Exemplo n.º 1
0
        /////<summary>
        ///// An id for a ratecurve.
        /////</summary>
        /////<param name="pricingStructureType">The pricing structure type.</param>
        /////<param name="curveName">The curve name.</param>
        /////<param name="buildDateTime">The build date time.</param>
        /////<param name="algorithm">The algorithm.</param>
        //public BondCurveIdentifier(PricingStructureTypeEnum pricingStructureType, string curveName, DateTime buildDateTime, string algorithm)
        //    : base(pricingStructureType, curveName, buildDateTime, algorithm)
        //{
        //    SetProperties(PricingStructureType);
        //}

        /////<summary>
        ///// An id for a ratecurve.
        /////</summary>
        /////<param name="pricingStructureType"></param>
        /////<param name="curveName"></param>
        /////<param name="buildDateTime"></param>
        //public BondCurveIdentifier(PricingStructureTypeEnum pricingStructureType, string curveName, DateTime buildDateTime)
        //    : this(pricingStructureType, curveName, buildDateTime, "Default")
        //{}

        ///// <summary>
        ///// An id for a ratecurve.
        ///// </summary>
        ///// <param name="curveId"></param>
        ///// <param name="baseDate"></param>
        //public BondCurveIdentifier(string curveId, DateTime baseDate)
        //    : base(curveId)
        //{
        //    BaseDate = baseDate;
        //    SetProperties(PricingStructureType);
        //}

        private void SetProperties()
        {
            switch (PricingStructureType)
            {
            case PricingStructureTypeEnum.BondDiscountCurve:
            case PricingStructureTypeEnum.BondCurve:
                string creditInstrumentId = PropertyHelper.ExtractCreditInstrumentId(Properties);
                string creditSeniority    = PropertyHelper.ExtractCreditSeniority(Properties);
                CreditInstrumentId = creditInstrumentId;
                CreditSeniority    = creditSeniority;
                break;
            }
        }
Exemplo n.º 2
0
        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;
            }
        }