public static AsianSwap CreateTermAsianSwap(DateTime start, DateTime end, double strike, string assetId, Calendar fixingCalendar, DateTime payDate, Currency currency, TradeDirection tradeDirection = TradeDirection.Long, Frequency spotLag = new Frequency(), double notional = 1, DateGenerationType fixingDateType = DateGenerationType.BusinessDays)
{
var fixingDates = start == end ? new List <DateTime> {
start
} :
fixingDateType == DateGenerationType.BusinessDays ?
start.BusinessDaysInPeriod(end, fixingCalendar) :
start.FridaysInPeriod(end, fixingCalendar);
if (!fixingDates.Any() && start == end) //hack for bullet swaps where system returns fixing date on holiday
{
start = start.IfHolidayRollForward(fixingCalendar);
end = start;
fixingDates.Add(start);
}
var swap = new AsianSwap
{
AssetId = assetId,
AverageStartDate = start,
AverageEndDate = end,
FixingCalendar = fixingCalendar,
Strike = strike,
SpotLag = spotLag,
FixingDates = fixingDates.ToArray(),
PaymentDate = payDate,
PaymentCurrency = currency,
Direction = tradeDirection,
Notional = notional,
FxConversionType = currency.Ccy == "USD" ? FxConversionType.None : FxConversionType.AverageThenConvert
};
return(swap);
}
public static AsianSwap CreateTermAsianSwap(string period, double strike, string assetId, Calendar fixingCalendar, Calendar payCalendar, Frequency payOffset, Currency currency, TradeDirection tradeDirection = TradeDirection.Long, Frequency spotLag = new Frequency(), double notional = 1, DateGenerationType fixingDateType = DateGenerationType.BusinessDays)
{
var(Start, End) = period.ParsePeriod();
return(CreateTermAsianSwap(Start, End, strike, assetId, fixingCalendar, payCalendar, payOffset, currency, tradeDirection, spotLag, notional, fixingDateType));
}
public static AsianSwap CreateTermAsianSwap(DateTime start, DateTime end, double strike, string assetId, Calendar fixingCalendar, Calendar payCalendar, Frequency payOffset, Currency currency, TradeDirection tradeDirection = TradeDirection.Long, Frequency spotLag = new Frequency(), double notional = 1, DateGenerationType fixingDateType = DateGenerationType.BusinessDays)
{
var payDate = end.AddPeriod(RollType.F, payCalendar, payOffset);
return(CreateTermAsianSwap(start, end, strike, assetId, fixingCalendar, payDate, currency, tradeDirection, spotLag, notional, fixingDateType));
}
public static BackPricingOption CreateBackPricingOption(string period, string assetId, OptionType putCall, Calendar fixingCalendar, Calendar payCalendar, Frequency payOffset, Currency currency, TradeDirection tradeDirection = TradeDirection.Long, Frequency spotLag = new Frequency(), double notional = 1, DateGenerationType fixingDateType = DateGenerationType.BusinessDays)
{
var(Start, End) = period.ParsePeriod();
return(CreateBackPricingOption(Start, End, End, assetId, putCall, fixingCalendar, payCalendar, payOffset, currency, tradeDirection, spotLag, notional, fixingDateType));
}
public static MultiPeriodBackpricingOption CreateMultiPeriodBackPricingOption(Tuple <DateTime, DateTime>[] periodDates, DateTime decision, string assetId, OptionType putCall, Calendar fixingCalendar, DateTime payDate, Currency currency, TradeDirection tradeDirection = TradeDirection.Long, Frequency spotLag = new Frequency(), double notional = 1, DateGenerationType fixingDateType = DateGenerationType.BusinessDays)
{
var fixingDates = fixingDateType == DateGenerationType.BusinessDays ?
