Пример #1
0
 bool CompareLegs(Leg leg1, Leg leg2, MurexProduct murex, bool isFloatFloat,
     bool fullMatch, bool sameRef, ref string unmatchReason, DateTime dt)
 {
     var date = new SimpleDate(dt);
     var time = dt; 
     if (leg1.NotionalCurrency != murex.Currency1)
     {
         if (!sameRef) return false;
         else unmatchReason += "Currency1 ";
     }
     if (leg2.NotionalCurrency != murex.Currency2)
     {
         if (!sameRef) return false;
         else unmatchReason += "Currency2 ";
     }
     if (leg1.StartDate != murex.EffectiveDate &&
         leg1.FirstCalculationPeriodStart != murex.EffectiveDate)
     {
         if (!sameRef) return false;
         else unmatchReason += "SwapStartDate ";
     }
     if (leg1.EndDate != murex.EndDate)
     {
         if (!sameRef) return false;
         else unmatchReason += "SwapEndDate ";
     }
     if (Math.Abs(leg1.CurrentNominal(date, time, false) - murex.Nominal1) > _qtyTolerance)
     {
         if (fullMatch) return false;
         else unmatchReason += "Nominal1 ";
     }
     if (Math.Abs(leg2.CurrentNominal(date, time, false) - murex.Nominal2) > _qtyTolerance)
     {
         if (fullMatch) return false;
         else unmatchReason += "Nominal2 ";
     }
     if (!isFloatFloat && Math.Abs(leg1.FixedRate - murex.FixedRate) > _rateTolerance)
     {
         if (fullMatch) return false;
         else unmatchReason += "FixedRate ";
     }
     if (Math.Abs(leg2.Spread - murex.Spread2) > _rateTolerance)
     {
         if (fullMatch) return false;
         else unmatchReason += "Spread2 ";
     }
     if (leg2.FirstFixing != 0 && Math.Abs(leg2.FirstFixing - murex.FirstFixingRate2) > _rateTolerance)
     {
         if (fullMatch) return false;
         else unmatchReason += "FirstFixing2 ";
     }
     if (isFloatFloat)
     {
         if (Math.Abs(leg1.Spread - murex.Spread1) > _rateTolerance)
         {
             if (fullMatch) return false;
             else unmatchReason += "Spread1 ";
         }
         if (leg1.FirstFixing != 0 && Math.Abs(leg1.FirstFixing - murex.FirstFixingRate1) > _rateTolerance)
         {
             if (fullMatch) return false;
             else unmatchReason += "FirstFixing1 ";
         }
     }
     return true;
 }