public FixedFloatSwapCurveInstrument(Tenor tenor, FloatRateIndex index, double spread, double fixedRate,
DiscountingSourceDescription discountCurveDescription, CurveToStrip curveToStrip)
{
_tenor = tenor;
_index = index;
_spread = spread;
_fixedRate = fixedRate;
_discountCurveDescription = discountCurveDescription;
switch (curveToStrip)
{
case CurveToStrip.Forecast:
{
_nameOfCurveToStrip = new FloatingRateSourceDescription(index).Name;
break;
}
case CurveToStrip.Discount:
{
_nameOfCurveToStrip = _discountCurveDescription.Name;
break;
}
default:
throw new ArgumentOutOfRangeException(nameof(curveToStrip), curveToStrip, null);
}
}
public BasisSwapCurveInstrument(Tenor tenor, FloatRateIndex leg1Index, FloatRateIndex leg2Index,
double leg1Spread,
double leg2Spread, DiscountingSourceDescription discountCurveDescription, CurveToStrip curveToStrip)
{
_tenor = tenor;
_leg1Index = leg1Index;
_leg2Index = leg2Index;
_leg1Spread = leg1Spread;
_leg2Spread = leg2Spread;
_discountCurveDescription = discountCurveDescription;
switch (curveToStrip)
{
case CurveToStrip.Leg1Forecast:
{
_curveName = new FloatingRateSourceDescription(leg1Index).Name;
break;
}
case CurveToStrip.Leg2Forecast:
{
_curveName = new FloatingRateSourceDescription(leg2Index).Name;
break;
}
case CurveToStrip.DiscountCurve:
{
_curveName = _discountCurveDescription.Name;
break;
}
default:
throw new ArgumentOutOfRangeException(nameof(curveToStrip), curveToStrip, null);
}
}
