public static AdjustableOrAdjustedDate CreateUnadjustedDate(DateTime unadjustedDate, BusinessDayAdjustments businessDayAdjustments)
{
var date = new AdjustableOrAdjustedDate();
var identifiedDate = IdentifiedDateHelper.Create(ItemsChoiceType.unadjustedDate.ToString(), unadjustedDate);
object[] items;
ItemsChoiceType[] itemsElementName;
if (businessDayAdjustments != null)
{
items = new object[2];
items[0] = identifiedDate;
items[1] = businessDayAdjustments;
itemsElementName = new ItemsChoiceType[2];
itemsElementName[0] = ItemsChoiceType.unadjustedDate;
itemsElementName[1] = ItemsChoiceType.dateAdjustments;
}
else
{
items = new object[1];
items[0] = identifiedDate;
itemsElementName = new ItemsChoiceType[1];
itemsElementName[0] = ItemsChoiceType.unadjustedDate;
}
date.Items = items;
date.ItemsElementName = itemsElementName;
return(date);
}
public static AdjustableOrAdjustedDate Create(DateTime?unadjustedDate, DateTime?adjustedDate, BusinessDayAdjustments businessDayAdjustments)
{
var date = new AdjustableOrAdjustedDate();
var items = new List <object>();
var itemsElementName = new List <ItemsChoiceType>();
if (unadjustedDate == null && adjustedDate == null)
{
return(date);
}
if (unadjustedDate != null)
{
items.Add(IdentifiedDateHelper.Create(ItemsChoiceType.unadjustedDate.ToString(), (DateTime)unadjustedDate));
itemsElementName.Add(ItemsChoiceType.unadjustedDate);
}
if (adjustedDate != null)
{
items.Add(IdentifiedDateHelper.Create(ItemsChoiceType.adjustedDate.ToString(), (DateTime)adjustedDate));
itemsElementName.Add(ItemsChoiceType.adjustedDate);
}
if (businessDayAdjustments != null)
{
items.Add(businessDayAdjustments);
itemsElementName.Add(ItemsChoiceType.dateAdjustments);
}
date.Items = items.ToArray();
date.ItemsElementName = itemsElementName.ToArray();
return(date);
}
/// <summary>
///
/// </summary>
/// <param name="uniqueId"></param>
/// <param name="payerIsBase"></param>
/// <param name="accrualStartDate"></param>
/// <param name="accrualEndDate"></param>
/// <param name="adjustCalculationDatesIndicator"></param>
/// <param name="paymentDate"></param>
/// <param name="notionalAmount"></param>
/// <param name="resetRelativeTo"></param>
/// <param name="fixingDateRelativeOffset"></param>
/// <param name="margin"></param>
/// <param name="calculation"></param>
/// <param name="forecastRateIndex"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
public PriceableFloatingRateCoupon
(string uniqueId
, bool payerIsBase
, DateTime accrualStartDate
, DateTime accrualEndDate
, Boolean adjustCalculationDatesIndicator
, AdjustableOrAdjustedDate paymentDate
, Money notionalAmount
, ResetRelativeToEnum resetRelativeTo
, RelativeDateOffset fixingDateRelativeOffset
, Decimal margin
, Calculation calculation
, ForecastRateIndex forecastRateIndex
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: this
(uniqueId
, payerIsBase
, accrualStartDate
, accrualEndDate
, adjustCalculationDatesIndicator
, paymentDate
, notionalAmount
, resetRelativeTo
, fixingDateRelativeOffset
, margin
, 0.0m
, calculation
, forecastRateIndex
, fixingCalendar
, paymentCalendar)
{
}
/// <summary>
/// Derives the adjusted date if not already provided.
/// </summary>
/// <param name="adjustableOrAdjustedDate">this may contain the adjustedDate, an unadjusted Date and business Centre</param>
/// <param name="businessCalendar">THe business calendar must be provided, no namespace is required and can be null</param>
/// <returns></returns>
public static DateTime?GetAdjustedDate(IBusinessCalendar businessCalendar, AdjustableOrAdjustedDate adjustableOrAdjustedDate)
{
var result = AdjustableOrAdjustedDateHelper.Contains(adjustableOrAdjustedDate, ItemsChoiceType.adjustedDate, out var date);
if (result)
{
return(((IdentifiedDate)date).Value);
}
result = AdjustableOrAdjustedDateHelper.Contains(adjustableOrAdjustedDate, ItemsChoiceType.unadjustedDate, out date);
var bda = AdjustableOrAdjustedDateHelper.Contains(adjustableOrAdjustedDate, ItemsChoiceType.dateAdjustments, out var businessDayAdjustments);
if (result && date != null)
{
DateTime unadjustedDate = ((IdentifiedDate)date).Value;
if (bda && businessCalendar != null)
{
if (businessDayAdjustments is BusinessDayAdjustments adjustments)
{
return(businessCalendar.Roll(unadjustedDate, adjustments.businessDayConvention));
}
}
return(unadjustedDate);
}
return(null);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableFixedRateCoupon"/> class.
