/// <summary>
/// Detailed constructor
/// </summary>
/// <param name="curveID"></param>
/// <param name="curveDescription"></param>
public FXSpotConfig(string curveID, string curveDescription) : base(curveID, curveDescription)
{
Utils.QL_REQUIRE(curveID.Length == 6, () => "FXSpot curveID must be of the form Ccy1Ccy2");
Currency ccy1 = Parsers.ParseCurrency(curveID.Substring(0, 3));
Currency ccy2 = Parsers.ParseCurrency(curveID.Substring(3, 3));
_quotes.Add("FX/RATE/" + ccy1.code + "/" + ccy2.code);
}
public virtual void Build()
{
_spotDays = Parsers.ParseInteger(_strSpotDays);
_sourceCurrency = Parsers.ParseCurrency(_strSourceCurrency);
_targetCurrency = Parsers.ParseCurrency(_strTargetCurrency);
_pointsFactor = Parsers.ParseDouble(_strPointsFactor);
_advanceCalendar = _strAdvanceCalendar == "" ? new NullCalendar() : Parsers.ParseCalendar(_strAdvanceCalendar);
_spotRelative = _strSpotRelative == "" ? true : Parsers.ParseBool(_strSpotRelative);
}
public override void Build(EngineFactory engineFactory)
{
Currency boughtCcy = Parsers.ParseCurrency(_boughtCurrency);
Currency soldCcy = Parsers.ParseCurrency(_soldCurrency);
Date maturityDate = Parsers.ParseDate(_maturityDate);
//QL_REQUIRE(tradeActions().empty(), "TradeActions not supported for FxForward");
try
{
//DLOG("Build FxForward with maturity date " << QuantLib::io::iso_date(maturityDate));
QLNet.Instrument instrument = new FxForward(_boughtAmount, boughtCcy, _soldAmount, soldCcy, maturityDate, false);
//instrument_.reset(new VanillaInstrument(instrument));
_npvCurrency = _soldCurrency;
_notional = _soldAmount;
_maturity = maturityDate;
}
catch (Exception ex)
{
//_instrument.reset();
throw;
}
SimpleCashFlow cf1 = new SimpleCashFlow(_boughtAmount, maturityDate);
SimpleCashFlow cf2 = new SimpleCashFlow(_soldAmount, maturityDate);
_legs = new List <List <CashFlow> >()
{
new List <CashFlow> {
cf1, cf2
}
};
_legCurrencies = new List <string> {
_boughtCurrency, _soldCurrency
};
_legPayers = new List <bool> {
false, true
};
// set Pricing engine
EngineBuilder builder = engineFactory.Builder(_tradeType);
QLNet.Utils.QL_REQUIRE(builder != null, () => "No builder found for " + _tradeType);
FxForwardEngineBuilder fxBuilder = builder as FxForwardEngineBuilder;
_instrument.setPricingEngine(fxBuilder.Engine(boughtCcy, soldCcy));
//DLOG("FxForward leg 0: " << legs_[0][0]->date() << " " << legs_[0][0]->amount());
//DLOG("FxForward leg 1: " << legs_[1][0]->date() << " " << legs_[1][0]->amount());
}
public override void FromXML(XmlNode node)
{
CheckNode(node, "FXSpot");
_curveID = GetChildValue(node, "CurveId", true);
Utils.QL_REQUIRE(_curveID.Length == 6, () => "FXSpot curveID must be of the form Ccy1Ccy2");
Currency ccy1 = Parsers.ParseCurrency(_curveID.Substring(0, 3));
Currency ccy2 = Parsers.ParseCurrency(_curveID.Substring(3, 3));
_quotes.Add("FX/RATE/" + ccy1.code + "/" + ccy2.code);
_curveDescription = GetChildValue(node, "CurveDescription", true);
}
public override List <string> Quotes()
{
if (_quotes.Count == 0)
{
List <string> tokens = _swapIndexBase.Split('-').ToList();
Currency ccy = Parsers.ParseCurrency(tokens[0]);
string baseStr = "SWAPTION/" + _volatilityType + "/" + ccy.code + "/";
if (_dimension == Dimension.ATM)
{
foreach (var o in _optionTenors)
{
foreach (var s in _swapTenors)
{
string ss = "";
ss += baseStr + o.ToString() + "/" + s + "/ATM";
_quotes.Add(ss);
}
}
}
else
{
foreach (var o in _smileOptionTenors)
{
foreach (var s in _smileSwapTenors)
{
foreach (var sp in _smileSpreads)
{
string ss = "";
ss += baseStr + o.ToString() + "/" + s + "/Smile/" + sp;
_quotes.Add(ss);
}
}
}
}
}
return(_quotes);
}