/// <summary> /// </summary> /// <returns></returns> public static CapFloor Create(InterestRateStream stream) { CapFloor result = new CapFloor(); result.capFloorStream = stream; return(result); }
public static InterestRateStream GetReceiverStream(CapFloor capFloor, string baseParty) { if (capFloor.capFloorStream.receiverPartyReference.href == baseParty) { return(capFloor.capFloorStream); } throw new Exception(String.Format("No receiver stream was found for the specified receiver : '{0}'", baseParty)); }
public static Money GetPresentValueOfAdditionalPayments(CapFloor capFloor, string baseParty) { List <Money> list = new List <Money>(); if (null != capFloor.additionalPayment) { foreach (Payment payment in capFloor.additionalPayment) { list.AddRange(GetValue(payment.payerPartyReference.href, payment.receiverPartyReference.href, baseParty, payment.presentValueAmount)); } } return(MoneyHelper.Sum(list)); }
public static Money GetFutureValue(CapFloor capFloor, string baseParty) { List <Money> list = new List <Money>(); InterestRateStream stream = capFloor.capFloorStream; Money futureValueOfStream = CashflowsHelper.GetForecastValue(stream.cashflows); list.AddRange(GetValue(stream.payerPartyReference.href, stream.receiverPartyReference.href, baseParty, futureValueOfStream)); Money futureValueOfAdditionalPayments = GetValueOfAdditionalPayments(capFloor, baseParty); list.Add(futureValueOfAdditionalPayments); return(MoneyHelper.Sum(list)); }
public static Money GetPayPresentValueOfAdditionalPayments(CapFloor capFloor, string baseParty) { List <Money> valueList = new List <Money>(); if (null != capFloor.additionalPayment) { foreach (Payment payment in capFloor.additionalPayment) { if (baseParty == payment.payerPartyReference.href) { valueList.Add(payment.presentValueAmount); } } } return(MoneyHelper.Sum(valueList)); }
public static Money GetPayFutureValue(CapFloor capFloor, string baseParty) { List <Money> list = new List <Money>(); InterestRateStream stream = capFloor.capFloorStream; { Money presentValueOfStream = CashflowsHelper.GetForecastValue(stream.cashflows); if (baseParty == stream.payerPartyReference.href) { list.Add(presentValueOfStream); } } Money payFutureValueOfAdditionalPayments = GetPayFutureValueOfAdditionalPayments(capFloor, baseParty); list.Add(payFutureValueOfAdditionalPayments); return(MoneyHelper.Sum(list)); }