static string GetSwaptionVolatilityTicker(string marketExpression)
{
string market = MarketDataRequestManager.GetMarket(marketExpression);
string ticker = $"SwaptionVol{CurrencyTickerBuilder.MarketToCurrency(market)}";
return(ticker);
}
public IList <MarketDataIdentifierInfo> GetMarketDataIdentifierInfo()
{
IList <MarketDataIdentifierInfo> list = new List <MarketDataIdentifierInfo>();
string[] foreignCurrencies = new string[] { "CAD", "CHF", "GBP", "HKD", "JPY", "USD", "SEK", "DKK", "NOK", "KRW", "RUB", "TRY", "BRL", "ZAR", "AUD", "PLN", "MXN", "NZD", "CZK", "HUF", "CNY", "INR", "RON" };
// ECB format
foreach (string currency in foreignCurrencies)
{
MarketDataIdentifierInfo info = new MarketDataIdentifierInfo();
info.Category = DVPLI.Enums.IdentifierCategory.EquityAndIndex;
info.Code = string.Format("EUR{0} ECB Curncy", currency);
info.Currency = currency;
info.Description = string.Format("{0}-{1} Exchange Rate", CurrencyTickerBuilder.GetDescription("EUR"), CurrencyTickerBuilder.GetDescription(currency));
info.Identifier = info.Code;
info.Name = info.Code;
info.Visibility = false;
list.Add(info);
}
// Bloomberg format
foreach (string currency in foreignCurrencies)
{
MarketDataIdentifierInfo info = new MarketDataIdentifierInfo();
info.Category = DVPLI.Enums.IdentifierCategory.EquityAndIndex;
info.Code = string.Format("EUR{0} Curncy", currency);
info.Currency = currency;
info.Description = string.Format("{0}-{1} Exchange Rate", CurrencyTickerBuilder.GetDescription("EUR"), CurrencyTickerBuilder.GetDescription(currency));
info.Identifier = info.Code;
info.Name = info.Code;
info.Visibility = false;
list.Add(info);
info = new MarketDataIdentifierInfo();
info.Category = DVPLI.Enums.IdentifierCategory.EquityAndIndex;
info.Code = string.Format("{0}EUR Curncy", currency);
info.Currency = "EUR";
info.Description = string.Format("{0}-{1} Exchange Rate", CurrencyTickerBuilder.GetDescription(currency), CurrencyTickerBuilder.GetDescription("EUR"));
info.Identifier = info.Code;
info.Name = info.Code;
info.Visibility = false;
list.Add(info);
}
return(list);
}