/// </summary>
/// <param name="uniqueId">The unique id.</param>
/// <param name="payerIsBase">The payer is base flag.</param>
/// <param name="accrualStartDate">The accrual start date. If they are adjusted then set <c>adjustCalculationDatesIndicator</c> to <c>false</c> [adjust calculation dates indicator].</param>
/// <param name="accrualEndDate">The accrual end date. If they are adjusted then set <c>adjustCalculationDatesIndicator</c> to <c>false</c> [adjust calculation dates indicator].</param>
/// <param name="adjustCalculationDatesIndicator">if set to <c>true</c> [adjust calculation dates indicator].</param>
/// <param name="accrualDayAdjustments">The accrual business day adjustments.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="calculation">The fixed rate calculation.</param>
/// <param name="notionalAmount">The notional amount.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
public PriceableFixedRateCoupon
(
string uniqueId
, bool payerIsBase
, DateTime accrualStartDate
, DateTime accrualEndDate
, bool adjustCalculationDatesIndicator
, BusinessDayAdjustments accrualDayAdjustments
, AdjustableOrAdjustedDate paymentDate
, Calculation calculation
, Money notionalAmount
, IBusinessCalendar paymentCalendar)
: base
(uniqueId
, CouponType.FixedRate
, payerIsBase
, accrualStartDate
, accrualEndDate
, adjustCalculationDatesIndicator
, accrualDayAdjustments
, calculation
, notionalAmount
, paymentDate
, paymentCalendar)
{
Id = uniqueId;
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableRateCoupon"/> class.
/// </summary>
/// <param name="cashflowId">The stream id.</param>
/// <param name="payerIsBase">The payer is base flag.</param>
/// <param name="accrualStartDate">The accrual start date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="accrualEndDate">The accrual end date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="adjustCalculationDatesIndicator">if set to <c>true</c> [adjust calculation dates indicator].</param>
/// <param name="accrualBusinessCenters">The accrual business centers.</param>
/// <param name="fixedRate">The fixed rate.</param>
/// <param name="notionalAmount">The notional amount.</param>
/// <param name="dayCountFraction">Type of day Count fraction.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="accrualRollConvention">The accrual roll convention.</param>
/// <param name="discountingType">The swap discounting type.</param>
/// <param name="discountRate">The discount rate.</param>
/// <param name="fraDiscounting">Determines whether the coupon is discounted or not. If this parameter is null,
/// then it is assumed that there is no fra discounting</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
public PriceableFixedRateCoupon
(
string cashflowId
, bool payerIsBase
, DateTime accrualStartDate
, DateTime accrualEndDate
, bool adjustCalculationDatesIndicator
, BusinessCenters accrualBusinessCenters
, BusinessDayConventionEnum accrualRollConvention
, DayCountFraction dayCountFraction
, decimal fixedRate
, Money notionalAmount
, AdjustableOrAdjustedDate paymentDate
, DiscountingTypeEnum?discountingType
, decimal?discountRate
, FraDiscountingEnum?fraDiscounting
, IBusinessCalendar paymentCalendar)
: base(cashflowId, CouponType.FixedRate, payerIsBase, accrualStartDate, accrualEndDate, adjustCalculationDatesIndicator,
accrualBusinessCenters, accrualRollConvention, dayCountFraction, fixedRate, notionalAmount, paymentDate,
discountingType, discountRate, fraDiscounting, paymentCalendar)
{
Id = cashflowId;
CalculatePaymentAmount(0);
ForecastAmount = PaymentAmount;
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableFxRateCashflow"/> class.
/// </summary>
/// <param name="cashlfowId">The stream id.</param>
/// <param name="payerIsBase">The payer is base flag.</param>
/// <param name="accrualStartDate">The accrual start date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="accrualEndDate">The accrual end date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="adjustAccrualDatesIndicator">if set to <c>true</c> [adjust calculation dates indicator].</param>
/// <param name="accrualBusinessCenters">The accrual business centers.</param>
/// <param name="margin">The margin.</param>
/// <param name="baseRate">The base rate for a nettable fixed/floating cash flow. </param>
/// <param name="observedRate">The observed Rate.</param>
/// <param name="notionalAmount">The notional amount.</param>
/// <param name="dayCountfraction">Type of day Countfraction.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="accrualRollConvention">The accrual roll convention.</param>
/// <param name="resetRelativeTo">reset relative to?</param>
/// <param name="fixingDateRelativeOffset">The fixing date offset.</param>
/// <param name="forecastRateIndex">The forecastrateindex.</param>
/// <param name="discountingType">The swap discounting type.</param>
/// <param name="discountRate">The discount rate.</param>
/// <param name="fraDiscounting">Determines whether the coupon is discounted or not. If this parameter is null,
/// then it is assumed that there is no fradiscounting</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
public PriceableFloatingRateCoupon
(
string cashlfowId
, bool payerIsBase
, DateTime accrualStartDate
, DateTime accrualEndDate
, Boolean adjustAccrualDatesIndicator
, BusinessCenters accrualBusinessCenters
, BusinessDayConventionEnum accrualRollConvention
, DayCountFraction dayCountfraction
, ResetRelativeToEnum resetRelativeTo
, RelativeDateOffset fixingDateRelativeOffset
, Decimal margin
, Decimal baseRate
, Decimal?observedRate
, Money notionalAmount
, AdjustableOrAdjustedDate paymentDate
, ForecastRateIndex forecastRateIndex
, DiscountingTypeEnum?discountingType
, Decimal?discountRate
, FraDiscountingEnum?fraDiscounting
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: base(
cashlfowId
, CouponType.FloatingRate
, payerIsBase
, accrualStartDate
, accrualEndDate
, adjustAccrualDatesIndicator
, accrualBusinessCenters
, accrualRollConvention
, dayCountfraction
, observedRate
, notionalAmount
, paymentDate
, discountingType
, discountRate
, fraDiscounting
, paymentCalendar)
{
BaseRate = baseRate;
FixingCalendar = fixingCalendar;
ModelIdentifier = "DualCurveCouponModel";
Id = cashlfowId;
ForwardStartDate = AccrualStartDate;
ForecastRateIndex = forecastRateIndex;
FixingDateRelativeOffset = fixingDateRelativeOffset;
ResetRelativeTo = resetRelativeTo;
Margin = margin;
AdjustedFixingDate = GetResetDate(resetRelativeTo, fixingDateRelativeOffset);
if (observedRate != null)
{
RateObservation = RateObservationHelper.Parse(AdjustedFixingDate, (decimal)observedRate, "1");
}
SetRateObservation(RateObservation, ResetDate);
ForecastCurveName = CurveNameHelpers.GetForecastCurveName(forecastRateIndex);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceablePrincipalExchange"/> class.
