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);
}
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 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"));
}