private static InterestRateStream GetCashflowsSchedule(IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar,
CapFloorLegParametersRange legParametersRange)
{
InterestRateStream stream = InterestRateStreamParametricDefinitionGenerator.GenerateStreamDefinition(legParametersRange);
Cashflows cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(stream, fixingCalendar, paymentCalendar);
stream.cashflows = cashflows;
return(stream);
}
public static CapFloor GeneratedFpMLCapFloor(
ILogger logger, ICoreCache cache,
CapFloorLegParametersRange capFloorParametersRange,
List <InputCashflowRangeItem> capFloorDetailedCashflowsList,
List <InputPrincipalExchangeCashflowRangeItem> capFloorPrincipalExchangeCashflowListArray,
List <AdditionalPaymentRangeItem> capFloorAdditionalPaymentList,
List <FeePaymentRangeItem> feePaymentList
)
{
//Check if the calendars are null. If not build them!
InterestRateStream stream1 = GetCashflowsSchedule(null, null, capFloorParametersRange);//parametric definiton + cashflows schedule
// Update FpML cashflows
//
stream1.cashflows = UpdateCashflowsWithDetailedCashflows(capFloorDetailedCashflowsList);
if (null != capFloorPrincipalExchangeCashflowListArray)
{
// create principal exchanges
//
InterestRateSwapPricer.CreatePrincipalExchangesFromListOfRanges(stream1.cashflows, capFloorPrincipalExchangeCashflowListArray);
}
// Add bullet payments...
//
var bulletPaymentList = new List <Payment>();
if (null != capFloorAdditionalPaymentList)
{
bulletPaymentList.AddRange(capFloorAdditionalPaymentList.Select(bulletPaymentRangeItem =>
new Payment {
payerPartyReference = PartyReferenceFactory.Create(capFloorParametersRange.Payer), receiverPartyReference =
PartyReferenceFactory.Create(capFloorParametersRange.Receiver),
paymentAmount = MoneyHelper.GetNonNegativeAmount(bulletPaymentRangeItem.Amount, bulletPaymentRangeItem.Currency),
paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(bulletPaymentRangeItem.PaymentDate)
}));
}
CapFloor capFloor = CapFloorFactory.Create(stream1);
capFloor.additionalPayment = bulletPaymentList.ToArray();
var feeList = new List <Payment>();
if (null != feePaymentList)
{
feeList.AddRange(feePaymentList.Select(feePaymentRangeItem =>
new Payment
{
paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(feePaymentRangeItem.PaymentDate),
paymentAmount = MoneyHelper.GetNonNegativeAmount(feePaymentRangeItem.Amount, feePaymentRangeItem.Currency), //TODO The currency needs to be added!
payerPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Payer),
receiverPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Receiver)
}));
}
capFloor.premium = feeList.ToArray();
return(capFloor);
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <param name="capFloorLeg"></param>
/// <param name="spreadSchedule"></param>
/// <param name="capOrFloorSchedule"></param>
/// <param name="notionalSchedule"></param>
/// <returns></returns>
public static CapFloor GenerateDefinitionCashflowsAmounts(ILogger logger,
ICoreCache cache, String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
CapFloorLegParametersRange capFloorLeg,
Schedule spreadSchedule,
Schedule capOrFloorSchedule,
NonNegativeAmountSchedule notionalSchedule)
{
var capFloor = GenerateDefinitionCashflows(logger, cache, nameSpace, fixingCalendar, paymentCalendar, capFloorLeg, spreadSchedule, capOrFloorSchedule, notionalSchedule);
return(capFloor);
}
public static CapFloor GenerateDefiniton(CapFloorLegParametersRange 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);
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="capFloorLeg"></param>
/// <param name="nameSpace"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <param name="spreadSchedule"></param>
/// <param name="capOrFloorSchedule"></param>
/// <param name="notionalSchedule"></param>
/// <returns></returns>
public static CapFloor GenerateDefinitionCashflows(ILogger logger, ICoreCache cache,
string nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
CapFloorLegParametersRange capFloorLeg,
Schedule spreadSchedule,
Schedule capOrFloorSchedule,
NonNegativeAmountSchedule notionalSchedule)
{
if (paymentCalendar == null)
{
if (!string.IsNullOrEmpty(capFloorLeg.PaymentCalendar))
{
var payCalendar = BusinessCentersHelper.Parse(capFloorLeg.PaymentCalendar);
paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, payCalendar, nameSpace);
}
}
if (fixingCalendar == null)
{
if (!string.IsNullOrEmpty(capFloorLeg.FixingCalendar))
{
var fixCalendar = BusinessCentersHelper.Parse(capFloorLeg.FixingCalendar);
fixingCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, fixCalendar, nameSpace);
}
}
CapFloor capFloor = GenerateDefiniton(capFloorLeg, spreadSchedule, capOrFloorSchedule, notionalSchedule);
if (null != spreadSchedule)
{
InterestRateStreamParametricDefinitionGenerator.SetSpreadSchedule(capFloor.capFloorStream, spreadSchedule);
}
if (null != notionalSchedule)
{
InterestRateStreamParametricDefinitionGenerator.SetNotionalSchedule(capFloor.capFloorStream, notionalSchedule);
}
if (null != capOrFloorSchedule)
{
if (capFloorLeg.CapOrFloor == CapFloorType.Cap)
{
InterestRateStreamParametricDefinitionGenerator.SetCapRateSchedule(capFloor.capFloorStream, capOrFloorSchedule, true);
}
else
{
InterestRateStreamParametricDefinitionGenerator.SetFloorRateSchedule(capFloor.capFloorStream, capOrFloorSchedule, true);
}
}
capFloor.capFloorStream.cashflows = FixedAndFloatingRateStreamCashflowGenerator.GetCashflows(capFloor.capFloorStream, fixingCalendar, paymentCalendar);
return(capFloor);
}
public static InterestRateStream GenerateStreamDefinition(CapFloorLegParametersRange legParametersRange)
{
InterestRateStream stream = GenerateCapFloorStreamDefinition(legParametersRange);
// Payer/Receiver references
//
stream.payerPartyReference = PartyReferenceFactory.Create(legParametersRange.Payer);
stream.receiverPartyReference = PartyReferenceFactory.Create(legParametersRange.Receiver);
// Principal exchanges
//
stream.principalExchanges = new PrincipalExchanges();
stream.principalExchanges.initialExchange =
stream.principalExchanges.finalExchange =
stream.principalExchanges.intermediateExchange = legParametersRange.GeneratePrincipalExchanges;
return(stream);
}
public static void UpdatePaymentsAmounts(IBusinessCalendar paymentCalendar,
CapFloor capFloor,
CapFloorLegParametersRange capFloorLeg,
IRateCurve discountCurve,
DateTime valuationDate)
{
foreach (Payment payment in capFloor.additionalPayment)
{
var date = AdjustedDateHelper.GetAdjustedDate(paymentCalendar, payment.paymentDate);
if (date != null)
{
payment.discountFactor = (decimal)discountCurve.GetDiscountFactor(valuationDate, (DateTime)date);
payment.discountFactorSpecified = true;
payment.presentValueAmount = MoneyHelper.Mul(payment.paymentAmount, payment.discountFactor);
}
}
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
/// <param name="capFloorLeg"></param>
/// <param name="spreadSchedule"></param>
/// <param name="capOrFloorSchedule"></param>
/// <param name="notionalSchedule"></param>
/// <param name="marketEnvironment"></param>
/// <param name="valuationDate"></param>
/// <returns></returns>
public static CapFloor GenerateDefinitionCashflowsAmounts(ILogger logger,
ICoreCache cache, String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
CapFloorLegParametersRange capFloorLeg,
Schedule spreadSchedule,
Schedule capOrFloorSchedule,
NonNegativeAmountSchedule notionalSchedule,
ISwapLegEnvironment marketEnvironment,
DateTime valuationDate)
{
CapFloor capFloor = GenerateDefinitionCashflows(logger, cache, nameSpace, fixingCalendar, paymentCalendar, capFloorLeg, spreadSchedule, capOrFloorSchedule, notionalSchedule);
IRateCurve payStreamDiscountingCurve = marketEnvironment.GetDiscountRateCurve();
IRateCurve payStreamForecastCurve = marketEnvironment.GetForecastRateCurve();
FixedAndFloatingRateStreamCashflowGenerator.UpdateCashflowsAmounts(capFloor.capFloorStream, payStreamForecastCurve, payStreamDiscountingCurve, valuationDate);
return(capFloor);
}
/// <summary>
///
/// </summary>
/// <param name="leg1Parameters"></param>
/// <param name="leg1PaymentCalendar"> </param>
/// <param name="capStrikeSchedule"></param>
/// <param name="floorStrikeSchedule"> </param>
/// <param name="spreadSchedule"></param>
/// <param name="notionalSchedule"></param>
/// <param name="leg1FixingCalendar"> </param>
/// <returns></returns>
public static Trade CreateTrade(CapFloorLegParametersRange leg1Parameters,
IBusinessCalendar leg1FixingCalendar,
IBusinessCalendar leg1PaymentCalendar,
Schedule capStrikeSchedule,
Schedule floorStrikeSchedule,
Schedule spreadSchedule,
NonNegativeAmountSchedule notionalSchedule)
{
var stream1 = GetCashflowsSchedule(leg1FixingCalendar, leg1PaymentCalendar, leg1Parameters);
if (null != capStrikeSchedule && null != floorStrikeSchedule)
{
InterestRateStreamParametricDefinitionGenerator.SetCapRateSchedule(stream1, capStrikeSchedule, true);
InterestRateStreamParametricDefinitionGenerator.SetFloorRateSchedule(stream1, floorStrikeSchedule, false);
}
if (null != capStrikeSchedule && null == floorStrikeSchedule)
{
