public ForwardBuilder(FutureBuilder futureBuilder, IRepoAssumptions repoRetreiever)
{
this.futureBuilder = futureBuilder;
this.repoRetreiever = repoRetreiever;
// default to 5 years
YearSwitchForFrontDate = 5;
ECountry = BondAnalytics.Country.US;
Frequency = 6;
}
public RepoAssumptions(FutureBuilder futureBuilder, IIRCurves curves)
{
this.futureBuilder = futureBuilder;
this.curves = curves;
calendar = "USNY";
// set up default repo
LoadDefaultRepo();
// setup periodic update of repo cache
Task.Factory.StartNew(() => RefreshRepoCache(cancellationToken.Token), TaskCreationOptions.LongRunning);
}
public BondSpreadCalculator(BondSpreadServiceModel bondSpreadServiceModel, CurveBuilder curveBuilder,
FutureBuilder futureBuilder, FutureEnrichment futureEnricher, ForwardBuilder forwardBuilder,
InterestCurves curves)
{
this.bondSpreadServiceModel = bondSpreadServiceModel;
this.curveBuilder = curveBuilder;
this.futureBuilder = futureBuilder;
this.futureEnricher = futureEnricher;
this.forwardBuilder = forwardBuilder;
this.curves = curves;
carbonFieldMap = CarbonModel.GetEnumToFieldMapping(new[] { "bid", "ask", "primAct1", "secAct1" });
dataObserver = new DataObserver(bondPriceCache, carbonFieldMap, FutureCache);
dataObserver.Subscribe(dataObserveSubject);
}
public FutureEnrichment(FutureBuilder _futureBuilder, BondSpreadServiceModel bondServiceModel)
{
this._futureBuilder = _futureBuilder;
this.bondServiceModel = bondServiceModel;
}
