rq_fpml_product_fra.c

风险财务控制库 Risk Quantify is an open source financial library, with a focus on managing the risk of fi

/*
** rq_fpml_product_fra.c
**
** Written by Brett Hutley - [e-mail]
**
** Copyright (C) 2001 Brett Hutley
**
** This file is part of the Risk Quantify Library
**
** Risk Quantify is free software; you can redistribute it and/or
** modify it under the terms of the GNU Library General Public
** License as published by the Free Software Foundation; either
** version 2 of the License, or (at your option) any later version.
**
** Risk Quantify is distributed in the hope that it will be useful,
** but WITHOUT ANY WARRANTY; without even the implied warranty of
** MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
** Library General Public License for more details.
**
** You should have received a copy of the GNU Library General Public
** License along with Risk Quantify; if not, write to the Free
** Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA  02111-1307  USA
*/
#include "fpml/rq_fpml_product_fra.h"
#include <stdlib.h>
#include <string.h>

/* -- structures --------------------------------------------------- */
struct rq_fpml_product_fra {
};

/* -- globals ------------------------------------------------------ */
const char *rq_fpml_product_fra_product_type = "fra";

/* -- code --------------------------------------------------------- */
static void 
rq_fpml_product_fra_free(void *product_data)
{
    struct rq_fpml_product_fra *p = 
        (struct rq_fpml_product_fra *)product_data;
    free(p);
}

int
rq_fpml_product_fra_write_xml(void *product_data, rq_stream_t output_stream)
{
    struct rq_fpml_product_fra *p = 
        (struct rq_fpml_product_fra *)product_data;
    int status = 0;

    rq_stream_write_string(output_stream, "<fra>");
    rq_stream_write_string(output_stream, "<buyerPartyReference href = \"#MIDLAND\"/>");
    rq_stream_write_string(output_stream, "<sellerPartyReference href = \"#ABNAMRO\"/>");
    rq_stream_write_string(output_stream, "<adjustedEffectiveDate id = \"resetDate\">1991-07-17</adjustedEffectiveDate>");
    rq_stream_write_string(output_stream, "<adjustedTerminationDate>1992-01-17</adjustedTerminationDate>");
    rq_stream_write_string(output_stream, "<paymentDate>");
    rq_stream_write_string(output_stream, "<unadjustedDate>1991-07-17</unadjustedDate >");
    rq_stream_write_string(output_stream, "<dateAdjustments>");
    rq_stream_write_string(output_stream, "<businessDayConvention>FOLLOWING</businessDayConvention>");
    rq_stream_write_string(output_stream, "<businessCenters>");
    rq_stream_write_string(output_stream, "<businessCenter>CHZU</businessCenter>");
    rq_stream_write_string(output_stream, "</businessCenters>");
    rq_stream_write_string(output_stream, "</dateAdjustments>");
    rq_stream_write_string(output_stream, "</paymentDate>");
    rq_stream_write_string(output_stream, "<fixingDateOffset>");
    rq_stream_write_string(output_stream, "<periodMultiplier>-2</periodMultiplier>");
    rq_stream_write_string(output_stream, "<period>D</period>");
    rq_stream_write_string(output_stream, "<dayType>Business</dayType>");
    rq_stream_write_string(output_stream, "<businessDayConvention>NONE</businessDayConvention>");
    rq_stream_write_string(output_stream, "<businessCenters>");
    rq_stream_write_string(output_stream, "<businessCenter>GBLO</businessCenter>");
    rq_stream_write_string(output_stream, "</businessCenters>");
    rq_stream_write_string(output_stream, "<dateRelativeTo href = \"#resetDate\">ResetDate</dateRelativeTo>");
    rq_stream_write_string(output_stream, "</fixingDateOffset>");
    rq_stream_write_string(output_stream, "<dayCountFraction>ACT/360</dayCountFraction>");
    rq_stream_write_string(output_stream, "<calculationPeriodNumberOfDays>184</calculationPeriodNumberOfDays>");
    rq_stream_write_string(output_stream, "<notional>");
    rq_stream_write_string(output_stream, "<currency>CHF</currency>");
    rq_stream_write_string(output_stream, "<amount>25000000.00</amount>");
    rq_stream_write_string(output_stream, "</notional>");
    rq_stream_write_string(output_stream, "<fixedRate>0.04</fixedRate>");
    rq_stream_write_string(output_stream, "<floatingRateIndex>CHF-LIBOR-BBA</floatingRateIndex>");
    rq_stream_write_string(output_stream, "<indexTenor>");
    rq_stream_write_string(output_stream, "<periodMultiplier>6</periodMultiplier>");
    rq_stream_write_string(output_stream, "<period>M</period>");
    rq_stream_write_string(output_stream, "</indexTenor>");
    rq_stream_write_string(output_stream, "<fraDiscounting>true</fraDiscounting>");
    rq_stream_write_string(output_stream, "</fra>");

    return status;
}

rq_fpml_product_t 
rq_fpml_product_fra_alloc()
{
    struct rq_fpml_product_fra *p = 
        (struct rq_fpml_product_fra *)calloc(1, sizeof(struct rq_fpml_product_fra));
    rq_fpml_product_t product = _rq_fpml_product_alloc(
        rq_fpml_product_fra_product_type,
        p,
        rq_fpml_product_fra_write_xml,
        rq_fpml_product_fra_free
        );
    return product;
}