private void SetProperties(PricingStructureTypeEnum pricingStructureType)
{
if (pricingStructureType == PricingStructureTypeEnum.BondDiscountCurve)
{
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 = ProductTypeHelper.InstrumentIdHelper.Parse(indexName);
CreditSeniority = ProductTypeHelper.CreditSeniorityHelper.Parse(subordination);
}
if (pricingStructureType == PricingStructureTypeEnum.BondCurve)
{
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 = ProductTypeHelper.InstrumentIdHelper.Parse(indexName);
CreditSeniority = ProductTypeHelper.CreditSeniorityHelper.Parse(subordination);
}
}
/// <summary>
/// The CommodityCurveIdentifier.
/// </summary>
/// <param name="pricingStructureType"></param>
/// <param name="curveName"></param>
/// <param name="buildDateTime"></param>
public EquityCurveIdentifier(PricingStructureTypeEnum pricingStructureType, string curveName, DateTime buildDateTime)
: base(pricingStructureType, curveName, buildDateTime)
{
var components = CurveName.Split('-');
EquityAsset = components[1];
Currency = CurrencyHelper.Parse(components[0]);
}
/// <summary>
/// The CommodityCurveIdentifier.
/// </summary>
/// <param name="curveId"></param>
public EquityCurveIdentifier(string curveId)
: base(curveId)
{
var comcurveId = CurveName.Split('-');
if (comcurveId.Length == 2)
{
EquityAsset = comcurveId[1];
Currency = CurrencyHelper.Parse(comcurveId[0]);
}
}
/// <summary>
/// The CommodityCurveIdentifier.
/// </summary>
/// <param name="curveId"></param>
public CommodityCurveIdentifier(string curveId)
: base(curveId)
{
var comcurveId = CurveName.Split('-');
if (comcurveId.Length != 2)
{
}
else
{
CommodityAsset = CurveName.Split('-')[1];
}
}
/// <summary>
/// Initializes a new instance of the <see cref="VolatilitySurfaceIdentifier"/> class.
/// </summary>
/// <param name="pricingStructureType"></param>
/// <param name="curveName"></param>
/// <param name="baseDate"></param>
/// <param name="algorithm"></param>
public VolatilitySurfaceIdentifier(PricingStructureTypeEnum pricingStructureType, string curveName, DateTime baseDate, string algorithm)
: base(pricingStructureType, curveName, baseDate, algorithm)
{
var volCurveId = CurveName.Split('-');
Currency = CurrencyHelper.Parse(volCurveId[0]);
Instrument = volCurveId[volCurveId.Length - 2];
UnderlyingAssetReference = new AssetReference {
href = Instrument
};
StrikeQuoteUnits = new PriceQuoteUnits {
Value = PriceQuoteProp.Absolute
}; //DecimalRate
}
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);
}
}
/// <summary>
/// The CommodityCurveIdentifier.
/// </summary>
/// <param name="pricingStructureType"></param>
/// <param name="curveName"></param>
/// <param name="buildDateTime"></param>
public CommodityCurveIdentifier(PricingStructureTypeEnum pricingStructureType, string curveName, DateTime buildDateTime)
: base(pricingStructureType, curveName, buildDateTime)
{
CommodityAsset = CurveName.Split('-')[1];
}