private static void CreateStrikeRateVolCurve(string currency1, string indexTenor, string[] instruments, decimal[] marketvalues, decimal[] additionalforwards)
{
NamedValueSet properties = new NamedValueSet();
properties.Set("Instrument", "AUD-Xibor-" + indexTenor);
properties.Set("PricingStructureType", "CapVolatilityCurve");
properties.Set("ReferenceCurveUniqueId", "Market." + Market + ".DiscountCurve.GBP-LIBOR-SENIOR");
properties.Set("ReferenceCurrency2CurveId", "Market." + Market + ".DiscountCurve.GBP-LIBOR-SENIOR");
properties.Set("Currency", currency1);
properties.Set("IndexTenor", indexTenor);
properties.Set("IndexName", "AUD-BBR-BBSW");
properties.Set("MarketName", Market);
properties.Set("StrikeQuoteUnits", StrikeQuoteUnitsEnum.DecimalRate.ToString());
properties.Set("MeasureType", MeasureTypesEnum.Volatility.ToString());
properties.Set("QuoteUnits", QuoteUnitsEnum.LogNormalVolatility.ToString());
properties.Set("Algorithm", "Linear");
properties.Set("QuotationSide", QuotationSideEnum.Mid.ToString());
properties.Set("Timing", QuoteTimingEnum.Close.ToString());
properties.Set("ValuationDate", DateTime.Today);
properties.Set("BusinessCenter", "Sydney");
properties.Set("Strike", 0.025m);
properties.Set("BaseDate", DateTime.Today);
var volCurve = CurveEngine.CreatePricingStructure(properties, ProcessValues(instruments, marketvalues, additionalforwards));
string name = volCurve.GetPricingStructureId().UniqueIdentifier;
Market market = volCurve.GetMarket();
CurveEngine.SaveCurve(market, name, properties, new TimeSpan(0, 1, 0));
}
private static void CreateDiscountCurve(string currency1, string[] instruments, decimal[] values)
{
NamedValueSet properties = new NamedValueSet();
properties.Set("PricingStructureType", "DiscountCurve");
properties.Set("CreditInstrumentId", "LIBOR");
properties.Set("CreditSeniority", "SENIOR");
properties.Set("CurveName", currency1 + "-LIBOR-SENIOR");
properties.Set("Currency", currency1);
properties.Set("MarketName", Market);
properties.Set("BaseDate", DateTime.Today);
var rateCurve = CurveEngine.CreatePricingStructure(properties, ProcessValues(instruments, values));
string name = rateCurve.GetPricingStructureId().UniqueIdentifier;
Market market = rateCurve.GetMarket();
CurveEngine.SaveCurve(market, name, properties, new TimeSpan(0, 1, 0));
}
private static void CreateRateCurve(string currency1, string indexTenor, string[] instruments, decimal[] values)
{
NamedValueSet properties = new NamedValueSet();
properties.Set("CurveName", "AUD-BBR-BBSW-" + indexTenor);
properties.Set("PricingStructureType", "RateCurve");
properties.Set("Currency", currency1);
properties.Set("IndexTenor", indexTenor);
properties.Set("IndexName", "AUD-BBR-BBSW");
properties.Set("MarketName", Market);
properties.Set("BaseDate", DateTime.Today);
var rateCurve = CurveEngine.CreatePricingStructure(properties, ProcessValues(instruments, values));
string name = rateCurve.GetPricingStructureId().UniqueIdentifier;
Market market = rateCurve.GetMarket();
CurveEngine.SaveCurve(market, name, properties, new TimeSpan(0, 1, 0));
}
private static void CreateFxCurve(string currency1, string currency2, string[] instruments, decimal[] values)
{
NamedValueSet properties = new NamedValueSet();
properties.Set("CurveName", "FxCurve" + currency1 + "-" + currency2);
properties.Set("PricingStructureType", "FxCurve");
properties.Set("Currency", currency1);
properties.Set("Currency2", currency2);
properties.Set("CurrencyPair", currency1 + "-" + currency2);
properties.Set("QuoteBasis", "Currency2PerCurrency1");
properties.Set("MarketName", Market);
properties.Set("BaseDate", DateTime.Today);
var fxCurve = CurveEngine.CreatePricingStructure(properties, ProcessValues(instruments, values));
string name = fxCurve.GetPricingStructureId().UniqueIdentifier;
Market market = fxCurve.GetMarket();
CurveEngine.SaveCurve(market, name, properties, new TimeSpan(0, 1, 0));
}
private static void CreateBondDiscountCurve(string currency1, string[] instruments, decimal[] values)
{
NamedValueSet properties = new NamedValueSet();
properties.Set("PricingStructureType", "BondDiscountCurve");
properties.Set("Currency", currency1);
properties.Set("CreditInstrumentId", "WATC");
properties.Set("CreditSeniority", "SENIOR");
properties.Set("MarketName", Market1);
properties.Set("Algorithm", "LinearZero");
properties.Set("MarketQuote", "YieldToMaturity");
properties.Set("BaseDate", new DateTime(2010, 3, 1));
var bondCurve = CurveEngine.CreatePricingStructure(properties, ProcessValues(instruments, values));
string name = bondCurve.GetPricingStructureId().UniqueIdentifier;
Market market = bondCurve.GetMarket();
CurveEngine.SaveCurve(market, name, properties, new TimeSpan(0, 1, 0));
}
private static void CreateBondFinancingBasisCurve(string currency1, string[] instruments, decimal[] values)
{
NamedValueSet properties = new NamedValueSet();
properties.Set("PricingStructureType", "BondFinancingBasisCurve");
properties.Set("ReferenceBond", "Govt.WATC.Fixed.7.15/10/2019");
properties.Set("ReferenceCurveUniqueId", "Market." + Market + ".DiscountCurve.GBP-LIBOR-SENIOR");
properties.Set("CurveName", "AUD-GC-SECURED");
properties.Set("Currency", currency1);
properties.Set("BondType", "AGB");
properties.Set("CreditSeniority", "SECURED");
properties.Set("CreditInstrumentId", "GC");
properties.Set("MarketName", Market);
properties.Set("Algorithm", "LinearZero");
properties.Set("MarketQuote", "YieldToMaturity");
properties.Set("BaseDate", new DateTime(2010, 3, 1));
var bondCurve = CurveEngine.CreatePricingStructure(properties, ProcessValues(instruments, values));
string name = bondCurve.GetPricingStructureId().UniqueIdentifier;
Market market = bondCurve.GetMarket();
CurveEngine.SaveCurve(market, name, properties, new TimeSpan(0, 1, 0));
}
