private static UnderlyingAsset CreateSimpleIRSwap(string marketInstrumentId)
{
var simpleIRSwap = new SimpleIRSwap();
string[] slicedInstrumentId = marketInstrumentId.Split('-');
string instrumentCurrency = slicedInstrumentId[0];
string instrumentTerm = slicedInstrumentId[2];
simpleIRSwap.currency = new IdentifiedCurrency {
Value = instrumentCurrency
};
simpleIRSwap.term = PeriodHelper.Parse(instrumentTerm);
simpleIRSwap.instrumentId = new[] { new InstrumentId() };
simpleIRSwap.instrumentId[0].Value = marketInstrumentId;
return(simpleIRSwap);
}
public static RateIndex Parse(string instrumentId,
string floatingRateIndex,
string currency,
string dayCountFraction,
string paymentFrequency,
string term)
{
var rateIndex = new RateIndex
{
currency = new IdentifiedCurrency()
{
Value = currency
},
dayCountFraction = DayCountFractionHelper.Parse(dayCountFraction),
floatingRateIndex = FloatingRateIndexHelper.Parse(floatingRateIndex),
id = instrumentId,
instrumentId = InstrumentIdArrayHelper.Parse(instrumentId),
paymentFrequency = PeriodHelper.Parse(paymentFrequency),
term = PeriodHelper.Parse(term)
};
return(rateIndex);
}
public static Period FromYears(int years)
{
return(PeriodHelper.Parse(years + "Y"));
}
public static Period FromMonths(int months)
{
return(PeriodHelper.Parse(months + "M"));
}
public static Period FromWeeks(int weeks)
{
return(PeriodHelper.Parse(weeks + "W"));
}
public static Period FromDays(int days)
{
return(PeriodHelper.Parse(days + "D"));
}