/// <summary>
/// Builds a fx swap.
/// </summary>
/// <returns></returns>
public static FxSwap Parse(string exchangeCurrency1PayPartyReference, string exchangeCurrency2PayPartyReference,
decimal exchangeCurrency1Amount, string exchangeCurrency1, string exchangeCurrency2, QuoteBasisEnum quoteBasis,
DateTime startValueDate, DateTime forwardValueDate, Decimal startRate, Decimal forwardRate, Decimal?forwardPoints)
{
var fxSwap = new FxSwap
{
Items = new object[] { ProductTypeHelper.Create(ProductTypeSimpleEnum.FxSwap.ToString()) },
ItemsElementName = new[] { ItemsChoiceType2.productType }
};
var leg1 = ParseSpot(exchangeCurrency1PayPartyReference, exchangeCurrency2PayPartyReference, exchangeCurrency1Amount,
exchangeCurrency1, exchangeCurrency2, quoteBasis, startValueDate, startRate);
var leg2 = PriceableFxSwapLeg.ParseForward(exchangeCurrency2PayPartyReference, exchangeCurrency1PayPartyReference, exchangeCurrency1Amount,
exchangeCurrency1, exchangeCurrency2, quoteBasis, forwardValueDate, forwardRate, forwardRate, forwardPoints);
fxSwap.nearLeg = leg1;
fxSwap.farLeg = leg2;
return(fxSwap);
}
public static Trade CreateFxSwap(string tradeId, DateTime tradeDate, string exchangeCurrency1PayPartyReference, string exchangeCurrency2PayPartyReference,
decimal exchangeCurrency1Amount, string exchangeCurrency1, string exchangeCurrency2, QuoteBasisEnum quoteBasis,
DateTime valueDate, Decimal spotRate, Decimal?forwardRate, Decimal?forwardPoints)
{
var trade = new Trade {
id = tradeId, tradeHeader = new TradeHeader()
};
var party1 = PartyTradeIdentifierHelper.Parse(tradeId, "party1");
var party2 = PartyTradeIdentifierHelper.Parse(tradeId, "party2");
trade.tradeHeader.partyTradeIdentifier = new[] { party1, party2 };
trade.tradeHeader.tradeDate = new IdentifiedDate {
Value = tradeDate
};
var nearLeg = new FxSwapLeg();
var farLeg = new FxSwapLeg();
if (forwardRate == null)
{
nearLeg = ParseSpot(exchangeCurrency1PayPartyReference, exchangeCurrency2PayPartyReference, exchangeCurrency1Amount,
exchangeCurrency1, exchangeCurrency2, quoteBasis, valueDate, spotRate);
}
else
{
farLeg = PriceableFxSwapLeg.ParseForward(exchangeCurrency1PayPartyReference, exchangeCurrency2PayPartyReference, exchangeCurrency1Amount,
exchangeCurrency1, exchangeCurrency2, quoteBasis, valueDate, spotRate, (decimal)forwardRate, forwardPoints);
}
var fxSwap = new FxSwap
{
nearLeg = nearLeg,
farLeg = farLeg,
Items = new object[] { ProductTypeHelper.Create(ProductTypeSimpleEnum.FxSwap.ToString()) },
ItemsElementName = new[] { ItemsChoiceType2.productType }
};
FpMLFieldResolver.TradeSetFxSwap(trade, fxSwap);
return(trade);
}
/// <summary>
/// The main constructor.
/// </summary>
/// <param name="fxSwapFpML"></param>
/// <param name="basePartyReference"></param>
public FxSwapPricer(FxSwap fxSwapFpML, string basePartyReference)
{
//BusinessCentersResolver.ResolveBusinessCenters(swapFpML);
Multiplier = 1.0m;
Id = fxSwapFpML.id;
OrderedPartyNames = new List <string>();
//We make the assumption that the termination date is the same for all legs..
var lastDate = new DateTime();
ProductType = ProductTypeSimpleEnum.FxSwap;
PaymentCurrencies = new List <string>();
var tempDate = new DateTime();
var fxSwapStream = fxSwapFpML.nearLeg;
if (fxSwapStream != null)
{
//Set the id of the first stream.
fxSwapStream.id = fxSwapStream.id + "_" + "nearLeg";
var leg = new PriceableFxSwapLeg(fxSwapStream, basePartyReference, ProductTypeSimpleEnum.FxSwap);
Legs.Add(leg);
//Add the currencies for the trade pricer.
if (!PaymentCurrencies.Contains(leg.Currency1.Value))
{
PaymentCurrencies.Add(leg.Currency1.Value);
}
if (!PaymentCurrencies.Contains(leg.Currency2.Value))
{
PaymentCurrencies.Add(leg.Currency2.Value);
}
//find the last date.
tempDate = leg.LastDate();
//Add the payments
Currency1Payments = new List <InstrumentControllerBase>();
Currency2Payments = new List <InstrumentControllerBase>();
Currency1Payments.Add(leg.Currency1Payment);
Currency2Payments.Add(leg.Currency2Payment);
}
fxSwapStream = fxSwapFpML.farLeg;
if (fxSwapStream != null)
{
//Set the id of the first stream.
fxSwapStream.id = fxSwapStream.id + "_" + "farLeg";
var leg = new PriceableFxSwapLeg(fxSwapStream, basePartyReference, ProductTypeSimpleEnum.FxSwap);
Legs.Add(leg);
//Add the currencies for the trade pricer.
if (!PaymentCurrencies.Contains(leg.Currency1.Value))
{
PaymentCurrencies.Add(leg.Currency1.Value);
}
if (!PaymentCurrencies.Contains(leg.Currency2.Value))
{
PaymentCurrencies.Add(leg.Currency2.Value);
}
//Add the payments
Currency1Payments = new List <InstrumentControllerBase>();
Currency2Payments = new List <InstrumentControllerBase>();
Currency1Payments.Add(leg.Currency1Payment);
Currency2Payments.Add(leg.Currency2Payment);
}
if (lastDate < tempDate)
{
lastDate = tempDate;
}
RiskMaturityDate = lastDate;
}
