public static CashFlow CreateStrategy(Instrument instrument, BusinessDay initialDate, double amount, BusinessDay date, CashFlowGroup group)
{
if (instrument.InstrumentType == InstrumentType.Strategy)
{
CashFlow Strategy = new CashFlow(instrument);
Strategy.Amount = amount;
Strategy.Date = date.DateTime;
//Strategy.AddMemoryPoint(DateTime.MinValue, amount, -(int)MemoryType.Amount);
//Strategy.AddMemoryPoint(DateTime.MinValue, date.DateTime.ToOADate(), -(int)MemoryType.Date);
if (group != null)
{
Strategy.Group = group;
}
//Strategy.AddMemoryPoint(DateTime.MinValue, group.ID, -(int)MemoryType.GroupID);
double npv = Strategy.NPV(initialDate);
Strategy.Startup(initialDate, npv, null);
Strategy.InitialDate = new DateTime(1990, 01, 06);
return(Strategy);
}
else
{
throw new Exception("Instrument not a Strategy");
}
}
public static CashFlowGroup CreateStrategy(Instrument instrument, BusinessDay initialDate, double amount, BusinessDay startDate, BusinessDay endDate, InterestRateTenorType ttype, Portfolio parent)
{
if (instrument.InstrumentType == InstrumentType.Strategy)
{
CashFlowGroup Strategy = new CashFlowGroup(instrument);
Strategy.TimeSeriesRoll = TimeSeriesRollType.Last;
Strategy.Amount = amount;
Strategy.StartDate = startDate.DateTime;
Strategy.EndDate = endDate.DateTime;
Strategy.Frequency = ttype;
Portfolio portfolio = null;
if (parent != null)
{
Instrument portfolio_instrument = Instrument.CreateInstrument(instrument.Name + "/Portfolio", InstrumentType.Portfolio, instrument.Name + "/Portfolio", instrument.Currency, FundingType.TotalReturn, instrument.SimulationObject);
portfolio = Portfolio.CreatePortfolio(portfolio_instrument, parent.LongReserve, parent.ShortReserve, parent);
portfolio.TimeSeriesRoll = TimeSeriesRollType.Last;
foreach (Instrument reserve in parent.Reserves)
{
portfolio.AddReserve(reserve.Currency, parent.Reserve(reserve.Currency, PositionType.Long), parent.Reserve(reserve.Currency, PositionType.Short));
}
if (parent.Strategy != null)
{
parent.Strategy.AddInstrument(Strategy, initialDate.DateTime);
}
}
else
{
Currency main_currency = instrument.Currency;
//ConstantStrategy main_cash_strategy = ConstantStrategy.CreateStrategy(instrument.Name + "/" + main_currency + "/Cash", main_currency, initialDate, 1.0, instrument.SimulationObject);
Instrument main_cash_strategy = Instrument.FindInstrument(main_currency.Name + " - Cash");
Instrument portfolio_instrument = Instrument.CreateInstrument(instrument.Name + "/Portfolio", InstrumentType.Portfolio, instrument.Name + "/Portfolio", main_currency, FundingType.TotalReturn, instrument.SimulationObject);
portfolio = Portfolio.CreatePortfolio(portfolio_instrument, main_cash_strategy, main_cash_strategy, parent);
portfolio.TimeSeriesRoll = TimeSeriesRollType.Last;
portfolio.AddReserve(main_currency, main_cash_strategy, main_cash_strategy);
}
portfolio.Strategy = Strategy;
Strategy.GenerateCashFlows(initialDate.DateTime);
double npv = Strategy.NPV(initialDate);
Strategy.Startup(initialDate, npv, portfolio);
Strategy.InitialDate = new DateTime(1990, 01, 06);
double npv2 = Strategy.NPV(initialDate);
// if (parent != null)
// parent.CreatePosition(Strategy, initialDate.DateTime, (Strategy[initialDate.DateTime] == 0.0 ? 0 : 1.0), npv2);
if (!instrument.SimulationObject)
{
Strategy.Portfolio.MasterPortfolio.Strategy.Tree.SaveNewPositions();
Strategy.Portfolio.MasterPortfolio.Strategy.Tree.Save();
}
return(Strategy);
}
else
{
throw new Exception("Instrument not a Strategy");
}
}
public static CashFlow CreateCashFlow(string name, Currency ccy, BusinessDay initialDate, double amount, BusinessDay date, CashFlowGroup group, bool simulated)
{
Instrument instrument = Instrument.CreateInstrument(name, InstrumentType.Strategy, name, ccy, FundingType.TotalReturn, simulated);
return(CreateStrategy(instrument, initialDate, amount, date, group));
}
