rq_fpml_product_capfloor.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_capfloor.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_capfloor.h"
#include <stdlib.h>
#include <string.h>

/* -- structures --------------------------------------------------- */
struct rq_fpml_product_capfloor {
    const char *payer_party_id;
    const char *receiver_party_id;

    struct rq_fpml_calculation_period_dates calculation_period_dates;
};

/* -- globals ------------------------------------------------------ */
const char *rq_fpml_product_capfloor_product_type = "capfloor";

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

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

    rq_stream_write_string(output_stream, "<capFloor>");
    rq_stream_write_string(output_stream, "<capFloorStream>");
    rq_stream_write_string(output_stream, "<payerPartyReference href=\"#partyA\"/>");
    rq_stream_write_string(output_stream, "<receiverPartyReference href=\"#partyB\"/>");
    rq_stream_write_string(output_stream, "<calculationPeriodDates id=\"CalcPeriodDates0\">");
    rq_stream_write_string(output_stream, "<effectiveDate>");
    rq_stream_write_string(output_stream, "<unadjustedDate>2001-06-30</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>2006-06-30</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=\"accrualBusinessCenters0\">");
    rq_stream_write_string(output_stream, "<businessCenter>GBLO</businessCenter>");
    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=\"#accrualBusinessCenters0\"/>");
    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=\"#CalcPeriodDates0\"/>");
    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=\"paymentBusinessCenters0\">");
    rq_stream_write_string(output_stream, "<businessCenter>GBLO</businessCenter>");
    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=\"#CalcPeriodDates0\"/>");
    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=\"resetBusinessCenters0\">");
    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=\"#resetBusinessCenters0\"/>");
    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, "<floorRateSchedule>");
    rq_stream_write_string(output_stream, "<initialValue>0.04</initialValue>");
    rq_stream_write_string(output_stream, "<step>");
    rq_stream_write_string(output_stream, "<stepDate>2002-06-30</stepDate>");
    rq_stream_write_string(output_stream, "<stepValue>0.0425</stepValue>");
    rq_stream_write_string(output_stream, "</step>");
    rq_stream_write_string(output_stream, "<step>");
    rq_stream_write_string(output_stream, "<stepDate>2003-06-30</stepDate>");
    rq_stream_write_string(output_stream, "<stepValue>0.045</stepValue>");
    rq_stream_write_string(output_stream, "</step>");
    rq_stream_write_string(output_stream, "<step>");
    rq_stream_write_string(output_stream, "<stepDate>2004-06-30</stepDate>");
    rq_stream_write_string(output_stream, "<stepValue>0.0475</stepValue>");
    rq_stream_write_string(output_stream, "</step>");
    rq_stream_write_string(output_stream, "<step>");
    rq_stream_write_string(output_stream, "<stepDate>2005-06-30</stepDate>");
    rq_stream_write_string(output_stream, "<stepValue>0.05</stepValue>");
    rq_stream_write_string(output_stream, "</step>");
    rq_stream_write_string(output_stream, "<buyer>Receiver</buyer>");
    rq_stream_write_string(output_stream, "<seller>Payer</seller>");
    rq_stream_write_string(output_stream, "</floorRateSchedule>");
    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, "</capFloorStream>");
    rq_stream_write_string(output_stream, "</capFloor>");

    return status;
}

rq_fpml_product_t 
rq_fpml_product_capfloor_alloc()
{
    struct rq_fpml_product_capfloor *p = 
        (struct rq_fpml_product_capfloor *)calloc(1, sizeof(struct rq_fpml_product_capfloor));
    rq_fpml_product_t product = _rq_fpml_product_alloc(
        rq_fpml_product_capfloor_product_type,
        p,
        rq_fpml_product_capfloor_write_xml,
        rq_fpml_product_capfloor_free
        );
    return product;
}