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;
}
}