public static Money GetReceivePresentValueOfAdditionalPayments(Swap swap, string baseParty) { var valueList = new List <Money>(); if (null != swap.additionalPayment) { valueList.AddRange(from payment in swap.additionalPayment where baseParty == payment.receiverPartyReference.href select payment.presentValueAmount); } return(MoneyHelper.Sum(valueList)); }
public static Money GetPayFutureValueOfAdditionalPayments(Swap swap, string baseParty) { var valueList = new List <MoneyBase>(); if (null != swap.additionalPayment) { valueList.AddRange((from payment in swap.additionalPayment where baseParty == payment.payerPartyReference.href select payment.paymentAmount)); } return(MoneyHelper.Sum(valueList)); }
public static Money GetReceiveFutureValueOfAdditionalPayments(CapFloor capFloor, string baseParty) { var valueList = new List <MoneyBase>(); if (null != capFloor.additionalPayment) { valueList.AddRange((from payment in capFloor.additionalPayment where baseParty == payment.receiverPartyReference.href select payment.paymentAmount)); } return(MoneyHelper.Sum(valueList)); }
public static Money GetFutureValue(CapFloor capFloor, string baseParty) { var list = new List <Money>(); InterestRateStream stream = capFloor.capFloorStream; Money futureValueOfStream = CashflowsHelper.GetForecastValue(stream.cashflows); list.AddRange(GetValue(stream.payerPartyReference.href, stream.receiverPartyReference.href, baseParty, futureValueOfStream)); Money futureValueOfAdditionalPayments = GetValueOfAdditionalPayments(capFloor, baseParty); list.Add(futureValueOfAdditionalPayments); return(MoneyHelper.Sum(list)); }
public static Money GetPresentValueOfAdditionalPayments(Swap swap, string baseParty) { var list = new List <Money>(); if (null != swap.additionalPayment) { foreach (Payment payment in swap.additionalPayment) { list.AddRange(GetValue(payment.payerPartyReference.href, payment.receiverPartyReference.href, baseParty, payment.presentValueAmount)); } } return(MoneyHelper.Sum(list)); }
public static Money GetValueOfAdditionalPayments(CapFloor capFloor, string baseParty) { var list = new List <MoneyBase>(); if (null != capFloor.additionalPayment) { foreach (Payment payment in capFloor.additionalPayment) { list.AddRange(GetValue(payment.payerPartyReference.href, payment.receiverPartyReference.href, baseParty, payment.paymentAmount)); } } return(MoneyHelper.Sum(list)); }
public static Money GetFutureValue(Swap swap, string baseParty) { var list = new List <Money>(); foreach (InterestRateStream stream in swap.swapStream) { Money futureValueOfStream = CashflowsHelper.GetForecastValue(stream.cashflows); list.AddRange(GetValue(stream.payerPartyReference.href, stream.receiverPartyReference.href, baseParty, futureValueOfStream)); } Money futureValueOfAdditionalPayments = GetValueOfAdditionalPayments(swap, baseParty); list.Add(futureValueOfAdditionalPayments); return(MoneyHelper.Sum(list)); }
/// <summary> /// Returns present value of the swap for a specified baseParty. /// </summary> /// <param name="swap"></param> /// <param name="baseParty">The party, from which point of view the valuations are computed.</param> /// <returns></returns> public static Money GetPresentValue(Swap swap, string baseParty) { var list = new List <Money>(); foreach (InterestRateStream stream in swap.swapStream) { Money presentValueOfStream = CashflowsHelper.GetPresentValue(stream.cashflows); list.AddRange(GetValue(stream.payerPartyReference.href, stream.receiverPartyReference.href, baseParty, presentValueOfStream)); } Money sumPVs = MoneyHelper.Sum(list); //only add a pv in the same currency. Money presentValueOfAdditionalPayments = GetPresentValueOfAdditionalPayments(swap, baseParty, sumPVs.currency); sumPVs = MoneyHelper.Add(sumPVs, presentValueOfAdditionalPayments); return(sumPVs); }
public static Money GetPayFutureValue(Swap swap, string baseParty) { var list = new List <Money>(); foreach (InterestRateStream stream in swap.swapStream) { Money presentValueOfStream = CashflowsHelper.GetForecastValue(stream.cashflows); if (baseParty == stream.payerPartyReference.href) { list.Add(presentValueOfStream); } } Money payFutureValueOfAdditionalPayments = GetPayFutureValueOfAdditionalPayments(swap, baseParty); list.Add(payFutureValueOfAdditionalPayments); return(MoneyHelper.Sum(list)); }
public static Money GetPayFutureValue(CapFloor capFloor, string baseParty) { var list = new List <Money>(); InterestRateStream stream = capFloor.capFloorStream; { Money presentValueOfStream = CashflowsHelper.GetForecastValue(stream.cashflows); if (baseParty == stream.payerPartyReference.href) { list.Add(presentValueOfStream); } } Money payFutureValueOfAdditionalPayments = GetPayFutureValueOfAdditionalPayments(capFloor, baseParty); list.Add(payFutureValueOfAdditionalPayments); return(MoneyHelper.Sum(list)); }
public static Money GetPresentValue(Cashflows cashflows) { var presentValueList = cashflows.paymentCalculationPeriod.Select(period => period.presentValueAmount).ToList(); return(MoneyHelper.Sum(presentValueList)); }
public static Money GetForecastValue(Cashflows cashflows) { var forecastValueList = cashflows.paymentCalculationPeriod.Select(period => period.forecastPaymentAmount).ToList(); return(MoneyHelper.Sum(forecastValueList)); }