/// </summary>
/// <param name="id">The identifier.</param>
/// <param name="payerIsBase">The payerIsBase flag.</param>
/// <param name="amount">The amount.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
public BulletPaymentPricer
(
string id
, bool payerIsBase
, Money amount
, AdjustableOrAdjustedDate paymentDate
, IBusinessCalendar paymentCalendar) :
base(id, "DiscountedCashflow", payerIsBase, amount, paymentDate,
PaymentTypeHelper.Create("Certain"), CashflowTypeHelper.Create(CashflowTypeEnum.PrincipalExchange.ToString()),
false, paymentCalendar)
{
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableCapFloorCoupon"/> class.
/// </summary>
/// <param name="uniqueId"></param>
/// <param name="buyerIsBase">The buyer is base flag.</param>
/// <param name="capStrike">The Cap strike.</param>
/// <param name="floorStrike">The floor strike.</param>
/// <param name="accrualStartDate"></param>
/// <param name="accrualEndDate"></param>
/// <param name="adjustCalculationDatesIndicator"></param>
/// <param name="paymentDate"></param>
/// <param name="notionalAmount"></param>
/// <param name="resetRelativeTo"></param>
/// <param name="fixingDateRelativeOffset"></param>
/// <param name="margin"></param>
/// <param name="calculation"></param>
/// <param name="forecastRateIndex"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
public PriceableCapFloorCoupon
(string uniqueId
, bool buyerIsBase
, decimal?capStrike
, decimal?floorStrike
, DateTime accrualStartDate
, DateTime accrualEndDate
, Boolean adjustCalculationDatesIndicator
, AdjustableOrAdjustedDate paymentDate
, Money notionalAmount
, ResetRelativeToEnum resetRelativeTo
, RelativeDateOffset fixingDateRelativeOffset
, Decimal margin
, Calculation calculation
, ForecastRateIndex forecastRateIndex
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: base
(uniqueId
, buyerIsBase
, accrualStartDate
, accrualEndDate
, adjustCalculationDatesIndicator
, paymentDate
, notionalAmount
, resetRelativeTo
, fixingDateRelativeOffset
, margin
, calculation
, forecastRateIndex
, fixingCalendar
, paymentCalendar)
{
CapStrike = capStrike;
FloorStrike = floorStrike;
VolatilitySurfaceName = CurveNameHelpers.GetRateVolatilityMatrixName(forecastRateIndex);
if (capStrike != null && floorStrike == null)
{
PriceableCouponType = CouponType.Cap;
ModelIdentifier = "DualCurveCapModel";
IsCall = true;
}
if (floorStrike != null && capStrike == null)
{
PriceableCouponType = CouponType.Floor;
ModelIdentifier = "DualCurveFloorModel";
}
if (floorStrike != null && capStrike != null)
{
PriceableCouponType = CouponType.Collar;
ModelIdentifier = "DualCurveCollarModel";
}
}
public static AdjustableOrAdjustedDate CreateUnadjustedDate(DateTime unadjustedDate)
{
var date = new AdjustableOrAdjustedDate();
var identifiedDate = IdentifiedDateHelper.Create("UnadjustedDate", unadjustedDate);
var items = new object[1];
items[0] = identifiedDate;
date.Items = items;
var itemsElementName = new ItemsChoiceType[1];
itemsElementName[0] = ItemsChoiceType.unadjustedDate;
date.ItemsElementName = itemsElementName;
return(date);
}
private static AdjustableOrAdjustedDate CreateAdjustedDate(DateTime adjustedDate)
{
var date = new AdjustableOrAdjustedDate();
var identifiedDate = CreateIdentifiedDate("AdjustedDate", adjustedDate);
var items = new object[1];
items[0] = identifiedDate;
date.Items = items;
var itemsElementName = new ItemsChoiceType1[1];
itemsElementName[0] = ItemsChoiceType1.adjustedDate;
date.ItemsElementName = itemsElementName;
return(date);
}
public static AdjustableOrAdjustedDate CreateUnadjustedDate(DateTime unadjustedDate)
{
var date = new AdjustableOrAdjustedDate();
var identifiedDate = ProductTypeHelper.IdentifiedDateHelper.Create(ItemsChoiceType1.unadjustedDate.ToString(), unadjustedDate);
var items = new object[1];
items[0] = identifiedDate;
date.Items = items;
var itemsElementName = new ItemsChoiceType1[1];
itemsElementName[0] = ItemsChoiceType1.unadjustedDate;
date.ItemsElementName = itemsElementName;
return(date);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableFxRateCashflow"/> class.
