public TimeLadder(RiskMetric metric, int nScenarios, Calendar calendar, ICurrencyProvider currencyProvider, bool returnDifferential = true) { Metric = metric; NScenarios = nScenarios; Calendar = calendar; _currencyProvider = currencyProvider; ReturnDifferential = returnDifferential; }
public RiskLadder(Currency ccy, MutationType shiftType, RiskMetric metric, double shiftStepSize, int nScenarios, bool returnDifferential = true) { Ccy = ccy; ShiftType = shiftType; Metric = metric; ShiftSize = shiftStepSize; NScenarios = nScenarios; ReturnDifferential = returnDifferential; }
public RiskLadder(string assetId, MutationType shiftType, RiskMetric metric, double shiftStepSize, int nScenarios, bool returnDifferential = true) { AssetId = assetId; ShiftType = shiftType; Metric = metric; ShiftSize = shiftStepSize; NScenarios = nScenarios; ReturnDifferential = returnDifferential; }
public RiskMatrix(FxPair p1, FxPair p2, MutationType shiftType, RiskMetric metric, double shiftStepSize1, double shiftStepSize2, int nScenarios, ICurrencyProvider currencyProvider, bool returnDifferential = true) { Pair1 = p1; Pair2 = p2; ShiftType = shiftType; Metric = metric; ShiftSizeAsset = shiftStepSize1; ShiftSizeFx = shiftStepSize2; NScenarios = nScenarios; _currencyProvider = currencyProvider; ReturnDifferential = returnDifferential; }
public RiskMatrix(string assetId, Currency ccy, MutationType shiftType, RiskMetric metric, double shiftStepSizeAsset, double shiftStepSizeFx, int nScenarios, ICurrencyProvider currencyProvider, bool returnDifferential = true) { AssetId = assetId; Ccy = ccy; ShiftType = shiftType; Metric = metric; ShiftSizeAsset = shiftStepSizeAsset; ShiftSizeFx = shiftStepSizeFx; NScenarios = nScenarios; _currencyProvider = currencyProvider; ReturnDifferential = returnDifferential; }
public RiskMatrix(Currency c1, Currency c2, MutationType shiftType, RiskMetric metric, double shiftStepSize1, double shiftStepSize2, int nScenarios, ICurrencyProvider currencyProvider, bool returnDifferential = true) { }