public static Swaption Create(Swap swap, Payment[] premium, EuropeanExercise exercise, bool automaticExercise) { var swaption = new Swaption { swap = swap, premium = premium }; var europeanExercise = exercise; swaption.exerciseProcedure = new ExerciseProcedure(); if (automaticExercise) { XsdClassesFieldResolver.ExerciseProcedureSetAutomaticExercise(swaption.exerciseProcedure, new AutomaticExercise()); } else//manual exercise { XsdClassesFieldResolver.ExerciseProcedureSetManualExercise(swaption.exerciseProcedure, new ManualExercise()); } XsdClassesFieldResolver.SwaptionSetEuropeanExercise(swaption, europeanExercise); return(swaption); }
public static Swaption Create(Swap swap, NonNegativeMoney premium, string premiumPayer, string premiumReceiver, AdjustableOrAdjustedDate paymentDate, AdjustableDate expirationDate, DateTime earliestExerciseTime, DateTime expirationTime, bool automaticExercise) { var swaption = new Swaption { swap = swap, premium = new[] { new Payment() }, buyerPartyReference = PartyReferenceHelper.Parse(premiumPayer), sellerPartyReference = PartyReferenceHelper.Parse(premiumReceiver) }; swaption.premium[0].paymentAmount = premium; swaption.premium[0].paymentDate = paymentDate; swaption.premium[0].payerPartyReference = PartyReferenceHelper.Parse(premiumPayer); swaption.premium[0].receiverPartyReference = PartyReferenceHelper.Parse(premiumReceiver); var europeanExercise = new EuropeanExercise { expirationDate = new AdjustableOrRelativeDate(), earliestExerciseTime = BusinessCenterTimeHelper.Create(earliestExerciseTime), expirationTime = BusinessCenterTimeHelper.Create(expirationTime) }; europeanExercise.expirationDate.Item = expirationDate; swaption.exerciseProcedure = new ExerciseProcedure(); if (automaticExercise) { XsdClassesFieldResolver.ExerciseProcedureSetAutomaticExercise(swaption.exerciseProcedure, new AutomaticExercise()); } else//manual exercise { XsdClassesFieldResolver.ExerciseProcedureSetManualExercise(swaption.exerciseProcedure, new ManualExercise()); } XsdClassesFieldResolver.SwaptionSetEuropeanExercise(swaption, europeanExercise); return(swaption); }