public TimeLadder(RiskMetric metric, int nScenarios, Calendar calendar, ICurrencyProvider currencyProvider, bool returnDifferential = true)
{
Metric = metric;
NScenarios = nScenarios;
Calendar = calendar;
_currencyProvider = currencyProvider;
ReturnDifferential = returnDifferential;
}
public RiskLadder(Currency ccy, MutationType shiftType, RiskMetric metric, double shiftStepSize, int nScenarios, bool returnDifferential = true)
{
Ccy = ccy;
ShiftType = shiftType;
Metric = metric;
ShiftSize = shiftStepSize;
NScenarios = nScenarios;
ReturnDifferential = returnDifferential;
}
public RiskLadder(string assetId, MutationType shiftType, RiskMetric metric, double shiftStepSize, int nScenarios, bool returnDifferential = true)
{
AssetId = assetId;
ShiftType = shiftType;
Metric = metric;
ShiftSize = shiftStepSize;
NScenarios = nScenarios;
ReturnDifferential = returnDifferential;
}
public RiskMatrix(FxPair p1, FxPair p2, MutationType shiftType, RiskMetric metric, double shiftStepSize1, double shiftStepSize2, int nScenarios, ICurrencyProvider currencyProvider, bool returnDifferential = true)
{
Pair1 = p1;
Pair2 = p2;
ShiftType = shiftType;
Metric = metric;
ShiftSizeAsset = shiftStepSize1;
ShiftSizeFx = shiftStepSize2;
NScenarios = nScenarios;
_currencyProvider = currencyProvider;
ReturnDifferential = returnDifferential;
}
public RiskMatrix(string assetId, Currency ccy, MutationType shiftType, RiskMetric metric, double shiftStepSizeAsset, double shiftStepSizeFx, int nScenarios, ICurrencyProvider currencyProvider, bool returnDifferential = true)
{
AssetId = assetId;
Ccy = ccy;
ShiftType = shiftType;
Metric = metric;
ShiftSizeAsset = shiftStepSizeAsset;
ShiftSizeFx = shiftStepSizeFx;
NScenarios = nScenarios;
_currencyProvider = currencyProvider;
ReturnDifferential = returnDifferential;
}
public RiskMatrix(Currency c1, Currency c2, MutationType shiftType, RiskMetric metric, double shiftStepSize1, double shiftStepSize2, int nScenarios, ICurrencyProvider currencyProvider, bool returnDifferential = true)
{
}
