private void SetProperties()
{
switch (PricingStructureType)
{
case PricingStructureTypeEnum.RateCurve:
case PricingStructureTypeEnum.RateBasisCurve:
ForecastRateIndex = ForecastRateIndexHelper.Parse(Index, IndexTenor);
break;
case PricingStructureTypeEnum.RateSpreadCurve:
case PricingStructureTypeEnum.ClearedRateCurve:
ForecastRateIndex = ForecastRateIndexHelper.Parse(Index, IndexTenor);
ReferenceCurveTypeAndName = PropertyHelper.ExtractReferenceCurveName(Properties);
ReferenceCurveUniqueId = PropertyHelper.ExtractReferenceCurveUniqueId(Properties);
break;
case PricingStructureTypeEnum.DiscountCurve:
string creditInstrumentId = PropertyHelper.ExtractCreditInstrumentId(Properties);
string creditSeniority = PropertyHelper.ExtractCreditSeniority(Properties);
CreditInstrumentId = InstrumentIdHelper.Parse(creditInstrumentId);
CreditSeniority = CreditSeniorityHelper.Parse(creditSeniority);
break;
case PricingStructureTypeEnum.RateXccyCurve:
//ForecastRateIndex = ForecastRateIndexHelper.Parse(Index, IndexTenor);
string discountInstrumentId = PropertyHelper.ExtractCreditInstrumentId(Properties);
string discountSeniority = PropertyHelper.ExtractCreditSeniority(Properties);
CreditInstrumentId = InstrumentIdHelper.Parse(discountInstrumentId);
CreditSeniority = CreditSeniorityHelper.Parse(discountSeniority);
ReferenceCurveTypeAndName = PropertyHelper.ExtractReferenceCurveName(Properties);
ReferenceCurveUniqueId = PropertyHelper.ExtractReferenceCurveUniqueId(Properties);
ReferenceFxCurveTypeAndName = PropertyHelper.ExtractReferenceFxCurveName(Properties);
ReferenceFxCurveUniqueId = PropertyHelper.ExtractReferenceFxCurveUniqueId(Properties);
ReferenceCurrency2CurveTypeAndName = PropertyHelper.ExtractReferenceCurrency2CurveName(Properties);
ReferenceCurrency2CurveId = PropertyHelper.ExtractReferenceCurrency2CurveId(Properties);
break;
case PricingStructureTypeEnum.InflationCurve:
ForecastRateIndex = ForecastRateIndexHelper.Parse(Index, IndexTenor);
var inflationLag = PropertyHelper.ExtractInflationLag(Properties);
if (inflationLag != "Unknown")
{
InflationLag = PeriodHelper.Parse(inflationLag);
}
break;
case PricingStructureTypeEnum.XccySpreadCurve:
PricingStructureType = PricingStructureTypeEnum.RateSpreadCurve;
break;
}
}
private void SetProperties(PricingStructureTypeEnum pricingStructureType, string curveName)
{
if (pricingStructureType == PricingStructureTypeEnum.RateCurve ||
pricingStructureType == PricingStructureTypeEnum.RateBasisCurve ||
pricingStructureType == PricingStructureTypeEnum.ClearedRateCurve ||
pricingStructureType == PricingStructureTypeEnum.RateSpreadCurve)
{
var rateCurveId = curveName.Split('-');
var indexTenor = rateCurveId[rateCurveId.Length - 1];
var indexName = rateCurveId[0];
for (var i = 1; i < rateCurveId.Length - 1; i++)
{
indexName = indexName + '-' + rateCurveId[i];
}
ForecastRateIndex = ForecastRateIndexHelper.Parse(indexName, indexTenor);
}
if (pricingStructureType == PricingStructureTypeEnum.DiscountCurve ||
pricingStructureType == PricingStructureTypeEnum.RateXccyCurve)
{
var rateCurveId = CurveName.Split('-');
var subordination = rateCurveId[rateCurveId.Length - 1];
var indexName = rateCurveId[0];
for (var i = 1; i < rateCurveId.Length - 1; i++)
{
indexName = indexName + '-' + rateCurveId[i];
}
CreditInstrumentId = InstrumentIdHelper.Parse(indexName);
CreditSeniority = CreditSeniorityHelper.Parse(subordination);
}
if (pricingStructureType == PricingStructureTypeEnum.InflationCurve)
{
var rateCurveId = CurveName.Split('-');
var indexTenor = rateCurveId[rateCurveId.Length - 1];
var indexName = rateCurveId[0];
for (var i = 1; i < rateCurveId.Length - 1; i++)
{
indexName = indexName + '-' + rateCurveId[i];
}
ForecastRateIndex = ForecastRateIndexHelper.Parse(indexName, indexTenor);
}
}
