableCommoditySpreadAssets.OrderBy(a => a.GetRiskMaturityDate()).ToList();
CreatePricingStructure(pricingStructureId, tempFpml.fxForwardCurve, PriceableAssetFactory.Parse(PriceableCommoditySpreadAssets));
//SetInterpolator(BaseCurve, pricingStructureId.PricingStructureType);
}
}
private static void SetEffectiveAndTerminationDates(InterestRateStream stream,
DateTime rawEffectiveDate,
DateTime rawTerminationDate,
string terminationDateBusinessDayAdjustements,
string terminationDateBusinessDayCalendar)
{
AdjustableDate effectiveDate = DateTypesHelper.ToAdjustableDate(rawEffectiveDate);
XsdClassesFieldResolver.CalculationPeriodDatesSetEffectiveDate(stream.calculationPeriodDates, effectiveDate);
AdjustableDate terminationDate = DateTypesHelper.ToAdjustableDate(rawTerminationDate, terminationDateBusinessDayAdjustements, terminationDateBusinessDayCalendar);
XsdClassesFieldResolver.CalculationPeriodDatesSetTerminationDate(stream.calculationPeriodDates, terminationDate);
}
private static Cashflows GetCashfows(
InterestRateStream interestRateStream, CalculationPeriodsPrincipalExchangesAndStubs calculationPeriodsPrincipalExchangesAndStubs,
IBusinessCalendar paymentCalendar)
{
// Assign notionals, rates, cap/floor rate, etc
//
StreamCashflowsGenerator.UpdateCalculationPeriodsData(interestRateStream, calculationPeriodsPrincipalExchangesAndStubs);
List <PaymentCalculationPeriod> paymentCalculationPeriods = StreamCashflowsGenerator.GetPaymentCalculationPeriods(interestRateStream, calculationPeriodsPrincipalExchangesAndStubs, paymentCalendar);
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(interestRateStream.calculationPeriodAmount);
UpdateNumberOfDaysAndYearFraction(paymentCalculationPeriods, calculation);
return(CashflowsFactory.Create(paymentCalculationPeriods, calculationPeriodsPrincipalExchangesAndStubs.GetAllPrincipalExchanges(), true));//TODO THe cashflowsmatch paraqmeter at the end could be a problem!
}
public string CacheFraTradeWithProperties(ILogger logger, ICoreCache cache, FraInputRange fraInputRange, NamedValueSet properties)
{
var fra = ProductFactory.GetFpMLFra(fraInputRange);
var trade = new Trade();
XsdClassesFieldResolver.TradeSetFra(trade, fra);
//Get the id.
ProductIdentifier = new FpML.V5r10.Reporting.Identifiers.TradeIdentifier(properties);
var fraId = ProductIdentifier.UniqueIdentifier;
//Cache the trade.
