public void CanAddAndGetAllInstrumentTypes() { using (FinancialClient financialClient = Context.CreateFinancialClient()) { InterpolatedYieldCurveDefinitionMaster interpolatedYieldCurveDefinitionMaster = financialClient.InterpolatedYieldCurveDefinitionMaster; YieldCurveDefinitionDocument yieldCurveDefinitionDocument = GenerateDocument(); foreach (StripInstrumentType stripInstrumentType in Enum.GetValues(typeof(StripInstrumentType))) { var fixedIncomeStrip = new FixedIncomeStrip { ConventionName = "DEFAULT", CurveNodePointTime = Tenor.Day, InstrumentType = stripInstrumentType }; if (stripInstrumentType == StripInstrumentType.Future) { fixedIncomeStrip.NthFutureFromTenor = 12; } yieldCurveDefinitionDocument.YieldCurveDefinition.AddStrip(fixedIncomeStrip); } AssertRoundTrip(interpolatedYieldCurveDefinitionMaster, yieldCurveDefinitionDocument); } }
private FixedIncomeStripWithSecurity(FixedIncomeStrip originalStrip, Tenor resolvedTenor, DateTimeOffset maturity, ExternalId securityIdentifier, ISecurity security) { _resolvedTenor = resolvedTenor; _originalStrip = originalStrip; _maturity = maturity; _securityIdentifier = securityIdentifier; _security = security; }
public void CanAddAndGetAllInstrumentTypes() { using (FinancialClient financialClient = Context.CreateFinancialClient()) { InterpolatedYieldCurveDefinitionMaster interpolatedYieldCurveDefinitionMaster = financialClient.InterpolatedYieldCurveDefinitionMaster; YieldCurveDefinitionDocument yieldCurveDefinitionDocument = GenerateDocument(); foreach (StripInstrumentType stripInstrumentType in Enum.GetValues(typeof(StripInstrumentType))) { var fixedIncomeStrip = new FixedIncomeStrip { ConventionName = "DEFAULT", CurveNodePointTime = Tenor.Day, InstrumentType = stripInstrumentType }; if (stripInstrumentType == StripInstrumentType.Future) fixedIncomeStrip.NthFutureFromTenor = 12; yieldCurveDefinitionDocument.YieldCurveDefinition.AddStrip(fixedIncomeStrip); } AssertRoundTrip(interpolatedYieldCurveDefinitionMaster, yieldCurveDefinitionDocument); } }
public FixedIncomeStripWithIdentifier(ExternalId security, FixedIncomeStrip strip) { _security = security; _strip = strip; }