/// <summary>
/// Validate deal properties.
/// </summary>
public override void Validate(ICalendarData calendar, ErrorList errors)
{
InitialiseHolidayCalendars(calendar);
var parameters = new CashflowListDateGenerationParameters
{
AccrualCalendar = AccrualHolidayCalendar(),
RateCalendar = RateHolidayCalendar(),
RateOffset = Rate_Offset,
RateAdjustmentMethod = Rate_Adjustment_Method,
RateStickyMonthEnd = Rate_Sticky_Month_End
};
if (fCashflows.FinishBuild(parameters))
{
AddToErrors(errors, ErrorLevel.Info, "Missing cashflow properties have been calculated (Accrual_Year_Fraction, Rate_Start_Date, Rate_End_Date, Rate_Year_Fraction)");
}
base.Validate(calendar, errors);
if (Settlement_Style == SettlementType.Cash && Settlement_Date == 0.0)
{
AddToErrors(errors, "Settlement_Date must be specified when Settlement_Style is Cash");
}
if (Settlement_Amount != 0.0 && Settlement_Date == 0.0)
{
AddToErrors(errors, ErrorLevel.Warning, "Settlement_Amount is not zero but Settlement_Date is not specified so Settlement_Amount has been ignored.");
}
if (fCashflows.Items.Any(cashflow => cashflow.Payment_Date <= Settlement_Date))
{
AddToErrors(errors, "Cashflows must have Payment_Date after Settlement_Date");
}
if (fCashflows.Items.Any(cashflow => cashflow.FX_Reset_Date > 0.0 || cashflow.Known_FX_Rate > 0.0))
{
// Do not support forward deals on cashflow lists with FX_Reset_Date or Known_FX_Rate
if (Settlement_Date > 0.0)
{
AddToErrors(errors, "Cashflow list deal with Settlement_Date cannot have cashflows with FX_Reset_Date or Known_FX_Rate");
}
// Do not support cashflow lists with FX_Reset_Date or Known_FX_Rate under Use_Survival_Probability or Respect_Default
if (!string.IsNullOrEmpty(Issuer))
{
AddToErrors(errors, "Cashflow list deal with Issuer cannot have cashflows with FX_Reset_Date or Known_FX_Rate");
}
}
}
/// <summary>
/// Validates the specified errors.
/// </summary>
public override void Validate(ICalendarData calendar, ErrorList errors)
{
InitialiseHolidayCalendars(calendar);
var parameters = new CashflowListDateGenerationParameters()
{
AccrualDayCount = Accrual_Day_Count,
AccrualCalendar = AccrualHolidayCalendar(),
RateDayCount = Rate_Day_Count,
RateCalendar = RateHolidayCalendar(),
RateOffset = Rate_Offset,
RateAdjustmentMethod = Rate_Adjustment_Method,
RateStickyMonthEnd = Rate_Sticky_Month_End,
};
if (fCashflows.FinishBuild(parameters))
{
AddToErrors(errors, ErrorLevel.Info, "Missing cashflow properties have been calculated (Accrual_Year_Fraction, Rate_Start_Date, Rate_End_Date, Rate_Year_Fraction)");
}
base.Validate(calendar, errors);
if (string.IsNullOrWhiteSpace(Equity))
{
AddToErrors(errors, "Equity must be specified on the deal.");
}
if (string.IsNullOrWhiteSpace(Equity_Currency))
{
AddToErrors(errors, "Equity_Currency must be specified on the deal.");
}
bool equityPayoffInAssetCurrency = string.IsNullOrEmpty(Equity_Payoff_Currency) || Equity_Payoff_Currency == Equity_Currency;
if (!equityPayoffInAssetCurrency && Equity_Payoff_Type == PayoffType.Standard)
{
AddToErrors(errors, ErrorLevel.Error, "Equity_Payoff_Type cannot be Standard when Equity_Payoff_Currency and Equity_Currency are different");
}
else if (equityPayoffInAssetCurrency && Equity_Payoff_Type != PayoffType.Standard)
{
AddToErrors(errors, ErrorLevel.Info, "Payoff_Currency and Currency are the same but Payoff_Type is not Standard");
}
fCashflows.ValidateQuantoCompo(GetEquityPayoffType(), IsCrossCurrency(), errors);
}
/// <summary>
/// Validate deal properties.
/// </summary>
public override void Validate(ICalendarData calendar, ErrorList errors)
{
InitialiseHolidayCalendars(calendar);
var parameters = new CashflowListDateGenerationParameters()
{
AccrualCalendar = AccrualHolidayCalendar(),
RateCalendar = Rate1HolidayCalendar(),
Rate1Calendar = Rate1HolidayCalendar(),
Rate2Calendar = Rate2HolidayCalendar(),
RateOffset = Rate_Offset,
RateAdjustmentMethod = Rate_Adjustment_Method,
RateStickyMonthEnd = Rate_Sticky_Month_End,
};
if (fCashflows.FinishBuild(parameters))
{
AddToErrors(errors, ErrorLevel.Info, "Missing cashflow properties have been calculated (Accrual_Year_Fraction, Rate_Start_Date, Rate1_End_Date, Rate1_Year_Fraction, Rate2_End_Date, Rate2_Year_Fraction)");
}
base.Validate(calendar, errors);
}