public SwapLeg Bump(int bp)
{
if (!(Coupon is FixedCoupon))
{
return(this);
}
else
{
var newCoupon = new FixedCoupon((Coupon as FixedCoupon).FixedRate + bp * 0.0001);
return(new SwapLeg(StartDate, UnderlyingMaturityDate, Notional, NotionalExchange, Currency, newCoupon, Calendar, PaymentFreq, PaymentStub, DayCount, PaymentBda, SettlmentGap, FirstPaymentDate, TerminationDate, TerminationAmount));
}
}
public override Bond GenerateInstrument()
{
ICoupon coupon = null;
var calendar = string.IsNullOrEmpty(TradeInfo.Calendar) ? CalendarImpl.Get("chn_ib") : TradeInfo.Calendar.ToCalendarImpl();
if (TradeInfo is FixedRateBondInfo)
{
var tempTradeInfo = (FixedRateBondInfo)TradeInfo;
coupon = new FixedCoupon(tempTradeInfo.FixedCoupon);
}
else if (TradeInfo is FloatingRateBondInfo)
{
var tempTradeInfo = (FloatingRateBondInfo)TradeInfo;
var index = new Index(tempTradeInfo.Index.ToIndexType(), tempTradeInfo.ResetAverageDays, tempTradeInfo.ResetCompound.ToCouponCompound(), tempTradeInfo.ResetRateDigits);
var dayCount = tempTradeInfo.ResetDC.ToDayCountImpl();
var stub = tempTradeInfo.ResetStub.ToStub();
var bda = tempTradeInfo.ResetBD.ToBda();
var floatingCouponResetTerm = new Term(tempTradeInfo.ResetTerm);
var resetFrequency = tempTradeInfo.PaymentFreq.ToFrequency();
if (floatingCouponResetTerm.Equals(resetFrequency.GetTerm()))
{
floatingCouponResetTerm = null;
}
var resetToFixingGap = new DayGap(tempTradeInfo.ResetToFixingGap);
coupon = new FloatingCoupon(
index,
calendar,
dayCount,
tempTradeInfo.Spread,
floatingCouponResetTerm,
stub,
bda,
resetToFixingGap,
null,
double.IsNaN(tempTradeInfo.FloorRate) ? -100 : tempTradeInfo.FloorRate,
double.IsNaN(tempTradeInfo.CapRate) ? 100 : tempTradeInfo.CapRate,
tempTradeInfo.FloatingCalc.ToFloatingCalcType(),
(double.IsNaN(tempTradeInfo.FloatingRateMultiplier) || tempTradeInfo.FloatingRateMultiplier.IsAlmostZero()) ? 1.0 : tempTradeInfo.FloatingRateMultiplier
);
}
else if (TradeInfo is FixedDateCouonAdjustedBondInfo)
{
var tempTradeInfo = (TradeInfo as FixedDateCouonAdjustedBondInfo);
coupon = new FixedDateAdjustedCoupon(tempTradeInfo.Index.ToIndexType(),
calendar,
tempTradeInfo.DayCount.ToDayCountImpl(),
tempTradeInfo.FixedDateCouponAdjustedStyle.ToFixedDateAdjustedCouponStyle(),
tempTradeInfo.AdjustMmDd,
tempTradeInfo.FloatingRateMultiplier,
tempTradeInfo.Spread
);
}
return(new Bond(
TradeInfo.TradeId,
TradeInfo.StartDate.ToDate(),
TradeInfo.MaturityDate.ToDate(),
TradeInfo.Notional,
string.IsNullOrEmpty(TradeInfo.Currency) ? CurrencyCode.CNY : TradeInfo.Currency.ToCurrencyCode(),
coupon,
calendar,
TradeInfo.PaymentFreq.ToFrequency(),
string.IsNullOrEmpty(TradeInfo.PaymentStub) ? Stub.ShortEnd : TradeInfo.PaymentStub.ToStub(),
string.IsNullOrEmpty(TradeInfo.AccrualDC) ? new ActActIsma() : TradeInfo.AccrualDC.ToDayCount().Get(),
string.IsNullOrEmpty(TradeInfo.DayCount) ? null : TradeInfo.DayCount.ToDayCount().Get(),
TradeInfo.AccrualBD.ToBda(),
TradeInfo.PaymentBD.ToBda(),
string.IsNullOrEmpty(TradeInfo.Settlement) ? new DayGap("+0D") : new DayGap(TradeInfo.Settlement),
string.IsNullOrEmpty(TradeInfo.TradingMarket)
? TradingMarket.ChinaInterBank
: TradeInfo.TradingMarket.ToTradingMarket(),
TradeInfo.StickToEom,
(double.IsNaN(TradeInfo.RedemptionRate) || Math.Abs(TradeInfo.RedemptionRate - 0.0) < double.Epsilon)? null : new Redemption(TradeInfo.RedemptionRate, TradeInfo.RedemptionIncludeLastCoupon ? RedemptionType.SeparatePrincipalWithLastCoupon : RedemptionType.SeparatePrincipal),
TradeInfo.FirstPaymentDate.ToDate(),
TradeInfo.IsZeroCouponBond,
TradeInfo.IssuePrice,
(double.IsNaN(TradeInfo.IssueRate) || TradeInfo.IssueRate <= 0.0) ? double.NaN : TradeInfo.IssueRate,
string.IsNullOrEmpty(TradeInfo.AmortizationType)
? AmortizationType.None
: TradeInfo.AmortizationType.ToAmortizationType(),
TradeInfo.AmoritzationInDate == null
? null
: TradeInfo.AmoritzationInDate.ToDictionary(x => x.Key.ToDate(), x => x.Value),
TradeInfo.AmoritzationInIndex,
TradeInfo.RenormAmortization,
TradeInfo.CompensationRate,
TradeInfo.OptionToCall,
TradeInfo.OptionToPut,
TradeInfo.OptionToAssPut,
TradeInfo.SettlementCoupon.IsAlmostZero() ? double.NaN : TradeInfo.SettlementCoupon,
TradeInfo.RoundCleanPrice
));
}
