/// <summary>
/// Computes cash flow equivalent of Ibor leg.
/// <para>
/// The return type is {@code ResolvedSwapLeg} in which individual payments are
/// represented in terms of {@code NotionalExchange}.
///
/// </para>
/// </summary>
/// <param name="iborLeg"> the Ibor leg </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the cash flow equivalent </returns>
public static ResolvedSwapLeg cashFlowEquivalentIborLeg(ResolvedSwapLeg iborLeg, RatesProvider ratesProvider)
{
ArgChecker.isTrue(iborLeg.Type.Equals(SwapLegType.IBOR), "Leg type should be IBOR");
ArgChecker.isTrue(iborLeg.PaymentEvents.Empty, "PaymentEvent should be empty");
IList <NotionalExchange> paymentEvents = new List <NotionalExchange>();
foreach (SwapPaymentPeriod paymentPeriod in iborLeg.PaymentPeriods)
{
ArgChecker.isTrue(paymentPeriod is RatePaymentPeriod, "rate payment should be RatePaymentPeriod");
RatePaymentPeriod ratePaymentPeriod = (RatePaymentPeriod)paymentPeriod;
ArgChecker.isTrue(ratePaymentPeriod.AccrualPeriods.size() == 1, "rate payment should not be compounding");
RateAccrualPeriod rateAccrualPeriod = ratePaymentPeriod.AccrualPeriods.get(0);
CurrencyAmount notional = ratePaymentPeriod.NotionalAmount;
LocalDate paymentDate = ratePaymentPeriod.PaymentDate;
IborIndexObservation obs = ((IborRateComputation)rateAccrualPeriod.RateComputation).Observation;
IborIndex index = obs.Index;
LocalDate fixingStartDate = obs.EffectiveDate;
double fixingYearFraction = obs.YearFraction;
double beta = (1d + fixingYearFraction * ratesProvider.iborIndexRates(index).rate(obs)) * ratesProvider.discountFactor(paymentPeriod.Currency, paymentPeriod.PaymentDate) / ratesProvider.discountFactor(paymentPeriod.Currency, fixingStartDate);
double ycRatio = rateAccrualPeriod.YearFraction / fixingYearFraction;
NotionalExchange payStart = NotionalExchange.of(notional.multipliedBy(beta * ycRatio), fixingStartDate);
NotionalExchange payEnd = NotionalExchange.of(notional.multipliedBy(-ycRatio), paymentDate);
paymentEvents.Add(payStart);
paymentEvents.Add(payEnd);
}
ResolvedSwapLeg leg = ResolvedSwapLeg.builder().paymentEvents(paymentEvents).payReceive(PayReceive.RECEIVE).type(SwapLegType.OTHER).build();
return(leg);
}
/// <summary>
/// Computes cash flow equivalent of swap.
/// <para>
/// The swap should be a fix-for-Ibor swap without compounding, and its swap legs
/// should not involve {@code PaymentEvent}.
/// </para>
/// <para>
/// The return type is {@code ResolvedSwapLeg} in which individual payments are
/// represented in terms of {@code NotionalExchange}.
///
/// </para>
/// </summary>
/// <param name="swap"> the swap product </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the cash flow equivalent </returns>
public static ResolvedSwapLeg cashFlowEquivalentSwap(ResolvedSwap swap, RatesProvider ratesProvider)
{
validateSwap(swap);
ResolvedSwapLeg cfFixed = cashFlowEquivalentFixedLeg(swap.getLegs(SwapLegType.FIXED).get(0), ratesProvider);
ResolvedSwapLeg cfIbor = cashFlowEquivalentIborLeg(swap.getLegs(SwapLegType.IBOR).get(0), ratesProvider);
ResolvedSwapLeg leg = ResolvedSwapLeg.builder().paymentEvents(Stream.concat(cfFixed.PaymentEvents.stream(), cfIbor.PaymentEvents.stream()).collect(Collectors.toList())).payReceive(PayReceive.RECEIVE).type(SwapLegType.OTHER).build();
return(leg);
}
/// <summary>
/// Computes cash flow equivalent of fixed leg.
/// <para>
/// The return type is {@code ResolvedSwapLeg} in which individual payments are
/// represented in terms of {@code NotionalExchange}.
///
/// </para>
/// </summary>
/// <param name="fixedLeg"> the fixed leg </param>
/// <param name="ratesProvider"> the rates provider </param>
/// <returns> the cash flow equivalent </returns>
public static ResolvedSwapLeg cashFlowEquivalentFixedLeg(ResolvedSwapLeg fixedLeg, RatesProvider ratesProvider)
{
ArgChecker.isTrue(fixedLeg.Type.Equals(SwapLegType.FIXED), "Leg type should be FIXED");
ArgChecker.isTrue(fixedLeg.PaymentEvents.Empty, "PaymentEvent should be empty");
IList <NotionalExchange> paymentEvents = new List <NotionalExchange>();
foreach (SwapPaymentPeriod paymentPeriod in fixedLeg.PaymentPeriods)
{
ArgChecker.isTrue(paymentPeriod is RatePaymentPeriod, "rate payment should be RatePaymentPeriod");
RatePaymentPeriod ratePaymentPeriod = (RatePaymentPeriod)paymentPeriod;
ArgChecker.isTrue(ratePaymentPeriod.AccrualPeriods.size() == 1, "rate payment should not be compounding");
RateAccrualPeriod rateAccrualPeriod = ratePaymentPeriod.AccrualPeriods.get(0);
double factor = rateAccrualPeriod.YearFraction * ((FixedRateComputation)rateAccrualPeriod.RateComputation).Rate;
CurrencyAmount notional = ratePaymentPeriod.NotionalAmount.multipliedBy(factor);
LocalDate paymentDate = ratePaymentPeriod.PaymentDate;
NotionalExchange pay = NotionalExchange.of(notional, paymentDate);
paymentEvents.Add(pay);
}
ResolvedSwapLeg leg = ResolvedSwapLeg.builder().paymentEvents(paymentEvents).payReceive(PayReceive.RECEIVE).type(SwapLegType.OTHER).build();
return(leg);
}