private static UnderlyingAsset CreateSimpleFra(string marketInstrumentId)
{
var simpleFra = new SimpleFra();
string[] slicedInstrumentId = marketInstrumentId.Split('-');
string instrumentCurrency = slicedInstrumentId[0];
string instrumentTerm = slicedInstrumentId[2];
simpleFra.currency = new IdentifiedCurrency {
Value = instrumentCurrency
};
string startTerm;
string endTerm = slicedInstrumentId[3];
if (endTerm != null)
{
startTerm = instrumentTerm;
Period temp = PeriodHelper.Parse(endTerm);
simpleFra.startTerm = PeriodHelper.Parse(startTerm);
simpleFra.endTerm = simpleFra.startTerm.Sum(temp);
}
else
{
string[] slicedTerm = instrumentTerm.Split("vxVX".ToCharArray());//TODO fix this for index tenors.
startTerm = slicedTerm[0];
endTerm = slicedTerm[1];
simpleFra.startTerm = PeriodHelper.Parse(startTerm);
simpleFra.endTerm = PeriodHelper.Parse(endTerm);
}
simpleFra.instrumentId = new[] { new InstrumentId() };
simpleFra.instrumentId[0].Value = marketInstrumentId;
return(simpleFra);
}
public static RelativeDateOffset Create(string s, DayTypeEnum dayType,
string businessDayConventionAsString,
BusinessCenters businessCenters,
string dateRelativeTo)
{
var result = new RelativeDateOffset();
Period interval = PeriodHelper.Parse(s);
result.period = interval.period;
result.periodMultiplier = interval.periodMultiplier;
result.dayType = dayType;
result.dayTypeSpecified = true;
result.businessDayConvention = BusinessDayConventionHelper.Parse(businessDayConventionAsString);
result.businessCenters = businessCenters;
var dateReference = new DateReference {
href = dateRelativeTo
};
result.dateRelativeTo = dateReference;
return(result);
}
public static FloatingRateCalculation Create(string floatingRateIndex, string indexTenor, decimal spreadInitialValue)
{
FloatingRateCalculation result = new FloatingRateCalculation();
result.floatingRateIndex = FloatingRateIndexHelper.Parse(floatingRateIndex);
result.indexTenor = PeriodHelper.Parse(indexTenor);
result.spreadSchedule = new SpreadSchedule[] { SpreadScheduleFactory.Create(spreadInitialValue) };
return(result);
}
/// <summary>
/// Parses the specified interval as string.
/// </summary>
/// <param name="intervalAsString"><example>3M,3m,14d,6Y</example></param>
/// <returns></returns>
public static ResetFrequency Parse(string intervalAsString)
{
ResetFrequency result = new ResetFrequency();
Period interval = PeriodHelper.Parse(intervalAsString);
result.periodMultiplier = interval.periodMultiplier;
result.period = interval.period.ToString();
return(result);
}
public Period ToPeriod()
{
string[] nameParts = id.Split('-');
if (nameParts.Length < 3)
{
throw new ArgumentException("UnderlyingAsset Id must have at least three parts separated by '-'");
}
string termPart = nameParts[2];
return(PeriodHelper.Parse(termPart));
}
private static UnderlyingAsset CreateDeposit(string marketInstrumentId)
{
var deposit = new Deposit();
string[] slicedInstrumentId = marketInstrumentId.Split('-');
string instrumentCurrency = slicedInstrumentId[0];
string instrumentTerm = slicedInstrumentId[2];
deposit.currency = new IdentifiedCurrency {
Value = instrumentCurrency
};
deposit.term = PeriodHelper.Parse(instrumentTerm);
deposit.instrumentId = new[] { new InstrumentId() };
deposit.instrumentId[0].Value = marketInstrumentId;
return(deposit);
}
private static UnderlyingAsset CreateSimpleIRSwap(string marketInstrumentId)
{
var simpleIRSwap = new SimpleIRSwap();
string[] slicedInstrumentId = marketInstrumentId.Split('-');
string instrumentCurrency = slicedInstrumentId[0];
string instrumentTerm = slicedInstrumentId[2];
simpleIRSwap.currency = new IdentifiedCurrency {
Value = instrumentCurrency
};
simpleIRSwap.term = PeriodHelper.Parse(instrumentTerm);
simpleIRSwap.instrumentId = new[] { new InstrumentId() };
simpleIRSwap.instrumentId[0].Value = marketInstrumentId;
return(simpleIRSwap);
}
public static RateIndex Parse(string instrumentId,
string floatingRateIndex,
string currency,
string dayCountFraction,
string paymentFrequency,
string term)
{
var rateIndex = new RateIndex
{
currency = new IdentifiedCurrency()
{
Value = currency
},
dayCountFraction = DayCountFractionHelper.Parse(dayCountFraction),
floatingRateIndex = FloatingRateIndexHelper.Parse(floatingRateIndex),
id = instrumentId,
instrumentId = InstrumentIdArrayHelper.Parse(instrumentId),
paymentFrequency = PeriodHelper.Parse(paymentFrequency),
term = PeriodHelper.Parse(term)
};
return(rateIndex);
}
public static Period FromYears(int years)
{
return(PeriodHelper.Parse(years + "Y"));
}
public static Period FromMonths(int months)
{
return(PeriodHelper.Parse(months + "M"));
}
public static Period FromWeeks(int weeks)
{
return(PeriodHelper.Parse(weeks + "W"));
}
public static Period FromDays(int days)
{
return(PeriodHelper.Parse(days + "D"));
}