private void AddCashFlow(TermDeposit depositFpML, bool isLenderBase)
{
var fixedInterest = new PriceableFixedRateCoupon(depositFpML.id + "FixedCoupon_1"
, BasePartyPayingFixed
, EffectiveDate
, TerminationDate
, depositFpML.dayCountFraction
, depositFpML.fixedRate
, isLenderBase ? MoneyHelper.GetMoney(depositFpML.principal) : MoneyHelper.Neg(depositFpML.principal)
, null
, PaymentDate
, null
, null
, null
, null);
InterestAmount = fixedInterest;
}
private void AddCashFlows(ILogger logger, ICoreCache cache,
IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar,
Fra fraFpML, bool isBuyer, String nameSpace)
{
EffectiveDate = fraFpML.adjustedEffectiveDate.Value;
TerminationDate = fraFpML.adjustedTerminationDate;
if (paymentCalendar == null)
{
paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, fraFpML.paymentDate.dateAdjustments.businessCenters, nameSpace);
}
if (fixingCalendar == null)
{
fixingCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, fraFpML.fixingDateOffset.businessCenters, nameSpace);
}
DateTime unadjustedPaymentDate = fraFpML.paymentDate.unadjustedDate.Value;
var notional = MoneyHelper.GetAmount(fraFpML.notional.amount, fraFpML.notional.currency);
PaymentDate = paymentCalendar.Roll(unadjustedPaymentDate, BusinessDayConventionHelper.Parse(fraFpML.paymentDate.dateAdjustments.businessDayConvention.ToString()));
DateTime adjustedFixingDate = GetResetDate(logger, cache, fixingCalendar, fraFpML, nameSpace);
var interval = fraFpML.indexTenor[0];
var floatingInterest = new PriceableFloatingRateCoupon(fraFpML.id + "FloatingCoupon_1"
, isBuyer
, EffectiveDate
, TerminationDate
, adjustedFixingDate
, fraFpML.dayCountFraction
, 0.0m
, FixedRate
, null
, isBuyer ? MoneyHelper.Neg(notional) : notional
, PaymentDate
, new ForecastRateIndex {
floatingRateIndex = fraFpML.floatingRateIndex, indexTenor = interval
}
, null
, null
, fraFpML.fraDiscounting
, paymentCalendar
, fixingCalendar)
{
ForecastRateInterpolation = ForecastRateInterpolation
};
// Combine two cashflows into one leg
//
FloatingCoupon = floatingInterest;//fraFpML.fraDiscounting,
}