/// <summary>
/// Updates forecastRate, forecastPaymentAmount, discountFactor and presentValueAmount of each paymentCalculation period.
/// </summary>
/// <param name="interestRateStream">The interest rate stream.</param>
/// <param name="forecastCurve">The forecast curve.</param>
/// <param name="discountCurve">The discount curve.</param>
/// <param name="valuationDate">The valuation date.</param>
public static void UpdateCashflowsAmounts(InterestRateStream interestRateStream,
IRateCurve forecastCurve, IRateCurve discountCurve,
DateTime valuationDate)
{
//FixAfterManualUpdate(interestRateStream);//should it be removed, since it might produce subtle errors which will be effectively hidden.
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(interestRateStream.calculationPeriodAmount);
UpdateNumberOfDaysAndYearFraction(new List <PaymentCalculationPeriod>(interestRateStream.cashflows.paymentCalculationPeriod), calculation);
FloatingRateCalculation floatingRateCalculation =
XsdClassesFieldResolver.CalculationHasFloatingRateCalculation(calculation)
? XsdClassesFieldResolver.CalculationGetFloatingRateCalculation(calculation) : null;
// calculate forecast payment amount for each payment calculation period
//
foreach (PaymentCalculationPeriod period in interestRateStream.cashflows.paymentCalculationPeriod)
{
CalculateForecastPaymentAmount(calculation, floatingRateCalculation, period, forecastCurve, discountCurve, valuationDate);
}
// principle exchanges
//
if (interestRateStream.cashflows.principalExchange != null)
{
foreach (PrincipalExchange principalExchange in interestRateStream.cashflows.principalExchange)
{
CalculateForecastPaymentAmount(principalExchange, discountCurve, valuationDate);
}
}
}
public static void SetFloorRateSchedule(InterestRateStream stream, Schedule floorRateSchedule, bool isReceiverBuyer)
{
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(stream.calculationPeriodAmount);
FloatingRateCalculation floatingRateCalculation = XsdClassesFieldResolver.CalculationGetFloatingRateCalculation(calculation);
var schedule = new StrikeSchedule
{
initialValue = floorRateSchedule.initialValue,
step = floorRateSchedule.step
};
floatingRateCalculation.floorRateSchedule = new[] { schedule };
if (isReceiverBuyer)
{
floatingRateCalculation.floorRateSchedule[0].buyer = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Receiver
};
floatingRateCalculation.floorRateSchedule[0].seller = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Payer
};
}
else
{
floatingRateCalculation.floorRateSchedule[0].buyer = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Payer
};
floatingRateCalculation.floorRateSchedule[0].seller = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Receiver
};
}
}
//public static void SetNotionalSchedule(InterestRateStream stream, AmountSchedule amountSchedule)
//{
// Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmount_GetCalculation(stream.calculationPeriodAmount);
// var notional = new Notional { notionalStepSchedule = amountSchedule };
// XsdClassesFieldResolver.Calculation_SetNotionalSchedule(calculation, notional);
//}
public static void SetNotionalSchedule(InterestRateStream stream, NonNegativeAmountSchedule amountSchedule)
{
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(stream.calculationPeriodAmount);
var notional = new Notional {
notionalStepSchedule = amountSchedule
};
XsdClassesFieldResolver.CalculationSetNotionalSchedule(calculation, notional);
}
public static void SetSpreadSchedule(InterestRateStream stream, Schedule spreadSchedule)
{
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(stream.calculationPeriodAmount);
FloatingRateCalculation floatingRateCalculation = XsdClassesFieldResolver.CalculationGetFloatingRateCalculation(calculation);
var schedule = new SpreadSchedule {
initialValue = spreadSchedule.initialValue, step = spreadSchedule.step
};
floatingRateCalculation.spreadSchedule = new[] { schedule };
}
private static Cashflows GetCashflows(
InterestRateStream interestRateStream, CalculationPeriodsPrincipalExchangesAndStubs calculationPeriodsPrincipalExchangesAndStubs,
IBusinessCalendar paymentCalendar)
{
// Assign notionals, rates, cap/floor rate, etc
//
StreamCashflowsGenerator.UpdateCalculationPeriodsData(interestRateStream, calculationPeriodsPrincipalExchangesAndStubs);
List <PaymentCalculationPeriod> paymentCalculationPeriods = StreamCashflowsGenerator.GetPaymentCalculationPeriods(interestRateStream, calculationPeriodsPrincipalExchangesAndStubs, paymentCalendar);
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(interestRateStream.calculationPeriodAmount);
UpdateNumberOfDaysAndYearFraction(paymentCalculationPeriods, calculation);
return(CashflowsFactory.Create(paymentCalculationPeriods, calculationPeriodsPrincipalExchangesAndStubs.GetAllPrincipalExchanges(), true));//TODO THe cashflowsmatch paraqmeter at the end could be a problem!
