protected RepoGenerator(double onRate, string market, DateTime settle)
{
this.onRate = onRate;
this.market = market;
this.settle = settle;
country = (BondAnalytics.Country)Enum.Parse(typeof(BondAnalytics.Country), market);
hols = CarbonModel.GetCalendar(country).ToList();
}
//------------------------------------------------------------------------------------------------
public SpreadConventions(SpreadTimeSeriesConfigs configs)
//------------------------------------------------------------------------------------------------
{
Country = configs.country;
DayCount = configs.dct;
SwapFixedFrequency = configs.swpfixfreq;
SwapFloatFrequency = configs.swpfloatfreq;
BondCouponFrequency = configs.bndCouponFreq;
bForecastCurve = configs.bForecastCurve;
BlendIndex = configs.BlendIndex;
}
//------------------------------------------------------------------------------------------------
public SpreadConventions(BondAnalytics.Country country, BondAnalytics.DayCountType dct,
long swapfixed, long swapfloat, long bondcpnfreq,
bool bforecastcurve, int blendIndex = 0)
//------------------------------------------------------------------------------------------------
{
Country = country;
DayCount = dct;
SwapFixedFrequency = swapfixed;
SwapFloatFrequency = swapfloat;
BondCouponFrequency = bondcpnfreq;
bForecastCurve = bforecastcurve;
BlendIndex = blendIndex; // 5 for OIS, 0 for libor
}