/// </summary>
/// <param name="cashlfowId">The stream id.</param>
/// <param name="payerIsBase">The payer is base flag.</param>
/// <param name="accrualStartDate">The accrual start date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="accrualEndDate">The accrual end date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="adjustAccrualDatesIndicator">if set to <c>true</c> [adjust calculation dates indicator].</param>
/// <param name="accrualBusinessCenters">The accrual business centers.</param>
/// <param name="margin">The margin.</param>
/// <param name="observedRate">The observed Rate.</param>
/// <param name="notionalAmount">The notional amount.</param>
/// <param name="dayCountfraction">Type of day Countfraction.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="accrualRollConvention">The accrual roll convention.</param>
/// <param name="resetRelativeTo">reset relative to?</param>
/// <param name="fixingDateRelativeOffset">The fixing date offset.</param>
/// <param name="forecastRateIndex">The forecastrateindex.</param>
/// <param name="discountingType">The swap discounting type.</param>
/// <param name="discountRate">The discount rate.</param>
/// <param name="fraDiscounting">Determines whether the coupon is discounted or not. If this parameter is null,
/// then it is assumed that there is no fradiscounting</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
public PriceableFloatingRateCoupon
(
string cashlfowId
, bool payerIsBase
, DateTime accrualStartDate
, DateTime accrualEndDate
, Boolean adjustAccrualDatesIndicator
, BusinessCenters accrualBusinessCenters
, BusinessDayConventionEnum accrualRollConvention
, DayCountFraction dayCountfraction
, ResetRelativeToEnum resetRelativeTo
, RelativeDateOffset fixingDateRelativeOffset
, Decimal margin
, Decimal?observedRate
, Money notionalAmount
, AdjustableOrAdjustedDate paymentDate
, ForecastRateIndex forecastRateIndex
, DiscountingTypeEnum?discountingType
, Decimal?discountRate
, FraDiscountingEnum?fraDiscounting
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: this(
cashlfowId
, payerIsBase
, accrualStartDate
, accrualEndDate
, adjustAccrualDatesIndicator
, accrualBusinessCenters
, accrualRollConvention
, dayCountfraction
, resetRelativeTo
, fixingDateRelativeOffset
, margin
, 0.0m
, observedRate
, notionalAmount
, paymentDate
, forecastRateIndex
, discountingType
, discountRate
, fraDiscounting
, fixingCalendar
, paymentCalendar)
{
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceablePayment"/> class.
/// </summary>
/// <param name="id">The identifier.</param>
/// <param name="payerPartyReference">The payer.</param>
/// <param name="receiverPartyReference">The receiver.</param>
/// <param name="payerIsBase">The payer is base flag.</param>
/// <param name="amount">The amount.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="paymentCalendar">Type paymentCalendar.</param>
public PriceablePayment
(
string id
, string payerPartyReference
, string receiverPartyReference
, bool payerIsBase
, Money amount
, AdjustableOrAdjustedDate paymentDate
, IBusinessCalendar paymentCalendar) :
base(id, "DiscountedCashflow", payerIsBase, amount, paymentDate, PaymentTypeHelper.Create("Certain"),
CashflowTypeHelper.Create(CashflowTypeEnum.PrincipalExchange.ToString()), false, paymentCalendar)
{
PayerPartyReference = PartyReferenceFactory.Create(payerPartyReference);
ReceiverPartyReference = PartyReferenceFactory.Create(receiverPartyReference);
OrderedPartyNames.Add(PayerPartyReference.href);
OrderedPartyNames.Add(ReceiverPartyReference.href);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableFxRateCashflow"/> class.
/// </summary>
/// <param name="cashflowId">The stream id.</param>
/// <param name="startIndex">The start Index. If null then the cash flow is not a differenctial.</param>
/// <param name="observedIndex">The observed Index. If null then the cash flow is not a differenctial. </param>
/// <param name="isCurrency1Base">The isCurrency1Base flag. </param>
/// <param name="currency2PayerIsBase">The currency2PayerIsBase lag.</param>
/// <param name="isSettlementInCurrency1">The isSettlementInCurrency1 flag</param>
/// <param name="hybridValuation">Is hybrid valuation used, or the base fa curve. </param>
/// <param name="currency1NotionalAmount">The currency1 notional amount.</param>
/// <param name="fixingDateRelativeOffset">The fixingDateRelativeOffset.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
protected PriceableFxRateCashflow
(
string cashflowId
, FxRate startIndex
, FxRate observedIndex
, bool isCurrency1Base
, bool currency2PayerIsBase
, bool isSettlementInCurrency1
, bool hybridValuation
, Money currency1NotionalAmount
, AdjustableOrAdjustedDate paymentDate
, RelativeDateOffset fixingDateRelativeOffset
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: base
(
cashflowId
, FloatingIndexType.Fx
, startIndex.rate
, IsObserved(observedIndex)
, currency2PayerIsBase
, currency1NotionalAmount
, paymentDate
, fixingDateRelativeOffset
, fixingCalendar
, paymentCalendar)
{
ModelIdentifier = "FloatingFxRateCashflowModel";
StartFxRate = startIndex;
IsSettlementInCurrency1 = isSettlementInCurrency1;
HybridValuation = hybridValuation;
if (StartFxRate.quotedCurrencyPair.quoteBasis == QuoteBasisEnum.Currency1PerCurrency2)
{
InvertFxRate = true;
}
IsCurrency1Base = isCurrency1Base;
Currency1 = StartFxRate.quotedCurrencyPair.currency1;
Currency2 = StartFxRate.quotedCurrencyPair.currency2;
//Set the default discount curve name.
Currency1DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Currency1.Value, true);
//Set the default discount curve name.
