コード例 #1
0
        //public static Market CreateYieldCurveConfiguration(string curveId, string[] assetIdentifiers)
        //{
        //    var market = new Market {id = curveId};

        //    //Create the quotedAssetSet.
        //    var qas = QuotedAssetSetFactory.Parse(assetIdentifiers);

        //    //Create the curve information.
        //    var curve = new YieldCurve {id = curveId};

        //    //reate the valuation structure that contains qas.
        //    var curveValuation = new YieldCurveValuation {id = curveId, inputs = qas};

        //    //Set the market.
        //    market.Items = new[] { (PricingStructure)curve };
        //    market.Items1 = new[] { (PricingStructureValuation)curveValuation };

        //    return market;
        //}

        public static Market CreateFxCurveConfiguration(string curveId, string currency1, string currency2, string quoteBasis, FxRateSet quotedAssetSet)
        {
            //<QuoteBasisEnum>
            var basis = EnumHelper.Parse <QuoteBasisEnum>(quoteBasis, true);
            var quotedCurrencyPair = QuotedCurrencyPair.Create(currency1, currency2, basis);
            var currency           = CurrencyHelper.Parse(currency1);
            var market             = new Market {
                id = curveId
            };

            //Create the curve information.
            var curve = new FxCurve {
                id = curveId, name = curveId, currency = currency, quotedCurrencyPair = quotedCurrencyPair
            };

            //reate the valuation structure that contains qas.
            var curveValuation = new FxCurveValuation {
                id = curveId, spotRate = quotedAssetSet
            };

            //Set the market.
            market.Items  = new[] { (PricingStructure)curve };
            market.Items1 = new[] { (PricingStructureValuation)curveValuation };

            return(market);
        }
コード例 #2
0
        public static ExchangeRate Create(string currency1, string currency2, QuoteBasisEnum quoteBasis,
                                          Decimal spotRate)
        {
            var exchangeRate = new ExchangeRate
            {
                quotedCurrencyPair = QuotedCurrencyPair.Create(currency1, currency2, quoteBasis),
                rate = spotRate
            };

            return(exchangeRate);
        }
コード例 #3
0
        public static ExchangeRate Create(string currency1, string currency2, QuoteBasisEnum quoteBasis,
                                          Decimal spotRate, Decimal forwardRate, Decimal?forwardPoints)
        {
            var exchangeRate = new ExchangeRate
            {
                quotedCurrencyPair = QuotedCurrencyPair.Create(currency1, currency2, quoteBasis),
                rate     = forwardRate,
                spotRate = spotRate
            };

            if (forwardPoints != null)
            {
                exchangeRate.forwardPointsField = (decimal)forwardPoints;
            }
            return(exchangeRate);
        }