/// <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>
///
/// </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");
}
/// <summary>
///
/// </summary>
/// <returns></returns>
public List <DateTime> GetListTermDates()
{
return(point.Select(eachPoint => XsdClassesFieldResolver.TimeDimensionGetDate(eachPoint.term)).ToList());
}