public void SetResultToCurrentState()
{
if (AreDatesLinked)
{
Result = new InventoryEntry(SelectedItemType,
Enumerable.Repeat(ExpiryDates.First().DateTimeOffset.DateTime, SelectedCountIndex + 1));
}
else
{
Result = new InventoryEntry(SelectedItemType, ExpiryDates.Select(x => x.DateTimeOffset.DateTime));
}
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableSimpleIRCap"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="interestRateCap">An interest Rate Cap.</param>
/// <param name="properties">THe properies, including strike information.</param>
/// <param name="fixingCalendar">The fixing Calendar.</param>
/// <param name="paymentCalendar">The payment Calendar.</param>
/// <param name="marketQuotes">The market Quote: premium, normal flat volatility or lognormal flat volatility.</param>
public PriceableSimpleIRCap(DateTime baseDate, SimpleIRCapNodeStruct interestRateCap, NamedValueSet properties,
IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar, BasicAssetValuation marketQuotes)
: base(baseDate, interestRateCap.DateAdjustments, ReversePeriodMultiplier(interestRateCap.SpotDate), interestRateCap.Calculation, marketQuotes)
{
Id = interestRateCap.SimpleIRCap.id;
IsCap = true;
SimpleIRCap = interestRateCap.SimpleIRCap;
var spotDate = GetSpotDate(baseDate, fixingCalendar, interestRateCap.SpotDate);
if (SimpleIRCap != null)
{
var unadjustedDates =
Analytics.Schedulers.DateScheduler.GetUnadjustedDateSchedule(spotDate, SimpleIRCap.term,
SimpleIRCap.paymentFrequency);
AdjustedPeriodDates = AdjustedDateScheduler.GetAdjustedDateSchedule(unadjustedDates,
PaymentBusinessDayAdjustments.businessDayConvention, paymentCalendar);
//Adjust for the spot period backwards!
ExpiryDates = AdjustedDateScheduler.GetAdjustedDateSchedule(AdjustedPeriodDates,
FixingBusinessDayOffset, fixingCalendar);
//Remove the last date, which is not an expiry date.
ExpiryDates.RemoveAt(ExpiryDates.Count - 1);
TimesToExpiry = GetTimesToExpiry(ExpiryDates, baseDate);
//Set the strike scalar. This must be after the number of expiry dates has been set.
var quotes = new List <BasicQuotation>(marketQuotes.quote);
//For the default cap the spot rate is used.
SetQuote("SpotRate", quotes);
//If the strike is not provided it must be calculated!!
SetQuote("Strike", quotes);
//Set the spot date.
AdjustedStartDate = AdjustedPeriodDates[0];
RiskMaturityDate = ExpiryDates[ExpiryDates.Count - 1];
OptionsExpiryDate = ExpiryDates[ExpiryDates.Count - 1];
if (Strike != null && Strikes == null)
{
Strikes = CreateList((decimal)Strike, TimesToExpiry.Count);
}
if (Notionals == null)
{
Notionals = CreateList(InitialNotional, TimesToExpiry.Count);
}
}
if (ExpiryDates[0] <= BaseDate)
{
IncludeFirstPeriod = false;
}
if (DiscountingType != null)
{
ModelIdentifier = "DiscountCapAsset";
}
}
public void GridView_SelectionChanged(object sender, SelectionChangedEventArgs e)
{
int value = Convert.ToInt32(((GridViewItem)e.AddedItems.FirstOrDefault()).Content);
var dateTimes = new List <DateTimeOffsetWrapper>(value);
for (int i = 0; i < value; i++)
{
dateTimes.Add(new DateTimeOffsetWrapper {
DateTimeOffset = DateTime.Today
});
}
using (ExpiryDates.SuspendCount())
using (ExpiryDates.SuspendNotifications())
{
ExpiryDates.Clear();
ExpiryDates.AddRange(dateTimes);
}
}