}
public static void SetFixedRateSchedule(InterestRateStream stream, Schedule fixedRateSchedule)
{
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(stream.calculationPeriodAmount);
XsdClassesFieldResolver.CalculationSetFixedRateSchedule(calculation, fixedRateSchedule);
}
private static InterestRateStream GenerateFixedStreamDefinition(SwapLegParametersRange legParametersRange)
{
var discountingType = legParametersRange.DiscountingType;
InterestRateStream stream;
Discounting discounting = null;
if (discountingType != null && discountingType.ToUpper() != "NONE")
{
discounting = new Discounting {
discountingType = EnumHelper.Parse <DiscountingTypeEnum>(legParametersRange.DiscountingType), discountingTypeSpecified = true
};
stream = InterestRateStreamFactory.CreateFixedRateStream(DiscountingTypeToPayRelativeTo(discounting.discountingType));
}
else
{
stream = InterestRateStreamFactory.CreateFixedRateStream(DiscountingTypeToPayRelativeTo(null));
}
// Set effective and termination dates of the stream.
//
SetEffectiveAndTerminationDates(stream, legParametersRange.EffectiveDate, legParametersRange.MaturityDate, legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
//Set the FirstRegularPeriodStartDate
SetFirstRegularPeriodStartDate(stream, legParametersRange.FirstRegularPeriodStartDate);
//Set the LastRegularPeriodEndDate
SetLastRegularPeriodEndDate(stream, legParametersRange.LastRegularPeriodEndDate);
// Adjusted or unadjusted swap
//
var dateAdjustments = AdjustedType.Adjusted != legParametersRange.AdjustedType ? BusinessDayAdjustmentsHelper.Create(BusinessDayConventionEnum.NONE, legParametersRange.PaymentCalendar) : BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
stream.calculationPeriodDates.calculationPeriodDatesAdjustments = dateAdjustments;
stream.calculationPeriodDates.calculationPeriodFrequency = CalculationPeriodFrequencyHelper.Parse(legParametersRange.PaymentFrequency, legParametersRange.RollConvention);
//Set FirstPeriodStartDate i.e. Full or Partial period.
