/// <summary>
/// This assumes that the rest dates are consistent with the curve.
/// </summary>
/// <param name="valuationDate"></param>
/// <param name="paymentDate">The payment date. The same rest period is assumed as with the spot date.</param>
/// <param name="indexCurve">The index curve should be already in the correct form for the fx.</param>
/// <param name="currency2">Normally the foreign rate curve.</param>
/// <param name="currency2PerCurrency1">The currency2PerCurrency1 flag. </param>
/// <param name="currency1">Normally the domestic rate curve. </param>
/// <param name="indexVolatilitySurface">The index volatility surface. </param>
/// <param name="expiryTime">The expiry time. </param>
/// <param name="timeToIndex">The time to reset or expiry. </param>
/// <param name="strike">The strike. </param>
/// <param name="fxOptionType">The option type. </param>
public FxOptionLegAnalytic(DateTime valuationDate, DateTime paymentDate, IFxCurve indexCurve, IRateCurve currency1, IRateCurve currency2,
bool currency2PerCurrency1, decimal strike, decimal expiryTime, decimal timeToIndex, IVolatilitySurface indexVolatilitySurface, FxOptionType fxOptionType)
{
//ToReportingCurrencyRate = EvaluateReportingCurrencyFxRate(valuationDate, reportingCurrencyFxCurve);
var todayRate = indexCurve.GetForward(valuationDate, valuationDate); //TODO The spot rate may not be the same due to the carry effect, but the evolution works.
var df1 = currency1.GetDiscountFactor(valuationDate, paymentDate);
var df2 = currency2.GetDiscountFactor(valuationDate, paymentDate);
var forward = df1 / df2;
if (!currency2PerCurrency1)
{
forward = df2 / df1;
}
ForwardFxRate = (decimal)(todayRate * forward);
OptionType = fxOptionType;
Strikes = new List <decimal> {
strike
};
ExpiryTimes = new List <decimal> {
expiryTime
};
TimeToIndices = new List <decimal> {
timeToIndex
};
Volatilities = new List <decimal> {
(decimal)indexVolatilitySurface.GetValue((double)timeToIndex, (double)strike)
};
}
/// <summary>
/// Intantiates a new model.
/// </summary>
/// <param name="valuationDate">The valuation date.</param>
/// <param name="paymentDate">The payment date of the cash flow.</param>
/// <param name="reportingCurrencyFxCurve">THe fx curve. It must already be normalised.</param>
/// <param name="indexCurve">The rate curve to use for calculating the forward index.</param>
/// <param name="discountCurve">The rate curve to use for discounting.</param>
/// <param name="indexVolSurface">The index volatility surface.</param>
/// <param name="expiryTime">The expiry time. </param>
/// <param name="timeToIndex">The time to reset or expiry. </param>
/// <param name="strike">The strike. </param>
/// <param name="fxOptionType">The option type. </param>
public FxOptionAnalytic(DateTime valuationDate, DateTime paymentDate, decimal strike, decimal expiryTime, decimal timeToIndex,
IFxCurve reportingCurrencyFxCurve, ICurve indexCurve, IRateCurve discountCurve, IVolatilitySurface indexVolSurface, FxOptionType fxOptionType)
: base(valuationDate, paymentDate, reportingCurrencyFxCurve, indexCurve, discountCurve)
{
OptionType = fxOptionType;
Strikes = new List <decimal> {
strike
};
ExpiryTimes = new List <decimal> {
expiryTime
};
TimeToIndices = new List <decimal> {
timeToIndex
};
Volatilities = new List <decimal> {
(decimal)indexVolSurface.GetValue((double)timeToIndex, (double)strike)
};
}
/// <summary>
/// This assumes that the rest dates are consistent with the curve.
/// </summary>
/// <param name="valuationDate"></param>
/// <param name="paymentDate"></param>
/// <param name="indexCurve"></param>
/// <param name="expiryTime">The expiry time. </param>
/// <param name="timeToIndex">The time to reset or expiry. </param>
/// <param name="strike">The strike. </param>
/// <param name="indexVolatilitySurface">The index volatility surface. </param>
/// <param name="fxOptionType">The option type. </param>
public FxOptionLegAnalytic(DateTime valuationDate, DateTime paymentDate, IFxCurve indexCurve, decimal strike, decimal expiryTime, decimal timeToIndex
, IVolatilitySurface indexVolatilitySurface, FxOptionType fxOptionType)
{
//ToReportingCurrencyRate = EvaluateReportingCurrencyFxRate(valuationDate, reportingCurrencyFxCurve);
ForwardFxRate = (decimal)indexCurve.GetForward(valuationDate, paymentDate);
OptionType = fxOptionType;
Strikes = new List <decimal> {
strike
};
ExpiryTimes = new List <decimal> {
expiryTime
};
TimeToIndices = new List <decimal> {
timeToIndex
};
Volatilities = new List <decimal> {
(decimal)indexVolatilitySurface.GetValue((double)timeToIndex, (double)strike)
};
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableVanillaFxOption"/> class.
/// </summary>
/// <param name="cashlfowId">The stream id.</param>
/// <param name="startIndex">The start Index. If null then the cash flow is not a differenctial.</param>
/// <param name="observedIndex">The observed Index. If null then the cash flow is not a differenctial. </param>
/// <param name="isCurrency1Base">The isCurrency1Base flag. </param>
/// <param name="currency2PayerIsBase">The currency2PayerIsBase lag.</param>
/// <param name="isSettlementInCurrency1">The isSettlementInCurrency1 flag</param>
/// <param name="hybridValuation">Is hybrid valuation used, or the base fa curve. </param>
/// <param name="currency1NotionalAmount">The currency1 notional amount.</param>
/// <param name="fixingDateRelativeOffset">The fixingDateRelativeOffset.</param>
/// <param name="strike">The strike. </param>
/// <param name="fxOptionType">THe option type: currently only call or pt </param>
/// <param name="paymentDate">The payment date.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
protected PriceableVanillaFxOption
(
string cashlfowId
, FxRate startIndex
, FxRate observedIndex
, bool isCurrency1Base
, bool currency2PayerIsBase
, bool isSettlementInCurrency1
, bool hybridValuation
, Money currency1NotionalAmount
, decimal strike
, FxOptionType fxOptionType
, AdjustableOrAdjustedDate paymentDate
, RelativeDateOffset fixingDateRelativeOffset
, IBusinessCalendar fixingCalendar
, IBusinessCalendar paymentCalendar)
: base
(
cashlfowId
, startIndex
, observedIndex
, isCurrency1Base
, currency2PayerIsBase
, isSettlementInCurrency1
, hybridValuation
, currency1NotionalAmount
, paymentDate
, fixingDateRelativeOffset
, fixingCalendar
, paymentCalendar)
{
Strike = strike;
FxOptionType = FxOptionType.Call;
if (fxOptionType != FxOptionType.Call)//TODO Only call or put.
{
FxOptionType = FxOptionType.Put;
}
VolatilitySurfaceName = CurveNameHelpers.GetFxVolatilityMatrixName(startIndex, "FxSpot");
ModelIdentifier = "VanillaFxOptionModel";
}
