public override List<Greek> greeks()
{
List<Greek> greeks = new List<Greek>();
Greek greek_duration = new Greek(Greek.Type.Delta, 0.5);
greek_duration.UnderCode_ = "TESTUNDERCODE_1";
greeks.Add(greek_duration);
return greeks;
}
public void merge(Greek greek)
{
if (this.type_ == greek.type_ &&
this.underCode_ == greek.UnderCode_)
{
this.value_ += greek.Value_;
}
else
{
return;
}
}
public List<Greek> select()
{
// HITM_INSR_GREEK_TB
List<Greek> greekList = new List<Greek>();
Greek g1 = new Greek(Greek.Type.Delta , 0.1);
Greek g2 = new Greek(Greek.Type.Gamma , 0.2);
Greek g3 = new Greek(Greek.Type.Vega , 0.3);
greekList.Add(g1);
greekList.Add(g2);
greekList.Add(g3);
return greekList;
}
private Financial_instrument match_hedge_instrument(Greek greek)
{
string mapID = greek.mapID();
Financial_instrument financial_instrument = this.map_hedgeInst_[mapID.ToUpper()];
return financial_instrument;
}
public Greek(Greek.Type type, double v)
{
this.type_ = type_;
this.value_ = v;
this.underCode_ = "unknown";
}