cache.SaveObject(trade, fraId, properties);
return(fraId);
}
private static TradeHeader CreateTradeHeader(DateTime tradeDate, string tradeId)
{
var tradeHeader = new TradeHeader
{
tradeDate = IdentifiedDateHelper.Create(TradeProp.TradeDate, tradeDate),
partyTradeIdentifier = new[] { new PartyTradeIdentifier() }
};
var tradeIdAsObject = new TradeId {
tradeIdScheme = "FpML", Value = tradeId
};
XsdClassesFieldResolver.TradeIdentifierSetTradeId(tradeHeader.partyTradeIdentifier[0], tradeIdAsObject);
return(tradeHeader);
}
private static void UpdateNumberOfDaysAndYearFraction(IEnumerable <PaymentCalculationPeriod> paymentCalculationPeriods, Calculation calculation)
{
foreach (PaymentCalculationPeriod pcp in paymentCalculationPeriods)
{
// set the calculationPeriodNumberOfDays and dayCountYearFraction fields
//
foreach (CalculationPeriod calculationPeriod in XsdClassesFieldResolver.GetPaymentCalculationPeriodCalculationPeriodArray(pcp))
{
IDayCounter dayCounter = DayCounterHelper.Parse(calculation.dayCountFraction.Value);
calculationPeriod.calculationPeriodNumberOfDays = dayCounter.DayCount(calculationPeriod.adjustedStartDate, calculationPeriod.adjustedEndDate).ToString(CultureInfo.InvariantCulture);
calculationPeriod.dayCountYearFraction = (decimal)dayCounter.YearFraction(calculationPeriod.adjustedStartDate, calculationPeriod.adjustedEndDate);
calculationPeriod.dayCountYearFractionSpecified = true;
}
}
}
private static string GetCouponType(PaymentCalculationPeriod pcalculationPeriod)
{
CalculationPeriod calculationPeriod = PaymentCalculationPeriodHelper.GetCalculationPeriods(pcalculationPeriod)[0];
FloatingRateDefinition floatingRateDefinition = XsdClassesFieldResolver.CalculationPeriodGetFloatingRateDefinition(calculationPeriod);
// If has a Cap rate, finalRate = MAX(0, FinalRate - CapRate)
//
if (null != floatingRateDefinition.capRate)
{
return("Cap");
}
// If has a Floor rate, finalRate = MAX(0, FloorRate - FinalRate)
//
if (null != floatingRateDefinition.floorRate)
{
return("Floor");
}
throw new System.Exception("Invalid coupond type. Only Cap & Floor coupons are expected here.");
}
public static Trade CreateFraTrade(string tradeId, RequiredIdentifierDate adjustedEffectiveDate, DateTime adjustedTerminationDate,
AdjustableDate paymentDate, RelativeDateOffset fixingDayOffset, DayCountFraction dayCountFraction, decimal notionalAmount,
string notionalCurrency, decimal fixedRate, string floatingRateIndex, string indexTenor, FraDiscountingEnum fraDiscounting)
{
var trade = new Trade();
var fra = new Fra
{
adjustedEffectiveDate = adjustedEffectiveDate,
adjustedTerminationDate = adjustedTerminationDate,
adjustedTerminationDateSpecified = true,
paymentDate = paymentDate,
Items = new object[] { new ProductType {
Value = ProductTypeSimpleEnum.FRA.ToString()
} },
ItemsElementName = new[] { ItemsChoiceType2.productType }
};
if ("resetDate" != fixingDayOffset.dateRelativeTo.href)
{
throw new ArgumentException("The fixing date must be specified as 'resetDate'-relative!", nameof(fixingDayOffset));
}
fra.fixingDateOffset = fixingDayOffset;
fra.dayCountFraction = dayCountFraction;
IDayCounter dayCounter = DayCounterHelper.Parse(fra.dayCountFraction.Value);
fra.calculationPeriodNumberOfDays = dayCounter.DayCount(fra.adjustedEffectiveDate.Value, fra.adjustedTerminationDate).ToString(CultureInfo.InvariantCulture);
fra.notional = MoneyHelper.GetAmount(notionalAmount, notionalCurrency);
fra.fixedRate = fixedRate;
fra.fixedRateSpecified = true;
fra.floatingRateIndex = FloatingRateIndexHelper.Parse(floatingRateIndex);
fra.indexTenor = new[] { PeriodHelper.Parse(indexTenor) };
fra.fraDiscounting = fraDiscounting;
fra.fraDiscountingSpecified = true;
PartyReference party1 = PartyReferenceFactory.Create("party1");
PartyReference party2 = PartyReferenceFactory.Create("party2");
