public static double LinearRateModel_BasisSwapValue(string baseName, string swapName)
{
LinearRateModel model = ObjectMap.LinearRateModels[baseName];
TenorBasisSwap swap = (TenorBasisSwap)ObjectMap.LinearRateInstruments[swapName];
return(model.BasisSwapNpv(swap));
}
public static double LinearRateModel_BasisParSpread(string modelName, string basisSwapName)
{
LinearRateModel model = ObjectMap.LinearRateModels[modelName];
TenorBasisSwap swap = (TenorBasisSwap)ObjectMap.LinearRateInstruments[basisSwapName];
return(model.ParBasisSpread(swap));
}
public static void BasisSwap_MakeFromIrs(string baseName, string swapSpread, string swapNoSpread, int tradeSign)
{
IrSwap swapSpreadObject = ObjectMap.IrSwaps[swapSpread];
IrSwap swapNoSpreadObject = ObjectMap.IrSwaps[swapNoSpread];
TenorBasisSwap basisSwap = new TenorBasisSwap(swapSpreadObject, swapNoSpreadObject, tradeSign);
ObjectMap.LinearRateInstruments[baseName] = basisSwap;
ObjectMap.BasisSwaps[baseName] = basisSwap;
}
public static double InstrumentFactory_ValueBasisSwap(string instrumentFactory, string model, string instrument)
{
TenorBasisSwap swap = ObjectMap.InstrumentFactories[instrumentFactory].BasisSwaps[instrument];
return(ObjectMap.LinearRateModels[model].ParBasisSpread(swap));
}
