/// <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;
}