fra.sellerPartyReference = party2;
fra.buyerPartyReference = party1;
XsdClassesFieldResolver.TradeSetFra(trade, fra);
trade.id = tradeId;
return(trade);
}
public static Trade CreateSwaptionTrade(SwaptionParametersRange swaptionParametersRange, IBusinessCalendar paymentCalendar, Swap underlyingSwap)
{
var 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(underlyingSwap, premium, swaptionParametersRange.PremiumPayer, swaptionParametersRange.PremiumReceiver,
paymentDate, expirationDate,
earliestExerciseTime, expirationTime, swaptionParametersRange.AutomaticExcercise);
swaption.Items = new object[] { new ProductType {
Value = ProductTypeSimpleEnum.InterestRateSwaption.ToString()
} };
swaption.ItemsElementName = new[] { ItemsChoiceType2.productType };
var trade = new Trade();
XsdClassesFieldResolver.TradeSetSwaption(trade, swaption);
return(trade);
}
/// <summary>
///
/// </summary>
/// <param name="leg1Parameters"></param>
/// <param name="leg1PaymentCalendar"> </param>
/// <param name="capStrikeSchedule"></param>
/// <param name="floorStrikeSchedule"> </param>
/// <param name="spreadSchedule"></param>
/// <param name="notionalSchedule"></param>
/// <param name="leg1FixingCalendar"> </param>
/// <returns></returns>
public static Trade CreateTrade(CapFloorLegParametersRange leg1Parameters,
IBusinessCalendar leg1FixingCalendar,
IBusinessCalendar leg1PaymentCalendar,
Schedule capStrikeSchedule,
Schedule floorStrikeSchedule,
Schedule spreadSchedule,
NonNegativeAmountSchedule notionalSchedule)
{
var stream1 = GetCashflowsSchedule(leg1FixingCalendar, leg1PaymentCalendar, leg1Parameters);
if (null != capStrikeSchedule && null != floorStrikeSchedule)
{
InterestRateStreamParametricDefinitionGenerator.SetCapRateSchedule(stream1, capStrikeSchedule, true);
InterestRateStreamParametricDefinitionGenerator.SetFloorRateSchedule(stream1, floorStrikeSchedule, false);
}
if (null != capStrikeSchedule && null == floorStrikeSchedule)
{
InterestRateStreamParametricDefinitionGenerator.SetCapRateSchedule(stream1, capStrikeSchedule, true);
}
if (null == capStrikeSchedule && null != floorStrikeSchedule)
{
InterestRateStreamParametricDefinitionGenerator.SetFloorRateSchedule(stream1, floorStrikeSchedule, true);
}
if (null != spreadSchedule) //for float legs only
{
InterestRateStreamParametricDefinitionGenerator.SetSpreadSchedule(stream1, spreadSchedule);
}
if (null != notionalSchedule)
{
// Set notional schedule
//
InterestRateStreamParametricDefinitionGenerator.SetNotionalSchedule(stream1, notionalSchedule);
}
var capFloor = CapFloorFactory.Create(stream1);
var trade = new Trade();
XsdClassesFieldResolver.TradeSetCapFloor(trade, capFloor);
return(trade);
}
public static ValuationReport Generate(string valuationId, string baseParty,
string tradeId, DateTime tradeDate,
Swaption swaption, Market market, AssetValuation assetValuation)
{
var valuationReport = new ValuationReport
{
header = new NotificationMessageHeader
{
messageId = new MessageId
{
Value
=
valuationId
}
},
market = market
};
// Associate id with the valuation
//
var tradeValuationItem = new TradeValuationItem();
valuationReport.tradeValuationItem = new[] { tradeValuationItem };
// Generate trade header
//
var trade = new Trade();
TradeHeader tradeHeader = CreateTradeHeader(tradeDate, tradeId);
trade.tradeHeader = tradeHeader;
XsdClassesFieldResolver.TradeSetSwaption(trade, swaption);
tradeValuationItem.Items = new object[] { trade };
tradeValuationItem.valuationSet = new ValuationSet
{
baseParty = PartyReferenceFactory.Create(baseParty),
assetValuation = new[] { assetValuation }
};
return(valuationReport);
}
/// <summary>
///
/// </summary>
/// <returns></returns>
public List <DateTime> GetListTermDates()
{
return(point.Select(eachPoint => XsdClassesFieldResolver.TimeDimensionGetDate(eachPoint.term)).ToList());
}