protected RepoGenerator(double onRate, string market, DateTime settle) { this.onRate = onRate; this.market = market; this.settle = settle; country = (BondAnalytics.Country)Enum.Parse(typeof(BondAnalytics.Country), market); hols = CarbonModel.GetCalendar(country).ToList(); }
//------------------------------------------------------------------------------------------------ public SpreadConventions(SpreadTimeSeriesConfigs configs) //------------------------------------------------------------------------------------------------ { Country = configs.country; DayCount = configs.dct; SwapFixedFrequency = configs.swpfixfreq; SwapFloatFrequency = configs.swpfloatfreq; BondCouponFrequency = configs.bndCouponFreq; bForecastCurve = configs.bForecastCurve; BlendIndex = configs.BlendIndex; }
//------------------------------------------------------------------------------------------------ public SpreadConventions(BondAnalytics.Country country, BondAnalytics.DayCountType dct, long swapfixed, long swapfloat, long bondcpnfreq, bool bforecastcurve, int blendIndex = 0) //------------------------------------------------------------------------------------------------ { Country = country; DayCount = dct; SwapFixedFrequency = swapfixed; SwapFloatFrequency = swapfloat; BondCouponFrequency = bondcpnfreq; bForecastCurve = bforecastcurve; BlendIndex = blendIndex; // 5 for OIS, 0 for libor }