Currency2DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Currency2.Value, true);
ForecastCurveName = MarketEnvironmentHelper.ResolveFxCurveNames(StartFxRate.quotedCurrencyPair.currency1.Value,
StartFxRate.quotedCurrencyPair.currency2.Value);
}
/// <summary>
///
/// </summary>
/// <param name="uniqueId"></param>
/// <param name="payerIsBase"></param>
/// <param name="accrualStartDate"></param>
/// <param name="accrualEndDate"></param>
/// <param name="adjustCalculationDatesIndicator"></param>
/// <param name="paymentDate"></param>
/// <param name="notionalAmount"></param>
/// <param name="resetRelativeTo"></param>
/// <param name="fixingDateRelativeOffset"></param>
/// <param name="margin"></param>
/// <param name="baseRate"> </param>
/// <param name="calculation"></param>
/// <param name="forecastRateIndex"></param>
/// <param name="fixingCalendar"></param>
/// <param name="paymentCalendar"></param>
public PriceableFloatingRateCoupon
(string uniqueId
, bool payerIsBase
, DateTime accrualStartDate
, DateTime accrualEndDate
, Boolean adjustCalculationDatesIndicator
, AdjustableOrAdjustedDate paymentDate
, Money notionalAmount
, ResetRelativeToEnum resetRelativeTo
, RelativeDateOffset fixingDateRelativeOffset
, Decimal margin
, Decimal baseRate
, Calculation calculation
, ForecastRateIndex forecastRateIndex
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: base
(uniqueId
, CouponType.FloatingRate
, payerIsBase
, accrualStartDate
, accrualEndDate
, adjustCalculationDatesIndicator
, BusinessDayAdjustmentsHelper.Create(fixingDateRelativeOffset.businessDayConvention, fixingDateRelativeOffset.businessCenters)
, calculation
, notionalAmount
, paymentDate
, paymentCalendar)
{
BaseRate = baseRate;
FixingCalendar = fixingCalendar;
ModelIdentifier = "DualCurveCouponModel";
ForwardStartDate = AccrualStartDate;
ForwardEndDate = AccrualEndDate;
ForecastRateIndex = forecastRateIndex;
FixingDateRelativeOffset = fixingDateRelativeOffset;
ResetRelativeTo = resetRelativeTo;
Margin = margin;
var floatingRateDefinition = (FloatingRateDefinition)calculation.Items[0];
RateObservation = floatingRateDefinition.rateObservation[0];
AdjustedFixingDate = GetResetDate(resetRelativeTo, fixingDateRelativeOffset);
SetRateObservation(RateObservation, ResetDate);
ForecastCurveName = CurveNameHelpers.GetForecastCurveName(forecastRateIndex);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableCashflow"/> class.
/// </summary>
/// <param name="cashflowId">The identifier.</param>
/// <param name="payerIsBaseParty">The is base party flag.</param>
/// <param name="modelIdentifier">The _model identifier.</param>
/// <param name="amount">The amount.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="paymentType">Type of the payment.</param>
/// <param name="cashflowType">Type of the cashflow.</param>
/// <param name="includePaymentDate">if set to <c>true</c> [include payment date].</param>
/// <param name="paymentCalendar">Type paymentCalendar.</param>
protected PriceableCashflow
(
string cashflowId
, string modelIdentifier
, bool payerIsBaseParty
, Money amount
, AdjustableOrAdjustedDate paymentDate
, PaymentType paymentType
, CashflowType cashflowType
, bool includePaymentDate
, IBusinessCalendar paymentCalendar)
{
Multiplier = 1.0m;
var date = AdjustedDateHelper.GetAdjustedDate(paymentCalendar, paymentDate);
if (date != null)
{
PaymentDate = (DateTime)date;
}
var containsPaymentDateAdjustments = AdjustableOrAdjustedDateHelper.Contains(paymentDate, ItemsChoiceType.dateAdjustments, out var dateAdjustments);
if (containsPaymentDateAdjustments && dateAdjustments != null)
{
PaymentDateAdjustments = (BusinessDayAdjustments)dateAdjustments;
}
PayerIsBaseParty = payerIsBaseParty;
Id = cashflowId;
ModelIdentifier = modelIdentifier;
PaymentType = paymentType;
PaymentAmount = amount;
ForecastAmount = amount;
CashflowType = cashflowType;
PaymentDateIncluded = includePaymentDate;
PricingStructureEvolutionType = PricingStructureEvolutionType.ForwardToSpot;
RiskMaturityDate = PaymentDate;
DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(amount.currency.Value, true);
if (!PaymentCurrencies.Contains(amount.currency.Value))
{
PaymentCurrencies.Add(amount.currency.Value);
}
}
public static Swaption GenerateSwaptionDefiniton(SwapLegParametersRange_Old leg1Parameters,
IBusinessCalendar leg1PaymentCalendar,
SwapLegParametersRange_Old leg2Parameters,
IBusinessCalendar leg2PaymentCalendar,
SwaptionParametersRange swaptionParameters)
{
Swap swap = SwapGenerator.GenerateDefiniton(leg1Parameters, leg2Parameters);
NonNegativeMoney premium = MoneyHelper.GetNonNegativeAmount(swaptionParameters.Premium, swaptionParameters.PremiumCurrency);
AdjustableDate expirationDate = DateTypesHelper.ToAdjustableDate(swaptionParameters.ExpirationDate, swaptionParameters.ExpirationDateBusinessDayAdjustments, swaptionParameters.ExpirationDateCalendar);
