rq_fpml_product_swaption.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_stream_write_string(output_stream, "<calculationPeriodDatesAdjustments>");
    rq_stream_write_string(output_stream, "<businessDayConvention>MODFOLLOWING</businessDayConvention>");
    rq_stream_write_string(output_stream, "<businessCentersReference href=\"#accrualBusinessCenters0\"/>");
    rq_stream_write_string(output_stream, "</calculationPeriodDatesAdjustments>");
    rq_stream_write_string(output_stream, "<calculationPeriodFrequency>");
    rq_stream_write_string(output_stream, "<periodMultiplier>1</periodMultiplier>");
    rq_stream_write_string(output_stream, "<period>Y</period>");
    rq_stream_write_string(output_stream, "<rollConvention>30</rollConvention>");
    rq_stream_write_string(output_stream, "</calculationPeriodFrequency>");
    rq_stream_write_string(output_stream, "</calculationPeriodDates>");
    rq_stream_write_string(output_stream, "<paymentDates>");
    rq_stream_write_string(output_stream, "<calculationPeriodDatesReference href=\"#CalcPeriodDates0\"/>");
    rq_stream_write_string(output_stream, "<paymentFrequency>");
    rq_stream_write_string(output_stream, "<periodMultiplier>1</periodMultiplier>");
    rq_stream_write_string(output_stream, "<period>Y</period>");
    rq_stream_write_string(output_stream, "</paymentFrequency>");
    rq_stream_write_string(output_stream, "<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>");
    rq_stream_write_string(output_stream, "<paymentDatesAdjustments>");
    rq_stream_write_string(output_stream, "<businessDayConvention>MODFOLLOWING</businessDayConvention>");
    rq_stream_write_string(output_stream, "<businessCenters id=\"paymentBusinessCenters0\">");
    rq_stream_write_string(output_stream, "<businessCenter>EUTA</businessCenter>");
    rq_stream_write_string(output_stream, "</businessCenters>");
    rq_stream_write_string(output_stream, "</paymentDatesAdjustments>");
    rq_stream_write_string(output_stream, "</paymentDates>");
    rq_stream_write_string(output_stream, "<calculationPeriodAmount>");
    rq_stream_write_string(output_stream, "<calculation>");
    rq_stream_write_string(output_stream, "<notionalSchedule>");
    rq_stream_write_string(output_stream, "<notionalStepSchedule>");
    rq_stream_write_string(output_stream, "<initialValue>100000000</initialValue>");
    rq_stream_write_string(output_stream, "<currency>EUR</currency>");
    rq_stream_write_string(output_stream, "</notionalStepSchedule>");
    rq_stream_write_string(output_stream, "</notionalSchedule>");
    rq_stream_write_string(output_stream, "<fixedRateSchedule>");
    rq_stream_write_string(output_stream, "<initialValue>0.05</initialValue>");
    rq_stream_write_string(output_stream, "</fixedRateSchedule>");
    rq_stream_write_string(output_stream, "<dayCountFraction>30/360</dayCountFraction>");
    rq_stream_write_string(output_stream, "</calculation>");
    rq_stream_write_string(output_stream, "</calculationPeriodAmount>");
    rq_stream_write_string(output_stream, "</swapStream>");
    rq_stream_write_string(output_stream, "<swapStream>");
    rq_stream_write_string(output_stream, "<payerPartyReference href=\"#partyB\"/>");
    rq_stream_write_string(output_stream, "<receiverPartyReference href=\"#partyA\"/>");
    rq_stream_write_string(output_stream, "<calculationPeriodDates id=\"CalcPeriodDates1\">");
    rq_stream_write_string(output_stream, "<effectiveDate>");
    rq_stream_write_string(output_stream, "<unadjustedDate>2001-08-30</unadjustedDate>");
    rq_stream_write_string(output_stream, "<dateAdjustments>");
    rq_stream_write_string(output_stream, "<businessDayConvention>NONE</businessDayConvention>");
    rq_stream_write_string(output_stream, "</dateAdjustments>");
    rq_stream_write_string(output_stream, "</effectiveDate>");
    rq_stream_write_string(output_stream, "<terminationDate>");
    rq_stream_write_string(output_stream, "<unadjustedDate>2006-08-30</unadjustedDate>");
    rq_stream_write_string(output_stream, "<dateAdjustments>");
    rq_stream_write_string(output_stream, "<businessDayConvention>MODFOLLOWING</businessDayConvention>");
    rq_stream_write_string(output_stream, "<businessCenters id=\"accrualBusinessCenters1\">");
    rq_stream_write_string(output_stream, "<businessCenter>EUTA</businessCenter>");
    rq_stream_write_string(output_stream, "</businessCenters>");
    rq_stream_write_string(output_stream, "</dateAdjustments>");
    rq_stream_write_string(output_stream, "</terminationDate>");
    rq_stream_write_string(output_stream, "<calculationPeriodDatesAdjustments>");
    rq_stream_write_string(output_stream, "<businessDayConvention>MODFOLLOWING</businessDayConvention>");
    rq_stream_write_string(output_stream, "<businessCentersReference href=\"#accrualBusinessCenters1\"/>");
