/// <summary>
///
/// </summary>
/// <param name="leg1Parameters"></param>
/// <param name="leg2Parameters"></param>
/// <returns></returns>
public static Swap GenerateDefiniton(
SwapLegParametersRange leg1Parameters,
SwapLegParametersRange leg2Parameters)
{
InterestRateStream stream1 = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(leg1Parameters);
InterestRateStreamHelper.SetPayerAndReceiver(stream1, leg1Parameters.Payer, leg1Parameters.Receiver);
InterestRateStream stream2 = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(leg2Parameters);
InterestRateStreamHelper.SetPayerAndReceiver(stream2, leg2Parameters.Payer, leg2Parameters.Receiver);
return(SwapFactory.Create(stream1, stream2));
}
public static CapFloor GenerateDefiniton(CapFloorLegParametersRange_Old capFloorLeg,
Schedule spreadSchedule,
Schedule capOrFloorSchedule,
NonNegativeSchedule notionalSchedule)
{
InterestRateStream capFloorStream = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(capFloorLeg);
InterestRateStreamHelper.SetPayerAndReceiver(capFloorStream, capFloorLeg.Payer, capFloorLeg.Receiver);
var capFloor = new CapFloor {
capFloorStream = capFloorStream
};
return(capFloor);
}