AdjustableOrAdjustedDate paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(swaptionParameters.PaymentDate, swaptionParameters.PaymentDateBusinessDayAdjustments, swaptionParameters.PaymentDateCalendar);
TimeSpan earliestExerciseTimeAsTimeSpan = TimeSpan.FromDays(swaptionParameters.EarliestExerciseTime);
DateTime earliestExerciseTime = DateTime.MinValue.Add(earliestExerciseTimeAsTimeSpan);
TimeSpan expirationTimeAsTimeSpan = TimeSpan.FromDays(swaptionParameters.ExpirationTime);
DateTime expirationTime = DateTime.MinValue.Add(expirationTimeAsTimeSpan);
return(SwaptionFactory.Create(swap, premium,
swaptionParameters.PremiumPayer, swaptionParameters.PremiumReceiver,
paymentDate, expirationDate,
earliestExerciseTime, expirationTime, swaptionParameters.AutomaticExcercise));
}
/// <summary>
///
/// </summary>
/// <param name="identifier"></param>
/// <param name="payerPartyReference"></param>
/// <param name="receiverPartyReference"></param>
/// <param name="paymentAmount"></param>
/// <param name="adjustablePaymentDate"></param>
/// <param name="settlementInformation"></param>
/// <param name="paymentType"></param>
/// <param name="discountFactor"></param>
/// <param name="presentValueAmount"></param>
/// <returns></returns>
public static Payment Create(string identifier, PartyReference payerPartyReference,
PartyReference receiverPartyReference, NonNegativeMoney paymentAmount,
AdjustableOrAdjustedDate adjustablePaymentDate, SettlementInformation settlementInformation, PaymentType paymentType,
decimal discountFactor, Money presentValueAmount)
{
var payment = new Payment
{
paymentDate = adjustablePaymentDate,
discountFactor = discountFactor,
discountFactorSpecified = true,
href = identifier,
payerPartyReference = payerPartyReference,
paymentAmount = paymentAmount,
paymentType = paymentType,
presentValueAmount = presentValueAmount,
receiverPartyReference = receiverPartyReference,
settlementInformation = settlementInformation
};
return(payment);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableVanillaFxOption"/> class.
/// </summary>
/// <param name="cashlfowId">The stream id.</param>
/// <param name="startIndex">The start Index. If null then the cash flow is not a differenctial.</param>
/// <param name="observedIndex">The observed Index. If null then the cash flow is not a differenctial. </param>
/// <param name="isCurrency1Base">The isCurrency1Base flag. </param>
/// <param name="currency2PayerIsBase">The currency2PayerIsBase lag.</param>
/// <param name="isSettlementInCurrency1">The isSettlementInCurrency1 flag</param>
/// <param name="hybridValuation">Is hybrid valuation used, or the base fa curve. </param>
/// <param name="currency1NotionalAmount">The currency1 notional amount.</param>
/// <param name="fixingDateRelativeOffset">The fixingDateRelativeOffset.</param>
/// <param name="strike">The strike. </param>
/// <param name="fxOptionType">THe option type: currently only call or pt </param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
protected PriceableVanillaFxOption
(
string cashlfowId
, FxRate startIndex
, FxRate observedIndex
, bool isCurrency1Base
, bool currency2PayerIsBase
, bool isSettlementInCurrency1
, bool hybridValuation
, Money currency1NotionalAmount
, decimal strike
, FxOptionType fxOptionType
, AdjustableOrAdjustedDate paymentDate
, RelativeDateOffset fixingDateRelativeOffset
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: base
(
cashlfowId
, startIndex
, observedIndex
, isCurrency1Base
, currency2PayerIsBase
, isSettlementInCurrency1
, hybridValuation
, currency1NotionalAmount
, paymentDate
, fixingDateRelativeOffset
, fixingCalendar
, paymentCalendar)
{
Strike = strike;
FxOptionType = FxOptionType.Call;
if (fxOptionType != FxOptionType.Call)//TODO Only call or put.
{
FxOptionType = FxOptionType.Put;
}
VolatilitySurfaceName = CurveNameHelpers.GetFxVolatilityMatrixName(startIndex, "FxSpot");
ModelIdentifier = "VanillaFxOptionModel";
}
public static Boolean Contains(AdjustableOrAdjustedDate adjustableOrAdjustedDate, ItemsChoiceType item, out object dateOrBusinessConvention)
{
dateOrBusinessConvention = null;
if (adjustableOrAdjustedDate.Items == null)
{
return(false);
}
if (adjustableOrAdjustedDate.ItemsElementName != null)
{
for (var i = 0; i < adjustableOrAdjustedDate.ItemsElementName.Length; i++)
{
if (adjustableOrAdjustedDate.ItemsElementName[i] != item)
{
continue;
}
dateOrBusinessConvention = adjustableOrAdjustedDate.Items[i];
return(true);
}
return(false);
}
return(false);
}
public static Trade CreateSwaptionTrade(SwaptionParametersRange swaptionParametersRange, IBusinessCalendar paymentCalendar, Swap underlyingSwap)
{
var premium = MoneyHelper.GetNonNegativeAmount(swaptionParametersRange.Premium, swaptionParametersRange.PremiumCurrency);
AdjustableDate expirationDate = DateTypesHelper.ToAdjustableDate(swaptionParametersRange.ExpirationDate, swaptionParametersRange.ExpirationDateBusinessDayAdjustments, swaptionParametersRange.ExpirationDateCalendar);