periodDates.Select(pd => pd.Item1.BusinessDaysInPeriod(pd.Item2, fixingCalendar).ToArray()).ToList() :
periodDates.Select(pd => pd.Item1.FridaysInPeriod(pd.Item2, fixingCalendar).ToArray()).ToList();
return(new MultiPeriodBackpricingOption
{
AssetId = assetId,
PeriodDates = periodDates,
DecisionDate = decision,
FixingCalendar = fixingCalendar,
FixingDates = fixingDates,
SpotLag = spotLag,
CallPut = putCall,
PaymentDate = payDate,
SettlementDate = payDate,
PaymentCurrency = currency,
Direction = tradeDirection,
Notional = notional,
FxConversionType = currency.Ccy == "USD" ? FxConversionType.None : FxConversionType.AverageThenConvert
});
}
public static BackPricingOption CreateBackPricingOption(DateTime start, DateTime end, DateTime decision, string assetId, OptionType putCall, Calendar fixingCalendar, DateTime payDate, Currency currency, TradeDirection tradeDirection = TradeDirection.Long, Frequency spotLag = new Frequency(), double notional = 1, DateGenerationType fixingDateType = DateGenerationType.BusinessDays)
{
var fixingDates = fixingDateType == DateGenerationType.BusinessDays ?
start.BusinessDaysInPeriod(end, fixingCalendar) :
start.FridaysInPeriod(end, fixingCalendar);
return(new BackPricingOption
{
AssetId = assetId,
StartDate = start,
EndDate = end,
DecisionDate = decision,
FixingCalendar = fixingCalendar,
FixingDates = fixingDates.ToArray(),
SpotLag = spotLag,
CallPut = putCall,
PaymentDate = payDate,
SettlementDate = payDate,
PaymentCurrency = currency,
Direction = tradeDirection,
Notional = notional,
FxConversionType = currency.Ccy == "USD" ? FxConversionType.None : FxConversionType.AverageThenConvert
});
}
public static BackPricingOption CreateBackPricingOption(DateTime start, DateTime end, DateTime decision, string assetId, OptionType putCall, Calendar fixingCalendar, Calendar payCalendar, Frequency payOffset, Currency currency, TradeDirection tradeDirection = TradeDirection.Long, Frequency spotLag = new Frequency(), double notional = 1, DateGenerationType fixingDateType = DateGenerationType.BusinessDays)
{
var payDate = end.AddPeriod(RollType.F, fixingCalendar, payOffset);
return(CreateBackPricingOption(start, end, decision, assetId, putCall, fixingCalendar, payDate, currency, tradeDirection, spotLag, notional, fixingDateType));
}
public static AsianOption CreateAsianOption(DateTime start, DateTime end, double strike, string assetId, OptionType putCall, Calendar fixingCalendar, DateTime payDate, Currency currency, TradeDirection tradeDirection = TradeDirection.Long, Frequency spotLag = new Frequency(), double notional = 1, DateGenerationType fixingDateType = DateGenerationType.BusinessDays)
{
var fixingDates = start == end?new List <DateTime> {
start
} :
fixingDateType == DateGenerationType.BusinessDays ?
start.BusinessDaysInPeriod(end, fixingCalendar) :
start.FridaysInPeriod(end, fixingCalendar);
return(new AsianOption
{
AssetId = assetId,
AverageStartDate = start,
AverageEndDate = end,
FixingCalendar = fixingCalendar,
Strike = strike,
FixingDates = fixingDates.ToArray(),
SpotLag = spotLag,
CallPut = putCall,
PaymentDate = payDate,
PaymentCurrency = currency,
Direction = tradeDirection,
Notional = notional,
FxConversionType = currency.Ccy == "USD" ? FxConversionType.None : FxConversionType.AverageThenConvert
});
}
public static AsianSwapStrip CreateMonthlyAsianSwap(DateTime start, DateTime end, double strike, string assetId, Calendar fixingCalendar, Calendar payCalendar, Frequency payOffset, Currency currency, TradeDirection tradeDirection = TradeDirection.Long, Frequency spotLag = new Frequency(), double notional = 1, DateGenerationType fixingDateType = DateGenerationType.BusinessDays)
{
var m = start;
var swaplets = new List <AsianSwap>();
if (start.Month + start.Year * 12 == end.Month + end.Year * 12)
{
var fixingDates = fixingDateType == DateGenerationType.BusinessDays ?
