/// <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>
/// Evaluating the fx rate.
/// </summary>
/// <returns>The fx rate</returns>
protected decimal EvaluateReportingCurrencyFxRate(DateTime valuationDate, IFxCurve fxCurve)
{
var result = 1.0m;
if (fxCurve != null)
{
result = (decimal)fxCurve.GetForward(valuationDate, valuationDate);
}
return(result);
}
/// <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">Normaly the foreign rate curve.</param>
/// <param name="currency2PerCurrency1">The currency2PerCurrency1 flag. </param>
/// <param name="currency1">Normally the domestic rate curve. </param>
public FxLegAnalytic(DateTime valuationDate, DateTime paymentDate, IFxCurve indexCurve, IRateCurve currency1, IRateCurve currency2,
bool currency2PerCurrency1)
{
//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);
}
/// <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>
/// This assumes that the rest dates are consistent with the curve.
/// </summary>
/// <param name="valuationDate"></param>
/// <param name="paymentDate"></param>
/// <param name="indexCurve"></param>
public FxLegAnalytic(DateTime valuationDate, DateTime paymentDate, IFxCurve indexCurve)
{
//ToReportingCurrencyRate = EvaluateReportingCurrencyFxRate(valuationDate, reportingCurrencyFxCurve);
ForwardFxRate = (decimal)indexCurve.GetForward(valuationDate, paymentDate);
}
