public double ValueInstrumentFromFactory(LinearRateModel model, string instrument)
{
// Values an instrument contained in the instrument factory using a
// linear rate model. Note that value here means calculating the value
// par rate (which is how trades are quoted).
QuoteType type = InstrumentTypeMap[instrument];
switch (type)
{
case QuoteType.ParSwapRate:
return(model.IrParSwapRate(IrSwaps[instrument]));
case QuoteType.ParBasisSpread:
return(model.ParBasisSpread(BasisSwaps[instrument]));
case QuoteType.OisRate:
return(model.OisRateSimple(OisSwaps[instrument]));
case QuoteType.FraRate:
return(model.ParFraRate(Fras[instrument]));
case QuoteType.FuturesRate:
return(model.ParFutureRate(Futures[instrument]));
case QuoteType.Deposit:
return(model.ParDepositRate(Deposits[instrument]));
default:
throw new InvalidOperationException("Instrument QuoteType not supported...");
}
}
public void UpdateFixedRateToPar(LinearRateModel model)
{
FloatLegSpread.Spread = model.ParBasisSpread(this);
}