start.BusinessDaysInPeriod(end, fixingCalendar) :
start.FridaysInPeriod(end, fixingCalendar);
swaplets.Add(new AsianSwap
{
AssetId = assetId,
AverageStartDate = start,
AverageEndDate = end,
FixingCalendar = fixingCalendar,
Strike = strike,
FixingDates = fixingDates.ToArray(),
SpotLag = spotLag,
PaymentCalendar = payCalendar,
PaymentLag = payOffset,
PaymentDate = end.AddPeriod(RollType.F, fixingCalendar, payOffset),
PaymentCurrency = currency,
Direction = tradeDirection,
Notional = notional,
FxConversionType = currency.Ccy == "USD" ? FxConversionType.None : FxConversionType.AverageThenConvert
});
}
else
{
while ((m.Month + m.Year * 12) <= (end.Month + end.Year * 12))
{
var fixingDates = fixingDateType == DateGenerationType.BusinessDays ?
m.BusinessDaysInPeriod(m.LastDayOfMonth(), fixingCalendar) :
m.FridaysInPeriod(m.LastDayOfMonth(), fixingCalendar);
swaplets.Add(new AsianSwap
{
AssetId = assetId,
AverageStartDate = m,
AverageEndDate = m.LastDayOfMonth(),
FixingCalendar = fixingCalendar,
Strike = strike,
FixingDates = fixingDates.ToArray(),
SpotLag = spotLag,
PaymentCalendar = payCalendar,
PaymentLag = payOffset,
PaymentDate = m.LastDayOfMonth().AddPeriod(RollType.F, fixingCalendar, payOffset),
PaymentCurrency = currency,
Direction = tradeDirection,
Notional = notional,
FxConversionType = currency.Ccy == "USD" ? FxConversionType.None : FxConversionType.AverageThenConvert
});
m = m.LastDayOfMonth().AddDays(1);
}
}
return(new AsianSwapStrip {
Swaplets = swaplets.ToArray()
});
}
public static AsianBasisSwap CreateTermAsianBasisSwap(DateTime start, DateTime end, double strike, string assetIdPay, string assetIdRec, Calendar fixingCalendarPay, Calendar fixingCalendarRec, DateTime payDate, Currency currency, Frequency spotLagPay = new Frequency(), Frequency spotLagRec = new Frequency(), double notionalPay = 1, double notionalRec = 1, DateGenerationType fixingDateType = DateGenerationType.BusinessDays)
{
var swapPay = CreateTermAsianSwap(start, end, -strike, assetIdPay, fixingCalendarPay, payDate, currency, TradeDirection.Long, spotLagPay, notionalPay);
var swapRec = CreateTermAsianSwap(start, end, 0, assetIdRec, fixingCalendarRec, payDate, currency, TradeDirection.Short, spotLagRec, notionalRec);
var swap = new AsianBasisSwap
{
PaySwaplets = new [] { swapPay },
RecSwaplets = new [] { swapRec },
};
return(swap);
}
public static AsianBasisSwap CreateTermAsianBasisSwap(DateTime start, DateTime end, double strike, string assetIdPay, string assetIdRec, Calendar fixingCalendarPay, Calendar fixingCalendarRec, Calendar payCalendar, Frequency payOffset, Currency currency, Frequency spotLagPay = new Frequency(), Frequency spotLagRec = new Frequency(), double notionalPay = 1, double notionalRec = 1, DateGenerationType fixingDateType = DateGenerationType.BusinessDays)
{
var payDate = end.AddPeriod(RollType.F, payCalendar, payOffset);
return(CreateTermAsianBasisSwap(start, end, strike, assetIdPay, assetIdRec, fixingCalendarPay, fixingCalendarRec, payDate, currency, spotLagPay, spotLagRec, notionalPay, notionalRec, fixingDateType));
}
public static AsianBasisSwap CreateTermAsianBasisSwap(string period, double strike, string assetIdPay, string assetIdRec, Calendar fixingCalendarPay, Calendar fixingCalendarRec, Calendar payCalendar, Frequency payOffset, Currency currency, Frequency spotLagPay = new Frequency(), Frequency spotLagRec = new Frequency(), double notionalPay = 1, double notionalRec = 1, DateGenerationType fixingDateType = DateGenerationType.BusinessDays)
{
var(Start, End) = period.ParsePeriod();
return(CreateTermAsianBasisSwap(Start, End, strike, assetIdPay, assetIdRec, fixingCalendarPay, fixingCalendarRec, payCalendar, payOffset, currency, spotLagPay, spotLagRec, notionalPay, notionalRec, fixingDateType));
}