if (legParametersRange.FirstCouponType == FirstCouponType.Full)
{
var firstCouponStartDate = new AdjustableDate
{
dateAdjustments = dateAdjustments, id = "FullFirstCoupon"
};
SetFirstPeriodStartDate(stream, firstCouponStartDate);
}
// Set payment dates frequency and adjustments
//
stream.paymentDates.paymentFrequency = PeriodHelper.Parse(legParametersRange.PaymentFrequency).ToFrequency();
stream.paymentDates.paymentDatesAdjustments = BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(stream.calculationPeriodAmount);
// Set discounting type
//
calculation.discounting = discounting;
// Set notional amount (as the initial value in notional schedule)
//
SetNotional(calculation, legParametersRange.NotionalAmount, legParametersRange.Currency);
// Set fixed rate (as the initial value in fixed-rate schedule)
//
Schedule fixedRateSchedule = ScheduleHelper.Create(legParametersRange.CouponOrLastResetRate);
XsdClassesFieldResolver.CalculationSetFixedRateSchedule(calculation, fixedRateSchedule);
// Set the 'day count convention'
//
calculation.dayCountFraction = DayCountFractionHelper.Parse(legParametersRange.DayCount);
// Initial stub
//
//if (paymentCalendar==null)
//{
// paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, stream.paymentDates.paymentDatesAdjustments.businessCenters);
//}
//ProcessStubs(stream, legParametersRange, paymentCalendar);
return(stream);
}
private static InterestRateStream GenerateCapFloorStreamDefinition(CapFloorLegParametersRange legParametersRange)
{
Discounting discounting = null;
InterestRateStream stream;
if (legParametersRange.DiscountingType != null && legParametersRange.DiscountingType.ToUpper() != "NONE")
{
discounting = new Discounting
{
discountingType =
EnumHelper.Parse <DiscountingTypeEnum>(legParametersRange.DiscountingType)
};
stream = InterestRateStreamFactory.CreateFloatingRateStream(DiscountingTypeToPayRelativeTo(discounting.discountingType));
}
// Create the stream object
//
else
{
stream = InterestRateStreamFactory.CreateFloatingRateStream(DiscountingTypeToPayRelativeTo(null));
}
// Set effective and termination dates of the stream.
//
SetEffectiveAndTerminationDates(stream, legParametersRange.EffectiveDate, legParametersRange.MaturityDate, legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
// Adjusted or unadjusted swap
//
stream.calculationPeriodDates.calculationPeriodDatesAdjustments = AdjustedType.Adjusted != legParametersRange.AdjustedType ? BusinessDayAdjustmentsHelper.Create(BusinessDayConventionEnum.NONE, legParametersRange.PaymentCalendar) : BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
stream.calculationPeriodDates.calculationPeriodFrequency = CalculationPeriodFrequencyHelper.Parse(legParametersRange.PaymentFrequency, legParametersRange.RollConvention);
stream.paymentDates.paymentFrequency = PeriodHelper.Parse(legParametersRange.PaymentFrequency).ToFrequency();
stream.paymentDates.paymentDatesAdjustments = BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
stream.resetDates.fixingDates = RelativeDateOffsetHelper.Create(legParametersRange.PaymentFrequency, DayTypeEnum.Business, BusinessDayConventionEnum.NONE.ToString(), legParametersRange.FixingCalendar, "resetDates");//"NONE" & "resedDates" - hardcoded
stream.resetDates.resetFrequency = ResetFrequencyHelper.Parse(legParametersRange.PaymentFrequency);
stream.resetDates.resetDatesAdjustments = BusinessDayAdjustmentsHelper.Create(legParametersRange.FixingBusinessDayAdjustments, legParametersRange.FixingCalendar);
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(stream.calculationPeriodAmount);
// Set discounting type
//
calculation.discounting = discounting;
// Set notional amount (as the initial value in notional schedule)
//
SetNotional(calculation, legParametersRange.NotionalAmount, legParametersRange.Currency);
// Set floating rate index name
//
string indexTenor = legParametersRange.PaymentFrequency;
string indexName = legParametersRange.ForecastIndexName;
FloatingRateCalculation floatingRateCalculation = FloatingRateCalculationFactory.Create(indexName, indexTenor, legParametersRange.FloatingRateSpread);
XsdClassesFieldResolver.CalculationSetFloatingRateCalculation(calculation, floatingRateCalculation);
if (legParametersRange.CapOrFloor == CapFloorType.Cap)
{
floatingRateCalculation.capRateSchedule = new[] { new StrikeSchedule() };
floatingRateCalculation.capRateSchedule[0].initialValue = legParametersRange.StrikeRate;
