public MakeFloatingLoan withType(Loan.Type type)
{
type_ = type;
return this;
}
public MakeCash withAmortising(Loan.Amortising Amortising)
{
amortising_ = Amortising;
return this;
}
public MakeFixedLoan withType(Loan.Type type)
{
type_ = type;
return this;
}
public MakeFloatingLoan withAmortising(Loan.Amortising Amortising)
{
amortising_ = Amortising;
return this;
}
public MakeFixedLoan withAmortising(Loan.Amortising Amortising)
{
amortising_ = Amortising;
return this;
}
public MakeCommercialPaper withType(Loan.Type type)
{
type_ = type;
return this;
}
public MakeCommercialPaper withAmortising(Loan.Amortising Amortising)
{
amortising_ = Amortising;
return this;
}
public MakeCash withType(Loan.Type type)
{
type_ = type;
return this;
}
public CommercialPaper(Loan.Type type, double nominal, Schedule fixedSchedule, double fixedRate, DayCounter fixedDayCount, Schedule principalSchedule, BusinessDayConvention? paymentConvention)
: base(2)
{
type_ = type;
nominal_ = nominal;
fixedSchedule_ = fixedSchedule;
fixedRate_ = fixedRate;
fixedDayCount_ = fixedDayCount;
principalSchedule_ = principalSchedule;
if (paymentConvention.HasValue)
paymentConvention_ = paymentConvention.Value;
else
paymentConvention_ = fixedSchedule_.businessDayConvention();
List<CashFlow> principalLeg = new PricipalLeg(principalSchedule, fixedDayCount)
.withNotionals(nominal)
.withPaymentAdjustment(paymentConvention_)
.withSign(type == Type.Loan ? -1 : 1);
// temporary
for (int i = 0; i < principalLeg.Count - 1; i++)
{
Principal p = (Principal)principalLeg[i];
notionals_.Add(p.nominal());
}
List<CashFlow> fixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedDayCount)
.withPaymentAdjustment(paymentConvention_)
.withNotionals(notionals_);
// Discounting Pricipal
notionals_.Clear();
double n;
for (int i = 0; i < fixedLeg.Count; i++)
{
FixedRateCoupon c = (FixedRateCoupon)fixedLeg[i];
n = i > 0 ? notionals_.Last() : c.nominal();
notionals_.Add(n / (1 + (c.rate() * c.dayCounter().yearFraction(c.refPeriodStart, c.refPeriodEnd))));
}
// New Leg
List<CashFlow> discountedFixedLeg = new FixedRateLeg(fixedSchedule)
.withCouponRates(fixedRate, fixedDayCount)
.withPaymentAdjustment(paymentConvention_)
.withNotionals(notionals_);
// Adjust Principal
Principal p0 = (Principal)principalLeg[0];
p0.setAmount(notionals_.Last());
legs_[0] = discountedFixedLeg;
legs_[1] = principalLeg;
if (type_ == Type.Loan)
{
payer_[0] = +1;
payer_[1] = -1;
}
else
{
payer_[0] = -1;
payer_[1] = +1;
}
}