// ************************************************************
// INITIALIZATION
// ************************************************************
#region Setup & Initialization
protected void Initialize(MarkitEquityUnderlying underlying)
{
// Setup link to Markit Data (aka the database)
_database = Markit_Equity_IV.Instance(underlying);
// Fill the rebalancing calendar
_strategy.SetRebalancing(_parameters.startDate(), _parameters.rebalPeriod(), _parameters.rampUpRebalPeriod(), _parameters.maxNumberInstruments());
}
// Constructor
/* Old constructor
* public AutocallSimulationEngine(MarkitEquityUnderlying underlying, AutocallStrategy strategy, SimulationParameters parameters)
* : base(parameters)
* {
* _underlying = underlying;
* _strategy = strategy;
* SetDatabase(underlying);
*
* }
*/
public AutocallSimulationEngine(double initialLevel, MarkitEquityUnderlying underlying, SimulationParameters simulationParameters, AutocallHelper payoffParameters)
: base(simulationParameters)
{
_underlying = underlying;
_strategy = new AutocallStrategy(initialLevel, simulationParameters, payoffParameters);
Initialize(underlying);
}
// Full fledged
public EquityIndexStrangleStrategy(DateTime valuationDate, MarkitEquityUnderlying underlying, int numberStrangles,
Period spacing, Calendar calendar, DBID callStrikeDBID, DBID putStrikeDBID, DBID underlyingDBID, Dictionary <int, DBID> strangleMtM_DBID)
{
// Set the date
this.valuationDate = valuationDate;
// Set the underlying
_underlying = underlying;
// Set the strategy properties
_numberStrangles = numberStrangles;
_spacing = spacing;
_calendar = calendar;
// Set the identification (to locate data in the DB)
_callStrikeID = callStrikeDBID;
_putStrikeID = putStrikeDBID;
_underlyingID = underlyingDBID;
strangleMTM_Tokens = strangleMtM_DBID;
}
// ************************************************************
// FACTORY
// ************************************************************
#region
/// <summary>
/// Method used ton instanciate the Markit Equity IV in-memory cache (singleton).
/// </summary>
public static Markit_Equity_IV Instance(MarkitEquityUnderlying underlying)
{
return(Nested.instance(underlying));
}
// internal static readonly Markit_IV_SX5E instance = new Markit_IV_SX5E();
internal static Markit_Equity_IV instance(MarkitEquityUnderlying underlying)
{
return(new Markit_Equity_IV(underlying));
}
private Markit_Equity_IV(MarkitEquityUnderlying underlying)
{
_underlying = underlying;
}
// ************************************************************
// CONSTRUCTOR
// ************************************************************
#region Constuctors
// Generic
//public EquityIndexStrangleStrategy() { }
// No Date
public EquityIndexStrangleStrategy(MarkitEquityUnderlying underlying, int numberStrangles, Period spacing,
Calendar calendar, DBID callStrikeDBID, DBID putStrikeDBID, DBID underlyingDBID, Dictionary <int, DBID> strangleMtM_DBID)
: this(new DateTime(), underlying, numberStrangles, spacing, calendar, callStrikeDBID, putStrikeDBID, underlyingDBID, strangleMtM_DBID)
{
}
// internal static readonly Markit_IV_SX5E instance = new Markit_IV_SX5E();
internal static Markit_Equity_IV_New_Files instance(MarkitEquityUnderlying underlying)
{
return(new Markit_Equity_IV_New_Files(underlying));
}
private Markit_Equity_IV_New_Files(MarkitEquityUnderlying underlying)
{
_underlying = underlying;
}
// ************************************************************
// CONSTRUCTORS
// ************************************************************
#region
// Constructor 1 : Generic
// public MarkitVolatilityReader() { }
public MarkitVolatilityReader(MarkitEquityUnderlying underlying)
{
_underlying = underlying;
}
