//public static Market CreateYieldCurveConfiguration(string curveId, string[] assetIdentifiers)
//{
// var market = new Market {id = curveId};
// //Create the quotedAssetSet.
// var qas = QuotedAssetSetFactory.Parse(assetIdentifiers);
// //Create the curve information.
// var curve = new YieldCurve {id = curveId};
// //reate the valuation structure that contains qas.
// var curveValuation = new YieldCurveValuation {id = curveId, inputs = qas};
// //Set the market.
// market.Items = new[] { (PricingStructure)curve };
// market.Items1 = new[] { (PricingStructureValuation)curveValuation };
// return market;
//}
public static Market CreateFxCurveConfiguration(string curveId, string currency1, string currency2, string quoteBasis, FxRateSet quotedAssetSet)
{
//<QuoteBasisEnum>
var basis = EnumHelper.Parse <QuoteBasisEnum>(quoteBasis, true);
var quotedCurrencyPair = QuotedCurrencyPair.Create(currency1, currency2, basis);
var currency = CurrencyHelper.Parse(currency1);
var market = new Market {
id = curveId
};
//Create the curve information.
var curve = new FxCurve {
id = curveId, name = curveId, currency = currency, quotedCurrencyPair = quotedCurrencyPair
};
//reate the valuation structure that contains qas.
var curveValuation = new FxCurveValuation {
id = curveId, spotRate = quotedAssetSet
};
//Set the market.
market.Items = new[] { (PricingStructure)curve };
market.Items1 = new[] { (PricingStructureValuation)curveValuation };
return(market);
}
public static ExchangeRate Create(string currency1, string currency2, QuoteBasisEnum quoteBasis,
Decimal spotRate)
{
var exchangeRate = new ExchangeRate
{
quotedCurrencyPair = QuotedCurrencyPair.Create(currency1, currency2, quoteBasis),
rate = spotRate
};
return(exchangeRate);
}
public static ExchangeRate Create(string currency1, string currency2, QuoteBasisEnum quoteBasis,
Decimal spotRate, Decimal forwardRate, Decimal?forwardPoints)
{
var exchangeRate = new ExchangeRate
{
quotedCurrencyPair = QuotedCurrencyPair.Create(currency1, currency2, quoteBasis),
rate = forwardRate,
spotRate = spotRate
};
if (forwardPoints != null)
{
exchangeRate.forwardPointsField = (decimal)forwardPoints;
}
return(exchangeRate);
}