/// <summary> /// /// </summary> /// <param name="logger"></param> /// <param name="cache"></param> /// <param name="fixingCalendar"></param> /// <param name="paymentCalendar"></param> /// <param name="isBuyer"></param> /// <param name="fraFpML"></param> /// <param name="nameSpace"></param> public FraPricer(ILogger logger, ICoreCache cache, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar, bool isBuyer, Fra fraFpML, String nameSpace) { OrderedPartyNames = new List <string>(); Multiplier = 1.0m; FraDiscounting = fraFpML.fraDiscounting; FixingOffSet = fraFpML.fixingDateOffset; FloatingRateIndex = fraFpML.floatingRateIndex; DayCountFraction = fraFpML.dayCountFraction; Notional = fraFpML.notional; IndexTenor = fraFpML.indexTenor; AdjustablePaymentDate = fraFpML.paymentDate; FixedRate = fraFpML.fixedRate; AddCashFlows(logger, cache, fixingCalendar, paymentCalendar, fraFpML, isBuyer, nameSpace); BasePartyPayingFixed = !isBuyer; RiskMaturityDate = TerminationDate; NumberOfDays = (DayCounterHelper.Parse(DayCountFraction.Value)).DayCount(EffectiveDate, TerminationDate); //Set the product type. ProductType = ProductTypeSimpleEnum.FRA; PaymentCurrencies = new List <string> { Notional.currency.Value }; //Set the default discount curve name. DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Notional.currency.Value, true); ForecastCurveName = CurveNameHelpers.GetForecastCurveName(fraFpML.floatingRateIndex, fraFpML.indexTenor); }
/// <summary> /// /// </summary> /// <param name="logger"></param> /// <param name="cache"></param> /// <param name="isCollateralised"></param> /// <param name="collateralCurrency"></param> /// <param name="fixingCalendar"></param> /// <param name="paymentCalendar"></param> /// <param name="isPayer"></param> /// <param name="commodityForwardFpML"></param> /// <param name="nameSpace"></param> public CommodityForwardPricer(ILogger logger, ICoreCache cache, bool isCollateralised, string collateralCurrency, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar, bool isPayer, CommodityForward commodityForwardFpML, String nameSpace) { IsCollateralised = isCollateralised; CollateralCurrency = collateralCurrency; OrderedPartyNames = new List <string>(); Multiplier = 1.0m; ValueDate = commodityForwardFpML.valueDate; FixedLeg = commodityForwardFpML.fixedLeg; BullionPhysicalLeg = commodityForwardFpML.Item; if (commodityForwardFpML.commonPricingSpecified) { CommonPricing = commodityForwardFpML.commonPricing; } AddCashFlows(logger, cache, fixingCalendar, paymentCalendar, commodityForwardFpML, isPayer, nameSpace); BasePartyPayingFixed = !isPayer; RiskMaturityDate = TerminationDate; NumberOfDays = (DayCounterHelper.Parse(DayCountFraction.Value)).DayCount(EffectiveDate, TerminationDate); //Set the product type. ProductType = ProductTypeSimpleEnum.FRA; PaymentCurrencies = new List <string> { Notional.currency.Value }; //Set the default discount curve name. DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(CollateralCurrency, !IsCollateralised); ForecastCurveName = CurveNameHelpers.GetForecastCurveName(commodityForwardFpML.floatingRateIndex, commodityForwardFpML.indexTenor); }
/// <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> /// /// </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="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="margin">The margin.</param> /// <param name="baseRate">The base rate for a nettable fixed/floating cash flow. </param> /// <param name="observedRate">The observed Rate. If this is not null, then it is used.</param> /// <param name="notionalAmount">The notional amount.</param> /// <param name="adjustedFixingDate">The adjusted fixing date.</param> /// <param name="dayCountfraction">Type of day Countfraction.</param> /// <param name="paymentDate">The payment date.</param> /// <param name="forecastRateIndex">The forecastrate 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 fradiscounting</param> /// <param name="fixingCalendar">The fixingCalendar.</param> /// <param name="paymentCalendar">The paymentCalendar.</param> public PriceableFloatingRateCoupon ( string cashlfowId , bool payerIsBase , DateTime accrualStartDate , DateTime accrualEndDate , DateTime adjustedFixingDate , DayCountFraction dayCountfraction , Decimal margin , Decimal baseRate , Decimal?observedRate , Money notionalAmount , DateTime paymentDate , ForecastRateIndex forecastRateIndex , DiscountingTypeEnum?discountingType , Decimal?discountRate , FraDiscountingEnum?fraDiscounting , IBusinessCalendar fixingCalendar , IBusinessCalendar paymentCalendar) : base( cashlfowId , CouponType.FloatingRate , payerIsBase , accrualStartDate , accrualEndDate , notionalAmount , dayCountfraction , observedRate , paymentDate , discountingType , discountRate , fraDiscounting , paymentCalendar) { BaseRate = baseRate; FixingCalendar = fixingCalendar; ModelIdentifier = "DualCurveCouponModel"; Id = cashlfowId; ForecastRateIndex = forecastRateIndex; Margin = margin; AdjustedFixingDate = adjustedFixingDate; RateObservation = RateObservationHelper.Parse(AdjustedFixingDate, observedRate, "1"); SetRateObservation(RateObservation, ResetDate); ForecastCurveName = CurveNameHelpers.GetForecastCurveName(forecastRateIndex); }
