public static YieldCurveDefinitionDocument GenerateDocument() { string curveName = TestUtils.GetUniqueName(); var yieldCurveDefinition = new YieldCurveDefinition(Currency.USD, curveName, "Linear") { Region = new ExternalId("SOMEWHERE", "Europe") }; yieldCurveDefinition.AddStrip(new FixedIncomeStrip { ConventionName = "DEFAULT", CurveNodePointTime = Tenor.Day, InstrumentType = StripInstrumentType.Cash }); yieldCurveDefinition.AddStrip(new FixedIncomeStrip { ConventionName = "DEFAULT", CurveNodePointTime = Tenor.TwoYears, InstrumentType = StripInstrumentType.Future, NthFutureFromTenor = 23 }); return new YieldCurveDefinitionDocument { YieldCurveDefinition = yieldCurveDefinition }; }
public static YieldCurveDefinition FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer) { Currency currency = null; string name = null; string interpolatorName = null; var strips = new List <FixedIncomeStrip>(); ExternalId region = null; foreach (var fudgeField in ffc) { switch (fudgeField.Name) { case "currency": currency = Currency.Create((string)fudgeField.Value); break; case "name": name = (string)fudgeField.Value; break; case "interpolatorName": interpolatorName = (string)fudgeField.Value; break; case "region": region = ExternalId.Parse((string)fudgeField.Value); break; case "strip": strips.Add(deserializer.FromField <FixedIncomeStrip>(fudgeField)); break; } } var yieldCurveDefinition = new YieldCurveDefinition(currency, name, interpolatorName); yieldCurveDefinition.Region = region; yieldCurveDefinition.AddStrip(strips.ToArray()); return(yieldCurveDefinition); }
public InterpolatedYieldCurveSpecification BuildCurve(DateTimeOffset curveDate, YieldCurveDefinition curveDefinition) { RestTarget target = _rest.Resolve("builder").Resolve(UriEncoding.ToString(curveDate)); return target.Post<InterpolatedYieldCurveSpecification>(curveDefinition); }
public static YieldCurveDefinition FromFudgeMsg(IFudgeFieldContainer ffc, IFudgeDeserializer deserializer) { Currency currency = null; string name = null; string interpolatorName = null; var strips = new List<FixedIncomeStrip>(); ExternalId region = null; foreach (var fudgeField in ffc) { switch (fudgeField.Name) { case "currency": currency = Currency.Create((string)fudgeField.Value); break; case "name": name = (string)fudgeField.Value; break; case "interpolatorName": interpolatorName = (string)fudgeField.Value; break; case "region": region = ExternalId.Parse((string)fudgeField.Value); break; case "strip": strips.Add(deserializer.FromField<FixedIncomeStrip>(fudgeField)); break; } } var yieldCurveDefinition = new YieldCurveDefinition(currency, name, interpolatorName); yieldCurveDefinition.Region = region; yieldCurveDefinition.AddStrip(strips.ToArray()); return yieldCurveDefinition; }