    rq_stream_write_string(output_stream, "</calculationPeriodDatesAdjustments>");
    rq_stream_write_string(output_stream, "<calculationPeriodFrequency>");
    rq_stream_write_string(output_stream, "<periodMultiplier>6</periodMultiplier>");
    rq_stream_write_string(output_stream, "<period>M</period>");
    rq_stream_write_string(output_stream, "<rollConvention>30</rollConvention>");
    rq_stream_write_string(output_stream, "</calculationPeriodFrequency>");
    rq_stream_write_string(output_stream, "</calculationPeriodDates>");
    rq_stream_write_string(output_stream, "<paymentDates>");
    rq_stream_write_string(output_stream, "<calculationPeriodDatesReference href=\"#CalcPeriodDates1\"/>");
    rq_stream_write_string(output_stream, "<paymentFrequency>");
    rq_stream_write_string(output_stream, "<periodMultiplier>6</periodMultiplier>");
    rq_stream_write_string(output_stream, "<period>M</period>");
    rq_stream_write_string(output_stream, "</paymentFrequency>");
    rq_stream_write_string(output_stream, "<payRelativeTo>CalculationPeriodEndDate</payRelativeTo>");
    rq_stream_write_string(output_stream, "<paymentDatesAdjustments>");
    rq_stream_write_string(output_stream, "<businessDayConvention>MODFOLLOWING</businessDayConvention>");
    rq_stream_write_string(output_stream, "<businessCenters id=\"paymentBusinessCenters1\">");
    rq_stream_write_string(output_stream, "<businessCenter>EUTA</businessCenter>");
    rq_stream_write_string(output_stream, "</businessCenters>");
    rq_stream_write_string(output_stream, "</paymentDatesAdjustments>");
    rq_stream_write_string(output_stream, "</paymentDates>");
    rq_stream_write_string(output_stream, "<resetDates id=\"resetDates0\">");
    rq_stream_write_string(output_stream, "<calculationPeriodDatesReference href=\"#CalcPeriodDates1\"/>");
    rq_stream_write_string(output_stream, "<resetRelativeTo>CalculationPeriodStartDate</resetRelativeTo>");
    rq_stream_write_string(output_stream, "<fixingDates>");
    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 id=\"fixingBusinessCenters0\">");
    rq_stream_write_string(output_stream, "<businessCenter>EUTA</businessCenter>");
    rq_stream_write_string(output_stream, "</businessCenters>");
    rq_stream_write_string(output_stream, "<dateRelativeTo href=\"#resetDates0\">ResetDate</dateRelativeTo>");
    rq_stream_write_string(output_stream, "</fixingDates>");
    rq_stream_write_string(output_stream, "<resetFrequency>");
    rq_stream_write_string(output_stream, "<periodMultiplier>6</periodMultiplier>");
    rq_stream_write_string(output_stream, "<period>M</period>");
    rq_stream_write_string(output_stream, "</resetFrequency>");
    rq_stream_write_string(output_stream, "<resetDatesAdjustments>");
    rq_stream_write_string(output_stream, "<businessDayConvention>MODFOLLOWING</businessDayConvention>");
    rq_stream_write_string(output_stream, "<businessCentersReference href=\"#paymentBusinessCenters1\"/>");
    rq_stream_write_string(output_stream, "</resetDatesAdjustments>");
    rq_stream_write_string(output_stream, "</resetDates>");
    rq_stream_write_string(output_stream, "<calculationPeriodAmount>");
    rq_stream_write_string(output_stream, "<calculation>");
    rq_stream_write_string(output_stream, "<notionalSchedule>");
    rq_stream_write_string(output_stream, "<notionalStepSchedule>");
    rq_stream_write_string(output_stream, "<initialValue>100000000</initialValue>");
    rq_stream_write_string(output_stream, "<currency>EUR</currency>");
    rq_stream_write_string(output_stream, "</notionalStepSchedule>");
    rq_stream_write_string(output_stream, "</notionalSchedule>");
    rq_stream_write_string(output_stream, "<floatingRateCalculation>");
    rq_stream_write_string(output_stream, "<floatingRateIndex>EUR-EURIBOR-Telerate</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, "</floatingRateCalculation>");
    rq_stream_write_string(output_stream, "<dayCountFraction>ACT/360</dayCountFraction>");
    rq_stream_write_string(output_stream, "</calculation>");
    rq_stream_write_string(output_stream, "</calculationPeriodAmount>");
    rq_stream_write_string(output_stream, "</swapStream>");
    rq_stream_write_string(output_stream, "</swap>");
    rq_stream_write_string(output_stream, "</swaption>");

    return status;
}

rq_fpml_product_t 
rq_fpml_product_swaption_alloc()
{
    struct rq_fpml_product_swaption *p = 
        (struct rq_fpml_product_swaption *)calloc(1, sizeof(struct rq_fpml_product_swaption));
    rq_fpml_product_t product = _rq_fpml_product_alloc(
        rq_fpml_product_swaption_product_type,
        p,
        rq_fpml_product_swaption_write_xml,
        rq_fpml_product_swaption_free
        );
    return product;
}