/// <summary> /// Initializes a new instance of the <see cref="PriceableInterestRateStream"/> class. /// </summary> /// <param name="logger">The logger.</param> /// <param name="cache">The cache.</param> /// <param name="nameSpace">The client namesspace.</param> /// <param name="swapId">The swap Id.</param> /// <param name="payerPartyReference">The payer party reference.</param> /// <param name="receiverPartyReference">The receiver party reference.</param> /// <param name="payerIsBase">The flag for whether the payerreference is the base party.</param> /// <param name="calculationPeriodDates">The caluclation period date information.</param> /// <param name="paymentDates">The payment dates of the swap leg.</param> /// <param name="resetDates">The reset dates of the swap leg.</param> /// <param name="principalExchanges">The principal Exchange type.</param> /// <param name="calculationPeriodAmount">The calculation period amount data.</param> /// <param name="stubCalculationPeriodAmount">The stub calculation information.</param> /// <param name="cashflows">The FpML cashflows for that stream.</param> /// <param name="settlementProvision">The settlement provision data.</param> /// <param name="forecastRateInterpolation">ForwardEndDate = forecastRateInterpolation ? AccrualEndDate /// : AdjustedDateHelper.ToAdjustedDate(forecastRateIndex.indexTenor.Add(AccrualStartDate), AccrualBusinessDayAdjustments);</param> /// <param name="fixingCalendar">The fixingCalendar.</param> /// <param name="paymentCalendar">The paymentCalendar.</param> public PriceableInterestRateStream ( ILogger logger , ICoreCache cache , String nameSpace , string swapId , string payerPartyReference , string receiverPartyReference , bool payerIsBase , CalculationPeriodDates calculationPeriodDates , PaymentDates paymentDates , ResetDates resetDates , PrincipalExchanges principalExchanges , CalculationPeriodAmount calculationPeriodAmount , StubCalculationPeriodAmount stubCalculationPeriodAmount , Cashflows cashflows , SettlementProvision settlementProvision , bool forecastRateInterpolation , IBusinessCalendar fixingCalendar , IBusinessCalendar paymentCalendar) { Multiplier = 1.0m; Payer = payerPartyReference; Receiver = receiverPartyReference; PayerIsBaseParty = payerIsBase; CalculationPeriodDates = calculationPeriodDates; PaymentDates = paymentDates; PaymentCurrencies = new List <string>(); ResetDates = resetDates; PrincipalExchanges = principalExchanges; CalculationPeriodAmount = calculationPeriodAmount; AnalyticsModel = new StructuredStreamAnalytic(); Calculation = (Calculation)CalculationPeriodAmount.Item; if (Calculation.Items?[0] is Schedule strikeSchedule) { Strike = strikeSchedule.initialValue;//Only picks up the first fixed rate for the swaption calculation. } StubCalculationPeriodAmount = stubCalculationPeriodAmount; Cashflows = cashflows; CouponStreamType = CouponTypeFromCalculation(Calculation); Id = BuildId(swapId, CouponStreamType); ForecastRateInterpolation = forecastRateInterpolation; var isThereDiscounting = XsdClassesFieldResolver.CalculationHasDiscounting(Calculation); if (isThereDiscounting) { IsDiscounted = true; //TODO need to include rate logic for the correct solved answers. What about reset cashflows?? } //Get the currency. var currency = XsdClassesFieldResolver.CalculationGetNotionalSchedule(Calculation); Currency = currency.notionalStepSchedule.currency; if (!PaymentCurrencies.Contains(Currency.Value)) { PaymentCurrencies.Add(Currency.Value); } //The calendars if (paymentCalendar == null) { paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, PaymentDates.paymentDatesAdjustments.businessCenters, nameSpace); } SettlementProvision = settlementProvision; //Set the default discount curve name. DiscountCurveName = CurveNameHelpers.GetDiscountCurveName(Currency.Value, true); //Set the forecast curve name.//TODO extend this to the other types. if (CouponStreamType != CouponStreamType.GenericFixedRate) { if (fixingCalendar == null) { fixingCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, ResetDates.resetDatesAdjustments.businessCenters, nameSpace); } ForecastCurveName = null; if (Calculation.Items != null) { var floatingRateCalculation = Calculation.Items; var floatingRateIndex = (FloatingRateCalculation)floatingRateCalculation[0]; ForecastCurveName = CurveNameHelpers.GetForecastCurveName(floatingRateIndex); } } //Build the coupons and principal exchanges. if (GetCashflowPaymentCalculationPeriods() != null) { Coupons = PriceableInstrumentsFactory.CreatePriceableCoupons(PayerIsBaseParty, GetCashflowPaymentCalculationPeriods(), Calculation, ForecastRateInterpolation, fixingCalendar, paymentCalendar);//TODO add the stubcalculation. UpdateCouponIds(); } if (GetCashflowPrincipalExchanges() != null) { var exchanges = GetCashflowPrincipalExchanges(); Exchanges = PriceableInstrumentsFactory.CreatePriceablePrincipalExchanges(PayerIsBaseParty, exchanges, Currency.Value, paymentCalendar); UpdateExchangeIds(); } RiskMaturityDate = LastDate(); logger.LogInfo("Stream built"); }