//------------------------------------------------------------------------------------------------
public SwapCurveSeriesBuilder(DateTime start, DateTime end, string forecastName, string discountName, string ccy, ICarbonClient client, string calendarCode="")
//------------------------------------------------------------------------------------------------
{
m_startDate = start;
m_endDate = end;
m_forecastCurveName = forecastName;
m_discountCurveName = discountName;
m_ccy = ccy;
m_carbonClient = client;
// Holidays
m_holidays = new List<DateTime>();
if (calendarCode != "")
{
var nodaHols = m_carbonClient.GetCalendarAsync(calendarCode).Result.Dates;
foreach (LocalDate hol in nodaHols)
{
m_holidays.Add(hol.ToDateTime());
}
}
// Dates
m_dateRange = new List<DateTime>();
LocalDate currentDate = m_carbonClient.RollDateAsync(DateUtils.ToLocalDate(m_startDate), 0, DateUnit.Bd, BusinessDayConvention.Following, calendarCode).Result;
LocalDate endDate = DateUtils.ToLocalDate(m_endDate);
while (currentDate <= endDate)
{
m_dateRange.Add(DateUtils.ToDateTime(currentDate));
currentDate = m_carbonClient.RollDateAsync(currentDate, 1, DateUnit.Bd, BusinessDayConvention.Following, calendarCode).Result;
}
buildAllCurves();
}
//------------------------------------------------------------------------------------------------
public FuturesSeriesBuilder(List<string> tickers,
DateTime start,
DateTime end,
string calendarCode,
string futuresStaticMoniker,
ICarbonClient client,
string carbonEnv = "PRD",
RollMethods rollMthd = RollMethods.FirstNoticeDate,
InterpolationTypes interpType = InterpolationTypes.None,
List<string> contractSortOrder = null ,
Dictionary<string,DateTime> rollmap = null,
SmoothingTypes smoothingType = SmoothingTypes.None)
//------------------------------------------------------------------------------------------------
{
// defaults
startDate_ = start;
endDate_ = end;
carbonEnv_ = carbonEnv;
rollMethod_ = rollMthd; //RollMethods.FirstNoticeDate;
smoothingType_ = smoothingType;
futuresStaticMoniker_ = futuresStaticMoniker;
// Holidays
holidays_ = new List<DateTime>();
if (calendarCode != "")
{
var nodaHols = client.GetCalendarAsync(calendarCode).Result.Dates;
foreach (LocalDate hol in nodaHols)
{
holidays_.Add(hol.ToDateTime());
}
}
// DateRange
dateRange_ = new List<DateTime>();
LocalDate currentDate = client.RollDateAsync(DateUtils.ToLocalDate(startDate_), 0, DateUnit.Bd, BusinessDayConvention.Following, calendarCode).Result;
LocalDate endDate = DateUtils.ToLocalDate(endDate_);
while (currentDate <= endDate)
{
dateRange_.Add(DateUtils.ToDateTime(currentDate));
currentDate = client.RollDateAsync(currentDate, 1, DateUnit.Bd, BusinessDayConvention.Following, calendarCode).Result;
}
initFutureSeriesBuilder(tickers, dateRange_, holidays_, futuresStaticMoniker_, client, carbonEnv, rollMthd, interpType, contractSortOrder);
}
