public static ExchangeRate Create(string currency1, string currency2, QuoteBasisEnum quoteBasis, Decimal spotRate, Decimal forwardRate, Decimal?forwardPoints) { var exchangeRate = new ExchangeRate { quotedCurrencyPair = QuotedCurrencyPair.Create(currency1, currency2, quoteBasis), rate = forwardRate, spotRate = spotRate }; if (forwardPoints != null) { exchangeRate.forwardPointsField = (decimal)forwardPoints; } return(exchangeRate); }
/// <summary> /// /// </summary> /// <param name="hasExpired"></param> /// <param name="putCurrencyPayPartyReference"></param> /// <param name="callCurrencyPayPartyReference"></param> /// <param name="putCurrencyAmount"></param> /// <param name="putCurrency"></param> /// <param name="callCurrencyAmount"></param> /// <param name="callCurrency"></param> /// <param name="strikeQuoteBasis"></param> /// <param name="valueDate"></param> /// <param name="fxRate"></param> /// <returns></returns> public static FxSingleLeg CreateFxSingleLeg(bool hasExpired, string putCurrencyPayPartyReference, string callCurrencyPayPartyReference, decimal putCurrencyAmount, string putCurrency, decimal callCurrencyAmount, string callCurrency, StrikeQuoteBasisEnum strikeQuoteBasis, DateTime valueDate, Decimal fxRate) { QuoteBasisEnum quoteBasis = strikeQuoteBasis == StrikeQuoteBasisEnum.CallCurrencyPerPutCurrency ? QuoteBasisEnum.Currency2PerCurrency1 : QuoteBasisEnum.Currency1PerCurrency2; ExchangeRate exchangeRate = hasExpired ? ExchangeRate.Create(putCurrency, callCurrency, quoteBasis, fxRate) : ExchangeRate.Create(putCurrency, callCurrency, quoteBasis, fxRate, fxRate, null); var fxforward = new FxSingleLeg { exchangedCurrency1 = PaymentHelper.Create(putCurrencyPayPartyReference, callCurrencyPayPartyReference, putCurrency, putCurrencyAmount), exchangedCurrency2 = PaymentHelper.Create(callCurrencyPayPartyReference, putCurrencyPayPartyReference, callCurrency, callCurrencyAmount), Items1 = new[] { valueDate }, Items1ElementName = new[] { Items1ChoiceType.valueDate }, exchangeRate = exchangeRate, }; return(fxforward); }