public void CanAddAndGetAllInstrumentTypes()
{
using (FinancialClient financialClient = Context.CreateFinancialClient())
{
InterpolatedYieldCurveDefinitionMaster interpolatedYieldCurveDefinitionMaster =
financialClient.InterpolatedYieldCurveDefinitionMaster;
YieldCurveDefinitionDocument yieldCurveDefinitionDocument = GenerateDocument();
foreach (StripInstrumentType stripInstrumentType in Enum.GetValues(typeof(StripInstrumentType)))
{
var fixedIncomeStrip = new FixedIncomeStrip
{
ConventionName = "DEFAULT",
CurveNodePointTime = Tenor.Day,
InstrumentType = stripInstrumentType
};
if (stripInstrumentType == StripInstrumentType.Future)
{
fixedIncomeStrip.NthFutureFromTenor = 12;
}
yieldCurveDefinitionDocument.YieldCurveDefinition.AddStrip(fixedIncomeStrip);
}
AssertRoundTrip(interpolatedYieldCurveDefinitionMaster, yieldCurveDefinitionDocument);
}
}
private FixedIncomeStripWithSecurity(FixedIncomeStrip originalStrip, Tenor resolvedTenor, DateTimeOffset maturity, ExternalId securityIdentifier, ISecurity security)
{
_resolvedTenor = resolvedTenor;
_originalStrip = originalStrip;
_maturity = maturity;
_securityIdentifier = securityIdentifier;
_security = security;
}
public void CanAddAndGetAllInstrumentTypes()
{
using (FinancialClient financialClient = Context.CreateFinancialClient())
{
InterpolatedYieldCurveDefinitionMaster interpolatedYieldCurveDefinitionMaster =
financialClient.InterpolatedYieldCurveDefinitionMaster;
YieldCurveDefinitionDocument yieldCurveDefinitionDocument = GenerateDocument();
foreach (StripInstrumentType stripInstrumentType in Enum.GetValues(typeof(StripInstrumentType)))
{
var fixedIncomeStrip = new FixedIncomeStrip
{
ConventionName = "DEFAULT",
CurveNodePointTime = Tenor.Day,
InstrumentType = stripInstrumentType
};
if (stripInstrumentType == StripInstrumentType.Future)
fixedIncomeStrip.NthFutureFromTenor = 12;
yieldCurveDefinitionDocument.YieldCurveDefinition.AddStrip(fixedIncomeStrip);
}
AssertRoundTrip(interpolatedYieldCurveDefinitionMaster, yieldCurveDefinitionDocument);
}
}
public FixedIncomeStripWithIdentifier(ExternalId security, FixedIncomeStrip strip)
{
_security = security;
_strip = strip;
}