private void InterpretFuturesString(string instrumentString)
{
string identifier, type, currency, endTenor, settlementLag, floatPayFreq, floatFixingTenor, fwdTenor;
DayRule dayRule;
DayCount dayCount;
CurveTenor curveTenor;
string[] infoArray = instrumentString.Split(',').ToArray();
identifier = infoArray[0];
type = infoArray[1];
currency = infoArray[2];
endTenor = infoArray[3];
settlementLag = infoArray[4];
dayRule = StrToEnum.DayRuleConvert(infoArray[5]);
floatPayFreq = infoArray[8];
floatFixingTenor = infoArray[9];
fwdTenor = infoArray[15];
dayCount = StrToEnum.DayCountConvert(infoArray[11]);
DateTime startDate, endDate;
try
{
startDate = Convert.ToDateTime(fwdTenor);
endDate = DateHandling.AddTenorAdjust(startDate, floatPayFreq, dayRule);
curveTenor = StrToEnum.CurveTenorFromSimpleTenor(floatPayFreq);
Fra fra = new MasterThesis.Fra(AsOf, startDate, endDate, curveTenor, dayCount, dayRule, _defaultFixedRate, _defaultNotional, _defaultTradeSign);
Futures[identifier] = new MasterThesis.Futures(fra, null);
CurvePointMap[identifier] = fra.GetCurvePoint();
InstrumentTypeMap[identifier] = QuoteType.FuturesRate;
InstrumentFormatTypeMap[identifier] = InstrumentFormatType.Futures;
IdentifierStringMap[identifier] = instrumentString;
}
catch
{
// Ignore instrument
}
}
private void InterpretFraString(string instrumentString)
{
string identifier, type, currency, endTenor, settlementLag, floatPayFreq, floatFixingTenor, fwdTenor;
DayRule dayRule;
DayCount dayCount;
CurveTenor curveTenor;
string[] infoArray = instrumentString.Split(',').ToArray();
identifier = infoArray[0];
type = infoArray[1];
currency = infoArray[2];
endTenor = infoArray[3];
settlementLag = infoArray[4];
dayRule = StrToEnum.DayRuleConvert(infoArray[5]);
floatPayFreq = infoArray[8];
floatFixingTenor = infoArray[9];
fwdTenor = infoArray[15];
dayCount = StrToEnum.DayCountConvert(infoArray[11]);
if (type == "DEPOSIT")
{
//handle deposits - only used for LIBOR discounting. Not implemented
}
else
{
// handle FRA
// Has to consider both FwdTenor and SettlementLag here..
curveTenor = StrToEnum.CurveTenorFromSimpleTenor(floatPayFreq);
Fra fra = new MasterThesis.Fra(AsOf, fwdTenor, endTenor, curveTenor, dayCount, dayRule, _defaultFixedRate, _defaultNotional, _defaultTradeSign);
Fras[identifier] = fra;
CurvePointMap[identifier] = fra.GetCurvePoint();
InstrumentTypeMap[identifier] = QuoteType.FraRate;
InstrumentFormatTypeMap[identifier] = InstrumentFormatType.Fras;
IdentifierStringMap[identifier] = instrumentString;
}
}
public static Tenor GetLetterFromTenor(string tenor)
{
return(StrToEnum.TenorConvert(tenor.Right(1)));
}
public static Tenor GetTenorFromTenor(string tenor)
{
return(StrToEnum.ConvertTenorLetter(tenor.Right(1)));
}
private void InterpretSwapString(string instrumentString)
{
string identifier, type, currency, startTenor, endTenor, settlementLag, fixedFreq, floatFreq, referenceIndex;
DayRule dayRule;
DayCount floatDayCount, fixedDayCount;
CurveTenor floatTenor, fixedTenor;
string[] infoArray = instrumentString.Split(',').ToArray();
identifier = infoArray[0];
type = infoArray[1];
currency = infoArray[2];
startTenor = infoArray[3];
endTenor = infoArray[4];
settlementLag = infoArray[5];
dayRule = StrToEnum.DayRuleConvert(infoArray[6]);
fixedFreq = infoArray[9];
floatFreq = infoArray[10];
referenceIndex = infoArray[12];
floatDayCount = StrToEnum.DayCountConvert(infoArray[14]);
fixedDayCount = StrToEnum.DayCountConvert(infoArray[13]);
floatTenor = StrToEnum.CurveTenorFromSimpleTenor(floatFreq);
fixedTenor = StrToEnum.CurveTenorFromSimpleTenor(fixedFreq);
DateTime startDate, endDate;
// Make sure to get fwd starting stuff right here...
if (DateHandling.StrIsConvertableToDate(startTenor))
{
startDate = Convert.ToDateTime(startTenor);
}
else
{
startDate = DateHandling.AddTenorAdjust(AsOf, settlementLag, dayRule);
}
if (DateHandling.StrIsConvertableToDate(endTenor))
{
endDate = Convert.ToDateTime(endTenor);
}
else
{
endDate = DateHandling.AddTenorAdjust(startDate, endTenor, dayRule);
}
try
{
if (referenceIndex == "EONIA")
{
// Handle OIS case
// Error with endTenor here and string parsing
// TEMPORARY
//settlementLag = "0D";
//dayRule = DayRule.F;
// This is a dirty hack to value deposits
if (identifier == "EUREONON" || identifier == "EUREONTN")
{
Deposit deposit = new Deposit(AsOf, startTenor, endTenor, settlementLag, _defaultFixedRate, floatDayCount, dayRule, _defaultNotional, _defaultTradeSign);
Deposits[identifier] = deposit;
CurvePointMap[identifier] = deposit.GetCurvePoint();
InstrumentTypeMap[identifier] = QuoteType.Deposit;
InstrumentFormatTypeMap[identifier] = InstrumentFormatType.Swaps;
IdentifierStringMap[identifier] = instrumentString;
}
else
{
OisSwap oisSwap = new OisSwap(AsOf, startTenor, endTenor, settlementLag, fixedDayCount, floatDayCount, dayRule, _defaultNotional, _defaultFixedRate, _defaultTradeSign);
OisSwaps[identifier] = oisSwap;
CurvePointMap[identifier] = oisSwap.GetCurvePoint();
InstrumentTypeMap[identifier] = QuoteType.OisRate;
InstrumentFormatTypeMap[identifier] = InstrumentFormatType.Swaps;
IdentifierStringMap[identifier] = instrumentString;
}
}
else
{
// Handle non-OIS case
IrSwap swap = new IrSwap(AsOf, startDate, endDate, _defaultFixedRate, fixedTenor, floatTenor, fixedDayCount, floatDayCount, dayRule, dayRule, _defaultNotional, _defaultTradeSign, 0.0);
IrSwaps[identifier] = swap;
CurvePointMap[identifier] = swap.GetCurvePoint();
InstrumentTypeMap[identifier] = QuoteType.ParSwapRate;
InstrumentFormatTypeMap[identifier] = InstrumentFormatType.Swaps;
IdentifierStringMap[identifier] = instrumentString;
}
}
catch
{
// Ignore instrument.
}
}