/// <summary> /// Function: Create a Strategy and run startup procedures /// </summary> /// <param name="name">name</param> /// <param name="ccy">base currency</param> /// <param name="initialDate">starting date</param> /// <param name="initialValue">starting NAV</param> /// <param name="simulated">false if persistent</param> new public static ConstantStrategy CreateStrategy(string name, Currency ccy, BusinessDay initialDate, double initialValue, bool simulated) { Instrument instrument = Instrument.CreateInstrument(name, InstrumentType.Strategy, name + "ConstantStrategy", ccy, FundingType.TotalReturn, simulated); ConstantStrategy strategy = ConstantStrategy.CreateStrategy(instrument, initialDate, 1); strategy.SetConstantCarryCost(0.0 / (double)10000.0, 0.0 / (double)10000.0, DayCountConvention.Act360, 360); strategy.TimeSeriesRoll = TimeSeriesRollType.Last; strategy.Initialize(); return(strategy); }
/// <summary> /// Function: Create a Strategy and run startup procedures /// </summary> /// <param name="instrument">base instrument</param> /// <param name="initialDate">starting date</param> /// <param name="initialValue">starting NAV</param> public static ConstantStrategy CreateStrategy(Instrument instrument, BusinessDay initialDate, double initialValue) { if (instrument.InstrumentType == InstrumentType.Strategy) { ConstantStrategy Strategy = new ConstantStrategy(instrument); Strategy.Startup(initialDate, initialValue, null); return(Strategy); } else { throw new Exception("Instrument not an Strategy"); } }