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;
}