/* Functions below are the actual functions used to
* parse instrument strings into actual objects. We've created
* a method for each of the instrument classes we consider.
* Note that the string has to have a very specific format.
*/
private void InterpretTenorBasisSwapString(string instrumentString)
{
string identifier, type, currency, swapNoSpreadIdent, swapSpreadIdent;
string[] infoArray = instrumentString.Split(',').ToArray();
identifier = infoArray[0];
type = infoArray[1];
currency = infoArray[2];
// In accordance with market practice, we put the spread on the short leg
swapSpreadIdent = infoArray[3];
swapNoSpreadIdent = infoArray[4];
try
{
IrSwap swapNoSpread = IrSwaps[swapNoSpreadIdent];
IrSwap swapSpread = IrSwaps[swapSpreadIdent];
TenorBasisSwap swap = new TenorBasisSwap(swapSpread, swapNoSpread, _defaultTradeSign);
BasisSwaps[identifier] = swap;
DateTime curvePoint = swap.GetCurvePoint();
CurvePointMap[identifier] = swap.GetCurvePoint();
InstrumentTypeMap[identifier] = QuoteType.ParBasisSpread;
InstrumentFormatTypeMap[identifier] = InstrumentFormatType.BasisSpreads;
IdentifierStringMap[identifier] = instrumentString;
}
catch
{
// Ignore instrument
}
}
