public ForwardBuilder(FutureBuilder futureBuilder, IRepoAssumptions repoRetreiever) { this.futureBuilder = futureBuilder; this.repoRetreiever = repoRetreiever; // default to 5 years YearSwitchForFrontDate = 5; ECountry = BondAnalytics.Country.US; Frequency = 6; }
public RepoAssumptions(FutureBuilder futureBuilder, IIRCurves curves) { this.futureBuilder = futureBuilder; this.curves = curves; calendar = "USNY"; // set up default repo LoadDefaultRepo(); // setup periodic update of repo cache Task.Factory.StartNew(() => RefreshRepoCache(cancellationToken.Token), TaskCreationOptions.LongRunning); }
public BondSpreadCalculator(BondSpreadServiceModel bondSpreadServiceModel, CurveBuilder curveBuilder, FutureBuilder futureBuilder, FutureEnrichment futureEnricher, ForwardBuilder forwardBuilder, InterestCurves curves) { this.bondSpreadServiceModel = bondSpreadServiceModel; this.curveBuilder = curveBuilder; this.futureBuilder = futureBuilder; this.futureEnricher = futureEnricher; this.forwardBuilder = forwardBuilder; this.curves = curves; carbonFieldMap = CarbonModel.GetEnumToFieldMapping(new[] { "bid", "ask", "primAct1", "secAct1" }); dataObserver = new DataObserver(bondPriceCache, carbonFieldMap, FutureCache); dataObserver.Subscribe(dataObserveSubject); }
public FutureEnrichment(FutureBuilder _futureBuilder, BondSpreadServiceModel bondServiceModel) { this._futureBuilder = _futureBuilder; this.bondServiceModel = bondServiceModel; }