/// <summary>
///
/// </summary>
/// <param name="exchangeCurrency1PayPartyReference"></param>
/// <param name="exchangeCurrency2PayPartyReference"></param>
/// <param name="exchangeCurrency1Amount"></param>
/// <param name="exchangeCurrency1"></param>
/// <param name="exchangeCurrency2"></param>
/// <param name="quoteBasis"></param>
/// <param name="valueDate"></param>
/// <param name="spotRate"></param>
/// <param name="forwardRate"></param>
/// <param name="forwardPoints"></param>
/// <returns></returns>
public static FxSingleLeg CreateForward(string exchangeCurrency1PayPartyReference, string exchangeCurrency2PayPartyReference,
decimal exchangeCurrency1Amount, string exchangeCurrency1, string exchangeCurrency2, QuoteBasisEnum quoteBasis,
DateTime valueDate, Decimal spotRate, Decimal forwardRate, Decimal?forwardPoints)
{
decimal exchange2Amount;
if (quoteBasis == QuoteBasisEnum.Currency2PerCurrency1)
{
exchange2Amount = exchangeCurrency1Amount * forwardRate;
}
else
{
exchange2Amount = exchangeCurrency1Amount / forwardRate;
}
var fxForward = new FxSingleLeg
{
exchangedCurrency1 =
PaymentHelper.Create(exchangeCurrency1PayPartyReference,
exchangeCurrency2PayPartyReference, exchangeCurrency1,
exchangeCurrency1Amount),
exchangedCurrency2 =
PaymentHelper.Create(exchangeCurrency2PayPartyReference,
exchangeCurrency1PayPartyReference, exchangeCurrency2,
exchange2Amount),
Items = new[] { valueDate },
exchangeRate =
ExchangeRate.Create(exchangeCurrency1, exchangeCurrency2, quoteBasis, spotRate,
forwardRate, forwardPoints),
ItemsElementName = new[] { ItemsChoiceType31.valueDate }
};
return(fxForward);
}
/// <summary>
///
/// </summary>
/// <param name="hasExpired"></param>
/// <param name="putCurrencyPayPartyReference"></param>
/// <param name="callCurrencyPayPartyReference"></param>
/// <param name="putCurrencyAmount"></param>
/// <param name="putCurrency"></param>
/// <param name="callCurrencyAmount"></param>
/// <param name="callCurrency"></param>
/// <param name="strikeQuoteBasis"></param>
/// <param name="valueDate"></param>
/// <param name="fxRate"></param>
/// <returns></returns>
public static FxSingleLeg CreateFxSingleLeg(bool hasExpired, string putCurrencyPayPartyReference, string callCurrencyPayPartyReference, decimal putCurrencyAmount,
string putCurrency, decimal callCurrencyAmount, string callCurrency, StrikeQuoteBasisEnum strikeQuoteBasis, DateTime valueDate, Decimal fxRate)
{
QuoteBasisEnum quoteBasis = strikeQuoteBasis == StrikeQuoteBasisEnum.CallCurrencyPerPutCurrency ? QuoteBasisEnum.Currency2PerCurrency1 : QuoteBasisEnum.Currency1PerCurrency2;
ExchangeRate exchangeRate = hasExpired ? ExchangeRate.Create(putCurrency, callCurrency, quoteBasis, fxRate)
: ExchangeRate.Create(putCurrency, callCurrency, quoteBasis, fxRate, fxRate, null);
var fxForward = new FxSingleLeg
{
exchangedCurrency1 =
PaymentHelper.Create(putCurrencyPayPartyReference, callCurrencyPayPartyReference,
putCurrency, putCurrencyAmount),
exchangedCurrency2 =
PaymentHelper.Create(callCurrencyPayPartyReference, putCurrencyPayPartyReference,
callCurrency, callCurrencyAmount),
Items = new[] { valueDate },
ItemsElementName = new[] { ItemsChoiceType31.valueDate },
exchangeRate = exchangeRate,
};
return(fxForward);
}
/// <summary>
/// Builds an fx trade from the current vanilla fx option class.
/// </summary>
/// <param name="hasExpired"></param>
/// <returns></returns>
public FxSingleLeg CreateFxSingleLeg(bool hasExpired)
{
QuoteBasisEnum quoteBasis = strike.strikeQuoteBasis == StrikeQuoteBasisEnum.CallCurrencyPerPutCurrency ? QuoteBasisEnum.Currency2PerCurrency1 : QuoteBasisEnum.Currency1PerCurrency2;
ExchangeRate exchangeRate = hasExpired ? ExchangeRate.Create(putCurrencyAmount.currency.Value, putCurrencyAmount.currency.Value, quoteBasis, strike.rate)
: ExchangeRate.Create(putCurrencyAmount.currency.Value, putCurrencyAmount.currency.Value, quoteBasis, strike.rate, strike.rate, null);
var fxForward = new FxSingleLeg
{
//exchangedCurrency1 =
// PaymentHelper.Create(this.putCurrencyPayPartyReference, callCurrencyPayPartyReference,
// putCurrency, putCurrencyAmount),
//exchangedCurrency2 =
// PaymentHelper.Create(callCurrencyPayPartyReference, putCurrencyPayPartyReference,
// callCurrency, callCurrencyAmount),
exchangeRate = exchangeRate,
ItemsElementName = new[] { ItemsChoiceType31.valueDate }
};
if (Item is FxEuropeanExercise exercise && exercise.expiryDateSpecified)
{
fxForward.Items = new[] { exercise.expiryDate };
}
return(fxForward);
}
/// <summary>
///
/// </summary>
/// <param name="trade"></param>
/// <param name="swap"></param>
public static void TradeSetFxSingleLeg(Trade trade, FxSingleLeg swap)
{
trade.Item = swap;
trade.ItemElementName = ItemChoiceType15.fxSingleLeg;
}