public static FxLeg CreateSpot(string exchangeCurrency1PayPartyReference, string exchangeCurrency2PayPartyReference, decimal exchangeCurrency1Amount,
string exchangeCurrency1, string exchangeCurrency2, QuoteBasisEnum quoteBasis, DateTime valueDate, Decimal spotRate)
{
decimal exchange2Amount;
if (quoteBasis == QuoteBasisEnum.Currency2PerCurrency1)
{
exchange2Amount = exchangeCurrency1Amount * spotRate;
}
else
{
exchange2Amount = exchangeCurrency1Amount / spotRate;
}
var fxforward = new FxLeg
{
exchangedCurrency1 =
PaymentHelper.Create(exchangeCurrency1PayPartyReference,
exchangeCurrency2PayPartyReference, exchangeCurrency1,
exchangeCurrency1Amount),
exchangedCurrency2 =
PaymentHelper.Create(exchangeCurrency2PayPartyReference,
exchangeCurrency1PayPartyReference, exchangeCurrency2,
exchange2Amount),
Items = new[] { valueDate },
exchangeRate =
ExchangeRate.Create(exchangeCurrency1, exchangeCurrency2, quoteBasis, spotRate),
ItemsElementName = new[] { ItemsChoiceType15.valueDate }
};
return(fxforward);
}
/// <summary>
/// Gets and sets the required pricing structures to value this leg.
/// </summary>
public override List <String> GetRequiredPricingStructures()
{
var result = new List <String>();
var putCurrency = PaymentHelper.Create(buyerPartyReference.href, sellerPartyReference.href, putCurrencyAmount.currency.Value, putCurrencyAmount.amount, valueDate);
var callCurrency = PaymentHelper.Create(sellerPartyReference.href, buyerPartyReference.href, callCurrencyAmount.currency.Value, callCurrencyAmount.amount, valueDate);
result.AddRange(putCurrency.GetRequiredPricingStructures());
result.AddRange(callCurrency.GetRequiredPricingStructures());
result.AddRange(GetRequiredVolatilitySurfaces());
if (fxOptionPremium != null)
{
foreach (var premium in fxOptionPremium)
{
var ps = premium.GetRequiredPricingStructures();
result.AddRange(ps);
}
}
return(result.Distinct().ToList());
}
/// <summary>
///
/// </summary>
/// <param name="hasExpired"></param>
/// <param name="putCurrencyPayPartyReference"></param>
/// <param name="callCurrencyPayPartyReference"></param>
/// <param name="putCurrencyAmount"></param>
/// <param name="putCurrency"></param>
/// <param name="callCurrencyAmount"></param>
/// <param name="callCurrency"></param>
/// <param name="strikeQuoteBasis"></param>
/// <param name="valueDate"></param>
/// <param name="fxRate"></param>
/// <returns></returns>
public static FxLeg CreateFxLeg(bool hasExpired, string putCurrencyPayPartyReference, string callCurrencyPayPartyReference, decimal putCurrencyAmount,
string putCurrency, decimal callCurrencyAmount, string callCurrency, StrikeQuoteBasisEnum strikeQuoteBasis, DateTime valueDate, Decimal fxRate)
{
QuoteBasisEnum quoteBasis = strikeQuoteBasis == StrikeQuoteBasisEnum.CallCurrencyPerPutCurrency ? QuoteBasisEnum.Currency2PerCurrency1 : QuoteBasisEnum.Currency1PerCurrency2;
ExchangeRate exchangeRate = hasExpired ? ExchangeRate.Create(putCurrency, callCurrency, quoteBasis, fxRate)
: ExchangeRate.Create(putCurrency, callCurrency, quoteBasis, fxRate, fxRate, null);
var fxforward = new FxLeg
{
exchangedCurrency1 =
PaymentHelper.Create(putCurrencyPayPartyReference, callCurrencyPayPartyReference,
putCurrency, putCurrencyAmount),
exchangedCurrency2 =
PaymentHelper.Create(callCurrencyPayPartyReference, putCurrencyPayPartyReference,
callCurrency, callCurrencyAmount),
Items = new[] { valueDate },
exchangeRate = exchangeRate,
ItemsElementName = new[] { ItemsChoiceType15.valueDate }
};
return(fxforward);
}
