//Constructor
public Index_Pricing()
{
//User Input of Trade Date
TRADE_DATE = new DateTime(2014, 2, 13);
NOTIONAL = 1.0e6;
//Contract Detail
Read_Contract();
//Index Market Data
PRICES = CDSIndexProvider.CDX_NA_HY_20140213_PRICES;
PILLAR_PUF = new PointsUpFront[PRICES.Length];
//Build the Interest Rate Curve
Build_yield_curve(TRADE_DATE);
//Read constituent features, build credit curves
Build_credit_curves(TRADE_DATE);
//Build Index data bundle
INTRINSIC_DATA = new IntrinsicIndexDataBundle(CREDIT_CURVES, RECOVERY_RATES);
//Create CDX class
CdsAnalyticFactory FACTORY = new CdsAnalyticFactory(INDEX_RECOVERY);
CDX = FACTORY.makeCdx(TRADE_DATE, CDSIndexProvider.INDEX_TENORS);
}
public CDXTest()
{
int a = 1;
CdsAnalyticFactory FACTORY = new CdsAnalyticFactory(INDEX_RECOVERY);
CDX = FACTORY.makeCdx(TRADE_DATE, CDSIndexProvider.INDEX_TENORS);
}
public Index_Pricing_725()
{
TRADE_DATE = new DateTime(2016, 7, 25);
NOTIONAL = 1.0e6;
//Contract Detail
Read_Contract();
//Index Market Data
PRICES = CDSIndexProvider.CDX_NA_HY_20160725_PRICES;
PILLAR_PUF = new PointsUpFront[PRICES.Length];
//Build the Interest Rate Curve
Build_yield_curve(TRADE_DATE);
//Read constituent features, build credit curves
Build_credit_curves(TRADE_DATE);
//Build Index data bundle
INTRINSIC_DATA = new IntrinsicIndexDataBundle(CREDIT_CURVES, RECOVERY_RATES);
weights_ = new double[component_num];
weights_ = Enumerable.Repeat((double)1.0 / component_num, component_num).ToArray();
INTRINSIC_DATA._weights = weights_;
//Create CDX class
CdsAnalyticFactory FACTORY = new CdsAnalyticFactory(INDEX_RECOVERY);
int[] CDX_Tenor = new int[] { 12, 24, 36, 60, 84, 120 };
CDX = FACTORY.makeCdx(TRADE_DATE, CDX_Tenor);
}