InterestRateStreamParametricDefinitionGenerator.SetCapRateSchedule(stream1, capStrikeSchedule, true);
}
if (null == capStrikeSchedule && null != floorStrikeSchedule)
{
InterestRateStreamParametricDefinitionGenerator.SetFloorRateSchedule(stream1, floorStrikeSchedule, true);
}
if (null != spreadSchedule) //for float legs only
{
InterestRateStreamParametricDefinitionGenerator.SetSpreadSchedule(stream1, spreadSchedule);
}
if (null != notionalSchedule)
{
// Set notional schedule
//
InterestRateStreamParametricDefinitionGenerator.SetNotionalSchedule(stream1, notionalSchedule);
}
var capFloor = CapFloorFactory.Create(stream1);
var trade = new Trade();
XsdClassesFieldResolver.TradeSetCapFloor(trade, capFloor);
return(trade);
}
private static InterestRateStream GenerateCapFloorStreamDefinition(CapFloorLegParametersRange legParametersRange)
{
Discounting discounting = null;
InterestRateStream stream;
if (legParametersRange.DiscountingType != null && legParametersRange.DiscountingType.ToUpper() != "NONE")
{
discounting = new Discounting
{
discountingType =
EnumHelper.Parse <DiscountingTypeEnum>(legParametersRange.DiscountingType)
};
stream = InterestRateStreamFactory.CreateFloatingRateStream(DiscountingTypeToPayRelativeTo(discounting.discountingType));
}
// Create the stream object
//
else
{
stream = InterestRateStreamFactory.CreateFloatingRateStream(DiscountingTypeToPayRelativeTo(null));
}
// Set effective and termination dates of the stream.
//
SetEffectiveAndTerminationDates(stream, legParametersRange.EffectiveDate, legParametersRange.MaturityDate, legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
// Adjusted or unadjusted swap
//
stream.calculationPeriodDates.calculationPeriodDatesAdjustments = AdjustedType.Adjusted != legParametersRange.AdjustedType ? BusinessDayAdjustmentsHelper.Create(BusinessDayConventionEnum.NONE, legParametersRange.PaymentCalendar) : BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
stream.calculationPeriodDates.calculationPeriodFrequency = CalculationPeriodFrequencyHelper.Parse(legParametersRange.PaymentFrequency, legParametersRange.RollConvention);
stream.paymentDates.paymentFrequency = PeriodHelper.Parse(legParametersRange.PaymentFrequency).ToFrequency();
stream.paymentDates.paymentDatesAdjustments = BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
stream.resetDates.fixingDates = RelativeDateOffsetHelper.Create(legParametersRange.PaymentFrequency, DayTypeEnum.Business, BusinessDayConventionEnum.NONE.ToString(), legParametersRange.FixingCalendar, "resetDates");//"NONE" & "resedDates" - hardcoded
stream.resetDates.resetFrequency = ResetFrequencyHelper.Parse(legParametersRange.PaymentFrequency);
stream.resetDates.resetDatesAdjustments = BusinessDayAdjustmentsHelper.Create(legParametersRange.FixingBusinessDayAdjustments, legParametersRange.FixingCalendar);
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(stream.calculationPeriodAmount);
// Set discounting type
//
calculation.discounting = discounting;
// Set notional amount (as the initial value in notional schedule)
//
SetNotional(calculation, legParametersRange.NotionalAmount, legParametersRange.Currency);
// Set floating rate index name
//
string indexTenor = legParametersRange.PaymentFrequency;
string indexName = legParametersRange.ForecastIndexName;
FloatingRateCalculation floatingRateCalculation = FloatingRateCalculationFactory.Create(indexName, indexTenor, legParametersRange.FloatingRateSpread);
XsdClassesFieldResolver.CalculationSetFloatingRateCalculation(calculation, floatingRateCalculation);
if (legParametersRange.CapOrFloor == CapFloorType.Cap)
{
floatingRateCalculation.capRateSchedule = new[] { new StrikeSchedule() };
floatingRateCalculation.capRateSchedule[0].initialValue = legParametersRange.StrikeRate;
floatingRateCalculation.capRateSchedule[0].buyer = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Receiver
};
floatingRateCalculation.capRateSchedule[0].seller = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Payer
};
}
else
{
floatingRateCalculation.floorRateSchedule = new[] { new StrikeSchedule() };
floatingRateCalculation.floorRateSchedule[0].initialValue = legParametersRange.StrikeRate;
floatingRateCalculation.floorRateSchedule[0].buyer = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Receiver
};
floatingRateCalculation.floorRateSchedule[0].seller = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Payer
};
}
// Set day count convention
//
calculation.dayCountFraction = DayCountFractionHelper.Parse(legParametersRange.DayCount);
return(stream);
}
