public void ConvertOutrightRiskToRiskOutputObject()
{
// This is sensitive to the order of instruments ..
CurveTenor[] tenors = { CurveTenor.DiscOis, CurveTenor.Fwd1M, CurveTenor.Fwd3M, CurveTenor.Fwd6M, CurveTenor.Fwd1Y };
int j = 0;
foreach (CurveTenor tenor in tenors)
{
OutrightRiskOutput tempRiskOutput = new OutrightRiskOutput(_asOf, tenor);
if (tenor == CurveTenor.DiscOis)
{
for (int i = 0; i < _jacobian.CurveDimensions[tenor]; i++)
{
string ident = _jacobian.Instruments[j].Identifier;
tempRiskOutput.AddRiskCalculation(ident, _outrightRisk[j]);
j += 1;
}
OutrightRiskOutput.AddDiscRisk(tempRiskOutput);
}
else
{
for (int i = 0; i < _jacobian.CurveDimensions[tenor]; i++)
{
string ident = _jacobian.Instruments[j].Identifier;
tempRiskOutput.AddRiskCalculation(ident, _outrightRisk[j]);
j += 1;
}
OutrightRiskOutput.AddForwardRisk(tenor, tempRiskOutput);
}
}
}
public void AddDiscRisk(OutrightRiskOutput riskOutput)
{
DiscRisk = riskOutput;
}
public void AddForwardRisk(CurveTenor tenor, OutrightRiskOutput riskOutput)
{
FwdRiskCollection[tenor] = riskOutput;
}