floatingRateCalculation.capRateSchedule[0].buyer = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Receiver
};
floatingRateCalculation.capRateSchedule[0].seller = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Payer
};
}
else
{
floatingRateCalculation.floorRateSchedule = new[] { new StrikeSchedule() };
floatingRateCalculation.floorRateSchedule[0].initialValue = legParametersRange.StrikeRate;
floatingRateCalculation.floorRateSchedule[0].buyer = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Receiver
};
floatingRateCalculation.floorRateSchedule[0].seller = new IdentifiedPayerReceiver {
Value = PayerReceiverEnum.Payer
};
}
// Set day count convention
//
calculation.dayCountFraction = DayCountFractionHelper.Parse(legParametersRange.DayCount);
return(stream);
}
private static InterestRateStream GenerateFloatingStreamDefinition(SwapLegParametersRange legParametersRange)
{
Discounting discounting = null;
InterestRateStream stream;
if (legParametersRange.DiscountingType != null && legParametersRange.DiscountingType.ToUpper() != "NONE")
{
discounting = new Discounting {
discountingType = EnumHelper.Parse <DiscountingTypeEnum>(legParametersRange.DiscountingType)
};
// Create the stream object
stream = InterestRateStreamFactory.CreateFloatingRateStream(DiscountingTypeToPayRelativeTo(discounting.discountingType));
}
else
{
// Create the stream object
//
stream = InterestRateStreamFactory.CreateFloatingRateStream(DiscountingTypeToPayRelativeTo(null));
}
// Set effective and termination dates of the stream.
//
SetEffectiveAndTerminationDates(stream, legParametersRange.EffectiveDate, legParametersRange.MaturityDate, legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
//Set the FirstRegularPeriodStartDate
SetFirstRegularPeriodStartDate(stream, legParametersRange.FirstRegularPeriodStartDate);
//Set the LastRegularPeriodEndDate
SetLastRegularPeriodEndDate(stream, legParametersRange.LastRegularPeriodEndDate);
// Adjusted or unadjusted swap
//Set the stub period type
var dateAdjustments = AdjustedType.Adjusted != legParametersRange.AdjustedType
? BusinessDayAdjustmentsHelper.Create(BusinessDayConventionEnum.NONE, legParametersRange.PaymentCalendar)
: BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
stream.calculationPeriodDates.calculationPeriodDatesAdjustments = dateAdjustments;
stream.calculationPeriodDates.calculationPeriodFrequency = CalculationPeriodFrequencyHelper.Parse(legParametersRange.PaymentFrequency, legParametersRange.RollConvention);
if (legParametersRange.FirstCouponType == FirstCouponType.Full)
{
var firstCouponStartDate = new AdjustableDate
{
dateAdjustments = dateAdjustments, id = "FullFirstCoupon"
};
SetFirstPeriodStartDate(stream, firstCouponStartDate);
}
//Set the payment dates
stream.paymentDates.paymentFrequency = PeriodHelper.Parse(legParametersRange.PaymentFrequency).ToFrequency();
stream.paymentDates.paymentDatesAdjustments = BusinessDayAdjustmentsHelper.Create(legParametersRange.PaymentBusinessDayAdjustments, legParametersRange.PaymentCalendar);
stream.resetDates.fixingDates = RelativeDateOffsetHelper.Create(legParametersRange.PaymentFrequency, DayTypeEnum.Business, BusinessDayConventionEnum.NONE.ToString(), legParametersRange.FixingCalendar, "resetDates");//"NONE" & "resedDates" - hardcoded
stream.resetDates.resetFrequency = ResetFrequencyHelper.Parse(legParametersRange.PaymentFrequency);
stream.resetDates.resetDatesAdjustments = BusinessDayAdjustmentsHelper.Create(legParametersRange.FixingBusinessDayAdjustments, legParametersRange.FixingCalendar);
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(stream.calculationPeriodAmount);
// Set discounting type
//
calculation.discounting = discounting;
// Set notional amount (as the initial value in notional schedule)
//
SetNotional(calculation, legParametersRange.NotionalAmount, legParametersRange.Currency);
// Set floating rate index name
//
string indexTenor = legParametersRange.PaymentFrequency;
//string indexName = legParametersRange.ForecastCurve;
string indexName = legParametersRange.ForecastIndexName;
FloatingRateCalculation floatingRateCalculation = FloatingRateCalculationFactory.Create(indexName, indexTenor, legParametersRange.FloatingRateSpread);
XsdClassesFieldResolver.CalculationSetFloatingRateCalculation(calculation, floatingRateCalculation);
// Set day count convention
//
calculation.dayCountFraction = DayCountFractionHelper.Parse(legParametersRange.DayCount);
return(stream);
}
/// <summary>
/// Update calculation periods with rates/notional.
