public static RateIndex Parse(string id,
string instrumentId,
string floatingRateIndex,
string currency,
string dayCountFraction,
string paymentFrequency,
string term)
{
var rateIndex = new RateIndex
{
currency = new IdentifiedCurrency {
Value = currency
},
dayCountFraction = DayCountFractionHelper.Parse(dayCountFraction),
floatingRateIndex = FloatingRateIndexHelper.Parse(floatingRateIndex),
id = id,
instrumentId = InstrumentIdArrayHelper.Parse(instrumentId)
};
Period frequency = null;
if (paymentFrequency != null)
{
frequency = PeriodHelper.Parse(paymentFrequency);
}
rateIndex.paymentFrequency = frequency;
Period period = null;
if (term != null)
{
period = PeriodHelper.Parse(term);
}
rateIndex.term = period;
return(rateIndex);
}
public static FloatingRateCalculation Create(string floatingRateIndex, string indexTenor, decimal spreadInitialValue)
{
var result = new FloatingRateCalculation
{
floatingRateIndex = FloatingRateIndexHelper.Parse(floatingRateIndex),
indexTenor = PeriodHelper.Parse(indexTenor),
spreadSchedule = new[] { SpreadScheduleFactory.Create(spreadInitialValue) }
};
return(result);
}
public static Trade CreateFraTrade(FraInputRange2 fraInputRange)
{
var trade = new Trade();
var fra = new Fra
{
adjustedEffectiveDate =
DateTypesHelper.ToRequiredIdentifierDate(fraInputRange.AdjustedEffectiveDate),
adjustedTerminationDate = fraInputRange.AdjustedTerminationDate,
adjustedTerminationDateSpecified = true,
paymentDate =
DateTypesHelper.ToAdjustableDate(fraInputRange.UnadjustedPaymentDate,
fraInputRange.PaymentDateBusinessDayConvention,
fraInputRange.PaymentDateBusinessCenters),
Items = new object[] { new ProductType {
Value = ProductTypeSimpleEnum.FRA.ToString()
} },
ItemsElementName = new[] { ItemsChoiceType2.productType }
};
if ("resetDate" != fraInputRange.FixingDayOffsetDateRelativeTo)
{
throw new ArgumentException("The fixing date must be specified as 'resetDate'-relative!", nameof(fraInputRange));
}
var fixingDayType = EnumHelper.Parse <DayTypeEnum>(fraInputRange.FixingDayOffsetDayType);
fra.fixingDateOffset = RelativeDateOffsetHelper.Create(fraInputRange.FixingDayOffsetPeriod, fixingDayType,
fraInputRange.FixingDayOffsetBusinessDayConvention,
fraInputRange.FixingDayOffsetBusinessCenters,
fraInputRange.FixingDayOffsetDateRelativeTo);
fra.dayCountFraction = DayCountFractionHelper.Parse(fraInputRange.DayCountFraction);
IDayCounter dayCounter = DayCounterHelper.Parse(fra.dayCountFraction.Value);
fra.calculationPeriodNumberOfDays = dayCounter.DayCount(fra.adjustedEffectiveDate.Value, fra.adjustedTerminationDate).ToString(CultureInfo.InvariantCulture);
fra.notional = MoneyHelper.GetAmount(fraInputRange.NotionalAmount, fraInputRange.NotionalCurrency);
fra.fixedRate = (decimal)fraInputRange.FixedRate;
fra.fixedRateSpecified = true;
fra.floatingRateIndex = FloatingRateIndexHelper.Parse(fraInputRange.FloatingRateIndex);
fra.indexTenor = new[] { PeriodHelper.Parse(fraInputRange.IndexTenor) };
fra.fraDiscounting = fraInputRange.FraDiscounting;
fra.fraDiscountingSpecified = true;
PartyReference party1 = PartyReferenceFactory.Create("party1");
PartyReference party2 = PartyReferenceFactory.Create("party2");
fra.sellerPartyReference = party1;
fra.buyerPartyReference = party2;
if (bool.Parse(fraInputRange.IsParty1Buyer))
{
fra.sellerPartyReference = party2;
fra.buyerPartyReference = party1;
}
XsdClassesFieldResolver.TradeSetFra(trade, fra);
trade.id = fraInputRange.TradeId;
return(trade);
}
public static RateIndex Parse(string floatingRateIndex,
string currency,
string dayCountFraction)
{
var rateIndex = new RateIndex
{
currency = new IdentifiedCurrency {
Value = currency
},
dayCountFraction = DayCountFractionHelper.Parse(dayCountFraction),
floatingRateIndex = FloatingRateIndexHelper.Parse(floatingRateIndex),
};
return(rateIndex);
}
/// <summary>
///
/// </summary>
/// <param name="fraInputRange"></param>
/// <returns></returns>
public static Fra GetFpMLFra(FraInputRange fraInputRange)
{
var fra = new Fra
{
adjustedEffectiveDate =
DateTypesHelper.ToRequiredIdentifierDate(fraInputRange.AdjustedEffectiveDate),
adjustedTerminationDate = fraInputRange.AdjustedTerminationDate,
paymentDate =
DateTypesHelper.ToAdjustableDate(fraInputRange.UnadjustedPaymentDate,
fraInputRange.PaymentDateBusinessDayConvention,
fraInputRange.PaymentDateBusinessCenters)
};
if ("resetDate" != fraInputRange.FixingDayOffsetDateRelativeTo)