AdjustableOrAdjustedDate paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(swaptionParametersRange.PaymentDate, swaptionParametersRange.PaymentDateBusinessDayAdjustments, swaptionParametersRange.PaymentDateCalendar);
TimeSpan earliestExerciseTimeAsTimeSpan = TimeSpan.FromDays(swaptionParametersRange.EarliestExerciseTime);
DateTime earliestExerciseTime = DateTime.MinValue.Add(earliestExerciseTimeAsTimeSpan);
TimeSpan expirationTimeAsTimeSpan = TimeSpan.FromDays(swaptionParametersRange.ExpirationTime);
DateTime expirationTime = DateTime.MinValue.Add(expirationTimeAsTimeSpan);
var swaption = SwaptionFactory.Create(underlyingSwap, premium, swaptionParametersRange.PremiumPayer, swaptionParametersRange.PremiumReceiver,
paymentDate, expirationDate,
earliestExerciseTime, expirationTime, swaptionParametersRange.AutomaticExcercise);
swaption.Items = new object[] { new ProductType {
Value = ProductTypeSimpleEnum.InterestRateSwaption.ToString()
} };
swaption.ItemsElementName = new[] { ItemsChoiceType2.productType };
var trade = new Trade();
XsdClassesFieldResolver.TradeSetSwaption(trade, swaption);
return(trade);
}
public static Swaption Create(Swap swap, NonNegativeMoney premium, string premiumPayer, string premiumReceiver,
AdjustableOrAdjustedDate paymentDate,
AdjustableDate expirationDate,
DateTime earliestExerciseTime, DateTime expirationTime, bool automaticExercise)
{
var swaption = new Swaption
{
swap = swap,
premium = new[] { new Payment() },
buyerPartyReference = PartyReferenceHelper.Parse(premiumPayer),
sellerPartyReference = PartyReferenceHelper.Parse(premiumReceiver)
};
swaption.premium[0].paymentAmount = premium;
swaption.premium[0].paymentDate = paymentDate;
swaption.premium[0].payerPartyReference = PartyReferenceHelper.Parse(premiumPayer);
swaption.premium[0].receiverPartyReference = PartyReferenceHelper.Parse(premiumReceiver);
var europeanExercise = new EuropeanExercise
{
expirationDate = new AdjustableOrRelativeDate(),
earliestExerciseTime = BusinessCenterTimeHelper.Create(earliestExerciseTime),
expirationTime = BusinessCenterTimeHelper.Create(expirationTime)
};
europeanExercise.expirationDate.Item = expirationDate;
swaption.exerciseProcedure = new ExerciseProcedure();
if (automaticExercise)
{
XsdClassesFieldResolver.ExerciseProcedureSetAutomaticExercise(swaption.exerciseProcedure, new AutomaticExercise());
}
else//manual exercise
{
XsdClassesFieldResolver.ExerciseProcedureSetManualExercise(swaption.exerciseProcedure, new ManualExercise());
}
XsdClassesFieldResolver.SwaptionSetEuropeanExercise(swaption, europeanExercise);
return(swaption);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableCapFloorCoupon"/> class.
/// </summary>
/// <param name="cashFlowId">The stream id.</param>
/// <param name="buyerIsBase">The buyer is base flag.</param>
/// <param name="capStrike">The Cap strike.</param>
/// <param name="floorStrike">The floor strike.</param>
/// <param name="accrualStartDate">The accrual start date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="accrualEndDate">The accrual end date. If adjusted, the adjustCalculationDatesIndicator should be false.</param>
/// <param name="adjustAccrualDatesIndicator">if set to <c>true</c> [adjust calculation dates indicator].</param>
/// <param name="accrualBusinessCenters">The accrual business centers.</param>
/// <param name="margin">The margin.</param>
/// <param name="observedRate">The observed Rate.</param>
/// <param name="notionalAmount">The notional amount.</param>
/// <param name="dayCountFraction">Type of day Count fraction.</param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="accrualRollConvention">The accrual roll convention.</param>
/// <param name="resetRelativeTo">reset relative to?</param>
/// <param name="fixingDateRelativeOffset">The fixing date offset.</param>
/// <param name="forecastRateIndex">The forecast rate index.</param>
/// <param name="discountingType">The swap discounting type.</param>
/// <param name="discountRate">The discount rate.</param>
/// <param name="fraDiscounting">Determines whether the coupon is discounted or not. If this parameter is null,
/// then it is assumed that there is no fra discounting</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
public PriceableCapFloorCoupon
(
string cashFlowId
, bool buyerIsBase
, decimal?capStrike
, decimal?floorStrike
, DateTime accrualStartDate
, DateTime accrualEndDate
, Boolean adjustAccrualDatesIndicator
, BusinessCenters accrualBusinessCenters
, BusinessDayConventionEnum accrualRollConvention
, DayCountFraction dayCountFraction
, ResetRelativeToEnum resetRelativeTo
, RelativeDateOffset fixingDateRelativeOffset
, Decimal margin
, Decimal?observedRate
, Money notionalAmount
, AdjustableOrAdjustedDate paymentDate
, ForecastRateIndex forecastRateIndex
, DiscountingTypeEnum?discountingType
, Decimal?discountRate
, FraDiscountingEnum?fraDiscounting
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: base(
cashFlowId
, buyerIsBase
, accrualStartDate
, accrualEndDate
, adjustAccrualDatesIndicator
, accrualBusinessCenters
, accrualRollConvention
