/// <summary>
/// Initializes a new instance of the <see cref="PriceableCapFloorCoupon"/> class.
/// </summary>
/// <param name="cashlFowId">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="margin">The margin.</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 Count fraction.</param>
/// <param name="paymentDate">The payment date.</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 cashlFowId
, bool buyerIsBase
, decimal?capStrike
, decimal?floorStrike
, DateTime accrualStartDate
, DateTime accrualEndDate
, DateTime adjustedFixingDate
, DayCountFraction dayCountFraction
, Decimal margin
, Decimal?observedRate
, Money notionalAmount
, DateTime paymentDate
, ForecastRateIndex forecastRateIndex
, DiscountingTypeEnum?discountingType
, Decimal?discountRate
, FraDiscountingEnum?fraDiscounting
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: base(
cashlFowId
, buyerIsBase
, accrualStartDate
, accrualEndDate
, adjustedFixingDate
, dayCountFraction
, 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";
}
}
/// <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";
}
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="swaptionFpML"> </param>
/// <param name="basePartyReference"></param>
/// <param name="forecastRateInterpolation"></param>
public InterestRateSwaptionPricer(ILogger logger, ICoreCache cache, String nameSpace,
Swaption swaptionFpML, string basePartyReference, Boolean forecastRateInterpolation)
: base(logger, cache, nameSpace, swaptionFpML, basePartyReference, forecastRateInterpolation)
{
ProductType = ProductTypeSimpleEnum.InterestRateSwaption;
var underlyingSwap = new InterestRateSwapPricer(logger, cache, nameSpace, null, swaptionFpML.swap, basePartyReference, forecastRateInterpolation);
Swap = underlyingSwap;
//Add the currencies for the trade pricer.
foreach (var ccy in Swap.PaymentCurrencies)
{
if (!PaymentCurrencies.Contains(ccy))
{
PaymentCurrencies.Add(ccy);
}
}
if (underlyingSwap.SwapType == SwapType.FixedFloat && underlyingSwap.ProductType == ProductTypeSimpleEnum.InterestRateSwap)
{
if (Swap.BasePartyPayingFixed && underlyingSwap.PayLeg.Strike != null)
{
StrikeRate = (decimal)underlyingSwap.PayLeg.Strike;
if (!IsBasePartyBuyer)
{
IsCall = true;
}
}
if (!Swap.BasePartyPayingFixed && underlyingSwap.ReceiveLeg.Strike != null)//
{
StrikeRate = (decimal)underlyingSwap.ReceiveLeg.Strike;
if (IsBasePartyBuyer)
{
IsCall = true;
}
}
VolatilitySurfaceName = CurveNameHelpers.GetRateVolatilityMatrixName(swaptionFpML.swap);
}
BucketedDates = new DateTime[] { };
RiskMaturityDate = Swap.RiskMaturityDate;
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableCapFloorStream"/> class. All the cashflows must be signed.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="stream">The stream.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="payerIsBase">The flag for whether the payerreference is the base party.</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 PriceableCapFloorStream(ILogger logger, ICoreCache cache, String nameSpace
, bool payerIsBase, InterestRateStream stream, bool forecastRateInterpolation
, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar)
: base(logger
, cache
, nameSpace
, payerIsBase
, stream
, forecastRateInterpolation
, fixingCalendar
, paymentCalendar)
{
if (Calculation.Items == null)
{
return;
}
var floatingRateCalculation = (FloatingRateCalculation)Calculation.Items[0];
var floatingRateIndex = floatingRateCalculation.floatingRateIndex;
var indexTenor = floatingRateCalculation.indexTenor.ToString();
var forecastRate = ForecastRateIndexHelper.Parse(floatingRateIndex.Value, indexTenor);
VolatilitySurfaceName = CurveNameHelpers.GetRateVolatilityMatrixName(forecastRate);
}
/// <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";
}
}