示例#1
0
        public static CapFloor GeneratedFpMLCapFloor(
            ILogger logger, ICoreCache cache,
            CapFloorLegParametersRange capFloorParametersRange,
            List <InputCashflowRangeItem> capFloorDetailedCashflowsList,
            List <InputPrincipalExchangeCashflowRangeItem> capFloorPrincipalExchangeCashflowListArray,
            List <AdditionalPaymentRangeItem> capFloorAdditionalPaymentList,
            List <FeePaymentRangeItem> feePaymentList
            )
        {
            //Check if the calendars are null. If not build them!
            InterestRateStream stream1 = GetCashflowsSchedule(null, null, capFloorParametersRange);//parametric definiton + cashflows schedule

            // Update FpML cashflows
            //
            stream1.cashflows = UpdateCashflowsWithDetailedCashflows(capFloorDetailedCashflowsList);
            if (null != capFloorPrincipalExchangeCashflowListArray)
            {
                // create principal exchanges
                //
                InterestRateSwapPricer.CreatePrincipalExchangesFromListOfRanges(stream1.cashflows, capFloorPrincipalExchangeCashflowListArray);
            }
            //  Add bullet payments...
            //
            var bulletPaymentList = new List <Payment>();

            if (null != capFloorAdditionalPaymentList)
            {
                bulletPaymentList.AddRange(capFloorAdditionalPaymentList.Select(bulletPaymentRangeItem =>
                                                                                new Payment {
                    payerPartyReference = PartyReferenceFactory.Create(capFloorParametersRange.Payer), receiverPartyReference =
                        PartyReferenceFactory.Create(capFloorParametersRange.Receiver),
                    paymentAmount = MoneyHelper.GetNonNegativeAmount(bulletPaymentRangeItem.Amount, bulletPaymentRangeItem.Currency),
                    paymentDate   = DateTypesHelper.ToAdjustableOrAdjustedDate(bulletPaymentRangeItem.PaymentDate)
                }));
            }
            CapFloor capFloor = CapFloorFactory.Create(stream1);

            capFloor.additionalPayment = bulletPaymentList.ToArray();
            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, feePaymentRangeItem.Currency),    //TODO The currency needs to be added!
                    payerPartyReference    = PartyReferenceFactory.Create(feePaymentRangeItem.Payer),
                    receiverPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Receiver)
                }));
            }
            capFloor.premium = feeList.ToArray();
            return(capFloor);
        }
示例#2
0
        /// <summary>
        ///
        /// </summary>
        /// <param name="leg1Parameters"></param>
        /// <param name="leg1PaymentCalendar"> </param>
        /// <param name="capStrikeSchedule"></param>
        /// <param name="floorStrikeSchedule"> </param>
        /// <param name="spreadSchedule"></param>
        /// <param name="notionalSchedule"></param>
        /// <param name="leg1FixingCalendar"> </param>
        /// <returns></returns>
        public static Trade CreateTrade(CapFloorLegParametersRange leg1Parameters,
                                        IBusinessCalendar leg1FixingCalendar,
                                        IBusinessCalendar leg1PaymentCalendar,
                                        Schedule capStrikeSchedule,
                                        Schedule floorStrikeSchedule,
                                        Schedule spreadSchedule,
                                        NonNegativeAmountSchedule notionalSchedule)
        {
            var stream1 = GetCashflowsSchedule(leg1FixingCalendar, leg1PaymentCalendar, leg1Parameters);

            if (null != capStrikeSchedule && null != floorStrikeSchedule)
            {
                InterestRateStreamParametricDefinitionGenerator.SetCapRateSchedule(stream1, capStrikeSchedule, true);
                InterestRateStreamParametricDefinitionGenerator.SetFloorRateSchedule(stream1, floorStrikeSchedule, false);
            }
            if (null != capStrikeSchedule && null == floorStrikeSchedule)
            {
                InterestRateStreamParametricDefinitionGenerator.SetCapRateSchedule(stream1, capStrikeSchedule, true);
            }
            if (null == capStrikeSchedule && null != floorStrikeSchedule)
            {
                InterestRateStreamParametricDefinitionGenerator.SetFloorRateSchedule(stream1, floorStrikeSchedule, true);
            }
            if (null != spreadSchedule) //for float legs only
            {
                InterestRateStreamParametricDefinitionGenerator.SetSpreadSchedule(stream1, spreadSchedule);
            }
            if (null != notionalSchedule)
            {
                //  Set notional schedule
                //
                InterestRateStreamParametricDefinitionGenerator.SetNotionalSchedule(stream1, notionalSchedule);
            }
            var capFloor = CapFloorFactory.Create(stream1);
            var trade    = new Trade();