, dayCountFraction
, resetRelativeTo
, fixingDateRelativeOffset
, margin
, observedRate
, notionalAmount
, paymentDate
, forecastRateIndex
, discountingType
, discountRate
, fraDiscounting
, fixingCalendar
, paymentCalendar)
{
CapStrike = capStrike;
FloorStrike = floorStrike;
VolatilitySurfaceName = CurveNameHelpers.GetRateVolatilityMatrixName(forecastRateIndex);
if (capStrike != null && floorStrike == null)
{
PriceableCouponType = CouponType.Cap;
ModelIdentifier = "DualCurveCapModel";
IsCall = true;
}
if (floorStrike != null && capStrike == null)
{
PriceableCouponType = CouponType.Floor;
ModelIdentifier = "DualCurveFloorModel";
}
if (floorStrike != null && capStrike != null)
{
PriceableCouponType = CouponType.Collar;
ModelIdentifier = "DualCurveCollarModel";
}
}
public string CreateValuation(
ILogger logger,
ICoreCache cache,
String nameSpace,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
SwaptionParametersRange swaptionParametersRange,
List <StringObjectRangeItem> valuationSet,
ValuationRange valuationRange,
TradeRange tradeRange,
SwapLegParametersRange leg1ParametersRange,
SwapLegParametersRange leg2ParametersRange,
List <InputCashflowRangeItem> leg1DetailedCashflowsListArray,
List <InputCashflowRangeItem> leg2DetailedCashflowsListArray,
List <InputPrincipalExchangeCashflowRangeItem> leg1PrincipalExchangeCashflowListArray,
List <InputPrincipalExchangeCashflowRangeItem> leg2PrincipalExchangeCashflowListArray,
List <AdditionalPaymentRangeItem> leg1AdditionalPaymentListArray,
List <AdditionalPaymentRangeItem> leg2AdditionalPaymentListArray,
List <PartyIdRangeItem> partyIdList, //optional
List <OtherPartyPaymentRangeItem> otherPartyPaymentList, //opt
List <FeePaymentRangeItem> feePaymentList //opt
)
{
var swap = GetPriceAndGeneratedFpMLSwap(logger, cache, nameSpace,
fixingCalendar, paymentCalendar, valuationRange,
tradeRange, leg1ParametersRange, leg2ParametersRange,
leg1DetailedCashflowsListArray, leg2DetailedCashflowsListArray,
leg1PrincipalExchangeCashflowListArray, leg2PrincipalExchangeCashflowListArray,
leg1AdditionalPaymentListArray, leg2AdditionalPaymentListArray).Second;
string baseParty = valuationRange.BaseParty;
List <IRateCurve> uniqueCurves = GetUniqueCurves(logger, cache, nameSpace, leg1ParametersRange, leg2ParametersRange);
Market fpMLMarket = InterestRateProduct.CreateFpMLMarketFromCurves(uniqueCurves);
// TODO: add Trade Id & Trade data into valuation. (Trade.Id & Trade.TradeHeader.TradeDate)
//
// create ValuationReport and add it to in-memory collection.
// Add methods!
AssetValuation assetValuation = InterestRateProduct.CreateAssetValuationFromValuationSet(valuationSet);
NonNegativeMoney premium = MoneyHelper.GetNonNegativeAmount(swaptionParametersRange.Premium, swaptionParametersRange.PremiumCurrency);
AdjustableDate expirationDate = DateTypesHelper.ToAdjustableDate(swaptionParametersRange.ExpirationDate, swaptionParametersRange.ExpirationDateBusinessDayAdjustments, swaptionParametersRange.ExpirationDateCalendar);
AdjustableOrAdjustedDate paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(swaptionParametersRange.PaymentDate, swaptionParametersRange.PaymentDateBusinessDayAdjustments, swaptionParametersRange.PaymentDateCalendar);
TimeSpan earliestExerciseTimeAsTimeSpan = TimeSpan.FromDays(swaptionParametersRange.EarliestExerciseTime);
DateTime earliestExerciseTime = DateTime.MinValue.Add(earliestExerciseTimeAsTimeSpan);
TimeSpan expirationTimeAsTimeSpan = TimeSpan.FromDays(swaptionParametersRange.ExpirationTime);
DateTime expirationTime = DateTime.MinValue.Add(expirationTimeAsTimeSpan);
var swaption = SwaptionFactory.Create(swap, premium, swaptionParametersRange.PremiumPayer, swaptionParametersRange.PremiumReceiver,
paymentDate, expirationDate,
earliestExerciseTime, expirationTime, swaptionParametersRange.AutomaticExcercise);
// overrides the premium created by SwaptionFactort.Create
//
var feeList = new List <Payment>();
if (null != feePaymentList)
{
feeList.AddRange(feePaymentList.Select(feePaymentRangeItem => new Payment
{
paymentDate = DateTypesHelper.ToAdjustableOrAdjustedDate(feePaymentRangeItem.PaymentDate),
paymentAmount = MoneyHelper.GetNonNegativeAmount(feePaymentRangeItem.Amount),
payerPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Payer),
receiverPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Receiver)
}));
}
swaption.premium = feeList.ToArray();
string valuationReportAndProductId = tradeRange.Id ?? Guid.NewGuid().ToString();
swaption.id = valuationReportAndProductId;
ValuationReport valuationReport = ValuationReportGenerator.Generate(valuationReportAndProductId, baseParty, valuationReportAndProductId, tradeRange.TradeDate, swaption, fpMLMarket, assetValuation);
cache.SaveObject(valuationReport, valuationReportAndProductId, null);
InterestRateProduct.ReplacePartiesInValuationReport(valuationReport, partyIdList);
InterestRateProduct.AddOtherPartyPayments(valuationReport, otherPartyPaymentList);
return(valuationReportAndProductId);
}