/// </summary>
/// <param name="interestRateStream"></param>
/// <param name="calculationPeriodsPrincipalExchangesAndStubs"></param>
public static void UpdateCalculationPeriodsData(InterestRateStream interestRateStream, CalculationPeriodsPrincipalExchangesAndStubs calculationPeriodsPrincipalExchangesAndStubs)
{
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(interestRateStream.calculationPeriodAmount);
Notional notionalSchedule = XsdClassesFieldResolver.CalculationGetNotionalSchedule(calculation);
#region Generate FUTURE amounts for principle exchanges
// Initial PE
//
if (null != calculationPeriodsPrincipalExchangesAndStubs.InitialPrincipalExchange)
{
// initial OUTflow
//
decimal initialNotionalValue = ScheduleHelper.GetValue(notionalSchedule.notionalStepSchedule, calculationPeriodsPrincipalExchangesAndStubs.InitialPrincipalExchange.adjustedPrincipalExchangeDate);
calculationPeriodsPrincipalExchangesAndStubs.InitialPrincipalExchange.principalExchangeAmount = -initialNotionalValue;
calculationPeriodsPrincipalExchangesAndStubs.InitialPrincipalExchange.principalExchangeAmountSpecified = true;
}
// intermediary PE
//
foreach (PrincipalExchange intermediaryExchange in calculationPeriodsPrincipalExchangesAndStubs.IntermediatePrincipalExchanges)
{
DateTime principleExchangeDate = intermediaryExchange.adjustedPrincipalExchangeDate;
//value at the day before principle exchange day
//
decimal prevNotionalValue = ScheduleHelper.GetValue(notionalSchedule.notionalStepSchedule, principleExchangeDate.AddDays(-1));
//value at principle exchange day ..
//
decimal newNotionalValue = ScheduleHelper.GetValue(notionalSchedule.notionalStepSchedule, principleExchangeDate);
decimal principalExchangeAmount = prevNotionalValue - newNotionalValue;
intermediaryExchange.principalExchangeAmount = principalExchangeAmount;
intermediaryExchange.principalExchangeAmountSpecified = true;
}
// Final PE
//
if (null != calculationPeriodsPrincipalExchangesAndStubs.FinalPrincipalExchange)
{
// pay the rest ot the notional back
//
decimal newNotionalValue = ScheduleHelper.GetValue(notionalSchedule.notionalStepSchedule,
calculationPeriodsPrincipalExchangesAndStubs.FinalPrincipalExchange.adjustedPrincipalExchangeDate);
calculationPeriodsPrincipalExchangesAndStubs.FinalPrincipalExchange.principalExchangeAmount = newNotionalValue;
calculationPeriodsPrincipalExchangesAndStubs.FinalPrincipalExchange.principalExchangeAmountSpecified = true;
}
#endregion
// Process standard calculation periods
//
foreach (CalculationPeriod calculationPeriod in calculationPeriodsPrincipalExchangesAndStubs.CalculationPeriods)
{
UpdateCalculationPeriodData(calculation, calculationPeriod, notionalSchedule);
}
// Process stub calculation periods
//
if (null != interestRateStream.stubCalculationPeriodAmount)
{
if ((null == interestRateStream.stubCalculationPeriodAmount.initialStub) &&
(null == interestRateStream.stubCalculationPeriodAmount.finalStub))
{
throw new System.Exception(
"interestRateStream.stubCalculationPeriodAmount.initialStub && interestRateStream.stubCalculationPeriodAmount.finalStub are null");
}
StubValue initialStub = interestRateStream.stubCalculationPeriodAmount.initialStub;