            XsdClassesFieldResolver.TradeSetCapFloor(trade, capFloor);
            return(trade);
        }
示例#3
0
        public static Pair <ValuationResultRange, CapFloor> GetPriceAndGeneratedFpML(
            ILogger logger, ICoreCache cache,
            String nameSpace,
            IBusinessCalendar fixingCalendar,
            IBusinessCalendar paymentCalendar,
            ValuationRange valuationRange, TradeRange tradeRange,
            CapFloorLegParametersRange_Old leg1ParametersRange,
            List <InputCashflowRangeItem> leg1DetailedCashflowsList,
            List <InputPrincipalExchangeCashflowRangeItem> legPrincipalExchangeCashflowListArray,
            List <AdditionalPaymentRangeItem> leg1AdditionalPaymentList,
            List <FeePaymentRangeItem> feePaymentList
            )
        {
            //Check if the calendars are null. If not build them!
            InterestRateStream stream1 = GetCashflowsSchedule(fixingCalendar, paymentCalendar, leg1ParametersRange);//parametric definiton + cashflows schedule

            // Update FpML cashflows
            //
            stream1.cashflows = UpdateCashflowsWithDetailedCashflows(leg1DetailedCashflowsList);
            if (null != legPrincipalExchangeCashflowListArray)
            {
                // create principal exchanges
                //
                InterestRateSwapPricer.CreatePrincipalExchangesFromListOfRanges(stream1.cashflows, legPrincipalExchangeCashflowListArray);
            }
            //  Add bullet payments...
            //
            var bulletPaymentList = new List <Payment>();

            if (null != leg1AdditionalPaymentList)
            {
                bulletPaymentList.AddRange(leg1AdditionalPaymentList.Select(bulletPaymentRangeItem => new Payment
                {
                    payerPartyReference    = PartyReferenceFactory.Create(leg1ParametersRange.Payer),
                    receiverPartyReference = PartyReferenceFactory.Create(leg1ParametersRange.Receiver),
                    paymentAmount          = MoneyHelper.GetNonNegativeAmount(bulletPaymentRangeItem.Amount, bulletPaymentRangeItem.Currency),
                    paymentDate            = DateTypesHelper.ToAdjustableOrAdjustedDate(bulletPaymentRangeItem.PaymentDate)
                }));
            }
            CapFloor capFloor = CapFloorFactory.Create(stream1);

            capFloor.additionalPayment = bulletPaymentList.ToArray();
            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, feePaymentRangeItem.Currency),
                    payerPartyReference    = PartyReferenceFactory.Create(feePaymentRangeItem.Payer),
                    receiverPartyReference = PartyReferenceFactory.Create(feePaymentRangeItem.Receiver)
                }));
            }
            capFloor.premium = feeList.ToArray();
            // Update FpML cashflows with DF,FV,PV, etc (LegParametersRange needed to access curve functionality)
            //
            UpdateCashflowsWithAmounts(logger, cache, nameSpace, stream1, leg1ParametersRange, valuationRange);
            //  Update additional payments
            //
            var leg1DiscountCurve = CurveLoader.LoadInterestRateCurve(logger, cache, nameSpace, leg1ParametersRange.DiscountCurve);

            CapFloorGenerator.UpdatePaymentsAmounts(paymentCalendar, capFloor, leg1ParametersRange, leg1DiscountCurve, valuationRange.ValuationDate);
            //~  Update additional payments
            string baseParty = valuationRange.BaseParty;

            return(new Pair <ValuationResultRange, CapFloor>(CreateValuationRange(capFloor, baseParty), capFloor));
        }