{
throw new ArgumentException("The fixing date must be specified as 'resetDate'-relative!", nameof(fraInputRange));
}
var fixingDayType = EnumHelper.Parse <DayTypeEnum>(fraInputRange.FixingDayOffsetDayType);
fra.fixingDateOffset = RelativeDateOffsetHelper.Create(fraInputRange.FixingDayOffsetPeriod, fixingDayType,
fraInputRange.FixingDayOffsetBusinessDayConvention,
fraInputRange.FixingDayOffsetBusinessCenters,
fraInputRange.FixingDayOffsetDateRelativeTo);
fra.dayCountFraction = DayCountFractionHelper.Parse(fraInputRange.DayCountFraction);
IDayCounter dayCounter = DayCounterHelper.Parse(fra.dayCountFraction.Value);
fra.calculationPeriodNumberOfDays = dayCounter.DayCount(fra.adjustedEffectiveDate.Value, fra.adjustedTerminationDate).ToString();
fra.notional = MoneyHelper.GetAmount(fraInputRange.NotionalAmount, fraInputRange.NotionalCurrency);
fra.fixedRate = (decimal)fraInputRange.FixedRate;
fra.floatingRateIndex = FloatingRateIndexHelper.Parse(fraInputRange.FloatingRateIndex);
fra.indexTenor = new[] { PeriodHelper.Parse(fraInputRange.IndexTenor) };
fra.fraDiscounting = fraInputRange.FraDiscounting;
PartyReference nabParty = PartyReferenceFactory.Create("NAB");
PartyReference counterParty = PartyReferenceFactory.Create("COUNTERPARTY");
if (bool.Parse(fraInputRange.Sell))
{
fra.sellerPartyReference = nabParty;
fra.buyerPartyReference = counterParty;
}
else
{
fra.sellerPartyReference = counterParty;
fra.buyerPartyReference = nabParty;
}
return(fra);
}
public static Trade CreateFraTrade(string tradeId, RequiredIdentifierDate adjustedEffectiveDate, DateTime adjustedTerminationDate,
AdjustableDate paymentDate, RelativeDateOffset fixingDayOffset, DayCountFraction dayCountFraction, decimal notionalAmount,
string notionalCurrency, decimal fixedRate, string floatingRateIndex, string indexTenor, FraDiscountingEnum fraDiscounting)
{
var trade = new Trade();
var fra = new Fra
{
adjustedEffectiveDate = adjustedEffectiveDate,
adjustedTerminationDate = adjustedTerminationDate,
adjustedTerminationDateSpecified = true,
paymentDate = paymentDate,
Items = new object[] { new ProductType {
Value = ProductTypeSimpleEnum.FRA.ToString()
} },
ItemsElementName = new[] { ItemsChoiceType2.productType }
};
if ("resetDate" != fixingDayOffset.dateRelativeTo.href)
{
throw new ArgumentException("The fixing date must be specified as 'resetDate'-relative!", nameof(fixingDayOffset));
}
fra.fixingDateOffset = fixingDayOffset;
fra.dayCountFraction = dayCountFraction;
IDayCounter dayCounter = DayCounterHelper.Parse(fra.dayCountFraction.Value);
fra.calculationPeriodNumberOfDays = dayCounter.DayCount(fra.adjustedEffectiveDate.Value, fra.adjustedTerminationDate).ToString(CultureInfo.InvariantCulture);
fra.notional = MoneyHelper.GetAmount(notionalAmount, notionalCurrency);
fra.fixedRate = fixedRate;
fra.fixedRateSpecified = true;
fra.floatingRateIndex = FloatingRateIndexHelper.Parse(floatingRateIndex);
fra.indexTenor = new[] { PeriodHelper.Parse(indexTenor) };
fra.fraDiscounting = fraDiscounting;
fra.fraDiscountingSpecified = true;
PartyReference party1 = PartyReferenceFactory.Create("party1");
PartyReference party2 = PartyReferenceFactory.Create("party2");
fra.sellerPartyReference = party2;
fra.buyerPartyReference = party1;
XsdClassesFieldResolver.TradeSetFra(trade, fra);
trade.id = tradeId;
return(trade);
}
public static RateIndex Parse(string floatingRateIndex,
string currency,
string dayCountFraction, string term)
{
var rateIndex = new RateIndex
{
currency = new IdentifiedCurrency {
Value = currency
},
dayCountFraction = DayCountFractionHelper.Parse(dayCountFraction),
floatingRateIndex = FloatingRateIndexHelper.Parse(floatingRateIndex),
};
Period period = null;
if (term != null)
{
period = PeriodHelper.Parse(term);
}
rateIndex.term = period;
return(rateIndex);
}
public static RateIndex Parse(string instrumentId,
string floatingRateIndex,
string currency,
string dayCountFraction,
string paymentFrequency,
string term)
{
var rateIndex = new RateIndex
{
currency = new IdentifiedCurrency {
Value = currency
},
dayCountFraction = DayCountFractionHelper.Parse(dayCountFraction),
floatingRateIndex = FloatingRateIndexHelper.Parse(floatingRateIndex),
id = instrumentId,
instrumentId = InstrumentIdArrayHelper.Parse(instrumentId),
paymentFrequency = PeriodHelper.Parse(paymentFrequency),
term = PeriodHelper.Parse(term)
};
return(rateIndex);
}