StubValue finalStub = interestRateStream.stubCalculationPeriodAmount.finalStub;
if (null != calculationPeriodsPrincipalExchangesAndStubs.InitialStubCalculationPeriod && null != initialStub)
{
UpdateStubCalculationPeriodData(interestRateStream, calculationPeriodsPrincipalExchangesAndStubs.InitialStubCalculationPeriod, initialStub, notionalSchedule);
}
if (null != calculationPeriodsPrincipalExchangesAndStubs.FinalStubCalculationPeriod && null != finalStub)
{
UpdateStubCalculationPeriodData(interestRateStream, calculationPeriodsPrincipalExchangesAndStubs.FinalStubCalculationPeriod, finalStub, notionalSchedule);
}
}
else
{
foreach (CalculationPeriod calculationPeriod in new[] { calculationPeriodsPrincipalExchangesAndStubs.InitialStubCalculationPeriod, calculationPeriodsPrincipalExchangesAndStubs.FinalStubCalculationPeriod })
{
if (null != calculationPeriod)
{
UpdateCalculationPeriodData(calculation, calculationPeriod, notionalSchedule);
}
}
}
}
/// <summary>
/// Don't generate stubs?
/// </summary>
/// <param name="interestRateStream"></param>
/// <param name="rollDates">from #1st roll date to last roll date (last roll dates is effectively the end of the swap)</param>
/// <param name="paymentCalendar"></param>
/// <returns></returns>
public static CalculationPeriodsPrincipalExchangesAndStubs GenerateCalculationPeriodsPrincipalExchangesAndStubsFromRollDates(InterestRateStream interestRateStream,
List <DateTime> rollDates,
IBusinessCalendar paymentCalendar)
{
CalculationPeriodDates calculationPeriodDates = interestRateStream.calculationPeriodDates;
AdjustableDate adjustableEffectiveDate = XsdClassesFieldResolver.CalculationPeriodDatesGetEffectiveDate(calculationPeriodDates);
var result = new CalculationPeriodsPrincipalExchangesAndStubs();
for (int rollDateIndex = 0; rollDateIndex < rollDates.Count - 1; ++rollDateIndex)
{
DateTime startOfThePeriod = rollDates[rollDateIndex];
DateTime endOfThePeriod = rollDates[rollDateIndex + 1];
var calculationPeriod = new CalculationPeriod();
// Set adjusted period dates
//
CalculationPeriodHelper.SetAdjustedDates(calculationPeriod,
startOfThePeriod,
endOfThePeriod);
result.Add(calculationPeriod);
}
// Add principle exchanges if this need is defined in parametric representation of the interest rate steam.
//
if (null != interestRateStream.principalExchanges)
{
// Initial PE
//
if (interestRateStream.principalExchanges.initialExchange)
{
//if (paymentCalendar == null)
//{
// paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, adjustableEffectiveDate.dateAdjustments.businessCenters);
//}
PrincipalExchange initialExchange = PrincipalExchangeHelper.Create(AdjustedDateHelper.ToAdjustedDate(paymentCalendar, adjustableEffectiveDate));
result.InitialPrincipalExchange = initialExchange;
}
// intermediary PE
//
if (interestRateStream.principalExchanges.intermediateExchange)
{
// Generate a list of intermediary PE exchanges
//
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(interestRateStream.calculationPeriodAmount);
Notional notionalSchedule = XsdClassesFieldResolver.CalculationGetNotionalSchedule(calculation);
if (null != notionalSchedule.notionalStepSchedule.step)//there should be steps - otherwise NO interm. exchanges.
