private void recalculateTotal(bool fireUpdate_)
{
var setups = new[]
{
new {InnerField=FALField.Yield, Mult=1d,RiskWeight=false},
new {InnerField=FALField.ASWyy, Mult=1d,RiskWeight=false},
new {InnerField=FALField.YieldFwd, Mult=1d,RiskWeight=false},
new {InnerField=FALField.ASWFwd, Mult=1d,RiskWeight=false},
new {InnerField=FALField.YieldCarry,Mult=1d,RiskWeight=false},
new {InnerField=FALField.ASWCarry,Mult=1d,RiskWeight=false},
new {InnerField=FALField.YieldRoll,Mult=1d,RiskWeight=false},
new {InnerField=FALField.ASWRoll,Mult=1d,RiskWeight=false},
new {InnerField=FALField.YieldRollCarry,Mult=1d,RiskWeight=false},
new {InnerField=FALField.ASWRollCarry,Mult=1d,RiskWeight=false},
};
foreach (var setup in setups)
{
var dwv = new RiskWeightedStructureValue();
foreach (var v in Lines.Take(m_structure.Components.Count))
dwv.AddLeg(
name_: v.Bond,
weight_: v.LegMultiplier,
duration_: setup.RiskWeight ? v.GetValue(FALField.MacaulayDuration) : 1d,
legUnit_: v.GetValue(setup.InnerField),
recalc_: false);
dwv.Recalc();
CombinedLine.SetValue(setup.InnerField, dwv.Total*setup.Mult, fireUpdate_);
}
}
internal RiskWeightedStructureValue getDurationValue(double maturityOffset_)
{
if (m_durationWeightedValues.ContainsKey(maturityOffset_))
return m_durationWeightedValues[maturityOffset_];
var v = new RiskWeightedStructureValue();
for (int i = 0; i < Definition.Points.Length; ++i)
{
v.AddLeg(
name_: Definition.Points[i].ToString(),
weight_: Definition.Points[i].Multiplier,
duration_:
CountryBondSource.GetInstance(Definition.Points[i].Market).ModDurationCalculator.ConstantMaturityLine[
Definition.Points[i].Tenor],
legUnit_: 0d,
recalc_: false);
}
m_durationWeightedValues[maturityOffset_] = v;
return v;
}