{
foreach (DateTime stepDate in ScheduleHelper.GetStepDates(notionalSchedule.notionalStepSchedule))
{
PrincipalExchange intermediaryExchange = PrincipalExchangeHelper.Create(stepDate);
result.Add(intermediaryExchange);
}
}
}
//AdjustableDate adjustableTerminationDate = XsdClassesFieldResolver.CalculationPeriodDates_GetTerminationDate(calculationPeriodDates);
DateTime lastRollDate = rollDates[rollDates.Count - 1];
// Final PE
//
if (interestRateStream.principalExchanges.finalExchange)
{
//PrincipalExchange finalExchange = PrincipalExchangeHelper.Create(DateTypesHelper.ToAdjustedDate(adjustableTerminationDate));
PrincipalExchange finalExchange = PrincipalExchangeHelper.Create(lastRollDate);
result.FinalPrincipalExchange = finalExchange;
}
}
return(result);
}
public static CalculationPeriodsPrincipalExchangesAndStubs GenerateCalculationPeriodsPrincipalExchangesAndStubs(
InterestRateStream interestRateStream, IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar)
{
CalculationPeriodDates calculationPeriodDates = interestRateStream.calculationPeriodDates;
AdjustableDate adjustableEffectiveDate = XsdClassesFieldResolver.CalculationPeriodDatesGetEffectiveDate(calculationPeriodDates);
AdjustableDate adjustableTerminationDate = XsdClassesFieldResolver.CalculationPeriodDatesGetTerminationDate(calculationPeriodDates);
AdjustableDate adjustableFirstPeriodDate = adjustableEffectiveDate;
DateTime?firstRegularPeriodStartDate =
XsdClassesFieldResolver.CalculationPeriodDatesGetFirstRegularPeriodStartDate(calculationPeriodDates);
var tempDate = XsdClassesFieldResolver.CalculationPeriodDatesGetFirstPeriodStartDate(calculationPeriodDates);
if (tempDate != null && firstRegularPeriodStartDate != null)
{
adjustableFirstPeriodDate = tempDate;
Frequency frequency = calculationPeriodDates.calculationPeriodFrequency;
var startDate = CalculationPeriodGenerator.AddPeriod((DateTime)firstRegularPeriodStartDate, IntervalHelper.FromFrequency(frequency), -1);
adjustableFirstPeriodDate.unadjustedDate = IdentifiedDateHelper.Create(startDate);
}
DateTime?lastRegularPeriodEndDate =
XsdClassesFieldResolver.CalculationPeriodDatesGetLastRegularPeriodEndDate(calculationPeriodDates);
// This assumes automatic adjustment of calculation periods.
CalculationPeriodsPrincipalExchangesAndStubs result = CalculationPeriodGenerator.GenerateAdjustedCalculationPeriods(
adjustableFirstPeriodDate.unadjustedDate.Value,
adjustableTerminationDate.unadjustedDate.Value,
firstRegularPeriodStartDate,
lastRegularPeriodEndDate,
calculationPeriodDates.calculationPeriodFrequency,
calculationPeriodDates.calculationPeriodDatesAdjustments,
paymentCalendar);
//Determine whether the reset dates must be calculated.
Calculation calculation = XsdClassesFieldResolver.CalculationPeriodAmountGetCalculation(interestRateStream.calculationPeriodAmount);
// Add principle exchanges if this need is defined in parametric representation of the interest rate steam.
//
if (null != interestRateStream.principalExchanges)
{
//if (paymentCalendar == null)
//{
// paymentCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, adjustableEffectiveDate.dateAdjustments.businessCenters);
//}
// Initial PE
//
if (interestRateStream.principalExchanges.initialExchange)
{
PrincipalExchange initialExchange = PrincipalExchangeHelper.Create(AdjustedDateHelper.ToAdjustedDate(paymentCalendar, adjustableEffectiveDate));
result.InitialPrincipalExchange = initialExchange;
}
// intermediary PE
//
if (interestRateStream.principalExchanges.intermediateExchange)
{
// Generate a list of intermediary PE exchanges
//
Notional notionalSchedule = XsdClassesFieldResolver.CalculationGetNotionalSchedule(calculation);
if (null != notionalSchedule.notionalStepSchedule.step)//there should be steps - otherwise NO interm. exchanges.
{
foreach (DateTime stepDate in ScheduleHelper.GetStepDates(notionalSchedule.notionalStepSchedule))
{
PrincipalExchange intermediaryExchange = PrincipalExchangeHelper.Create(stepDate);
result.Add(intermediaryExchange);
}
}
}
// Final PE
// Assume the same calendar is used for the termination date as well!
if (interestRateStream.principalExchanges.finalExchange)
{
PrincipalExchange finalExchange = PrincipalExchangeHelper.Create(AdjustedDateHelper.ToAdjustedDate(paymentCalendar, adjustableTerminationDate));
result.FinalPrincipalExchange = finalExchange;
}
}
//Only does upfront resetRelativeTo start date.
if (interestRateStream.resetDates != null && calculation.Items[0].GetType() == typeof(FloatingRateCalculation))
{
//Get the fixing date convention.
var fixingDateConvention = interestRateStream.resetDates.resetDatesAdjustments;
//if (fixingCalendar == null)
//{
// fixingCalendar = BusinessCenterHelper.ToBusinessCalendar(cache, fixingDateConvention.businessCenters);
//}
foreach (var calculationPeriod in result.CalculationPeriods)
{
if (calculationPeriod.adjustedStartDateSpecified)
{
//Set the adjusted fixing date.
var adjustedFixingDate = AdjustedDateHelper.ToAdjustedDate(fixingCalendar, calculationPeriod.adjustedStartDate,
fixingDateConvention);
var floatingRateDefinition = new FloatingRateDefinition();
var rateObservation = new RateObservation
{
observedRateSpecified = false,
adjustedFixingDateSpecified = true,
adjustedFixingDate = adjustedFixingDate
};
floatingRateDefinition.rateObservation = new[] { rateObservation };
calculationPeriod.Item1 = floatingRateDefinition;
}
}
//The initial stub period.
if (result.InitialStubCalculationPeriod != null)
{
if (result.InitialStubCalculationPeriod.adjustedStartDateSpecified)
{
//Set the adjusted fixing date.
var adjustedFixingDate = AdjustedDateHelper.ToAdjustedDate(fixingCalendar, result.InitialStubCalculationPeriod.adjustedStartDate,
fixingDateConvention);
var floatingRateDefinition = new FloatingRateDefinition();
var rateObservation = new RateObservation
{
observedRateSpecified = false,
adjustedFixingDateSpecified = true,
adjustedFixingDate = adjustedFixingDate
};
floatingRateDefinition.rateObservation = new[] { rateObservation };
result.InitialStubCalculationPeriod.Item1 = floatingRateDefinition;
}
}
//The final stub period
if (result.FinalStubCalculationPeriod != null)
{
if (result.FinalStubCalculationPeriod.adjustedStartDateSpecified)
{
//Set the adjusted fixing date.
var adjustedFixingDate = AdjustedDateHelper.ToAdjustedDate(fixingCalendar, result.FinalStubCalculationPeriod.adjustedStartDate,
fixingDateConvention);
var floatingRateDefinition = new FloatingRateDefinition();
var rateObservation = new RateObservation
{
observedRateSpecified = false,
adjustedFixingDateSpecified = true,
adjustedFixingDate = adjustedFixingDate
};
floatingRateDefinition.rateObservation = new[] { rateObservation };
result.FinalStubCalculationPeriod.Item1 = floatingRateDefinition;
}
}
}
return(result);
}
