/// <summary>
/// Initializes a new instance of the <see cref="Stock"/> class.
/// </summary>
/// <param name="stockId">The stock id.</param>
/// <param name="name">The name.</param>
/// <param name="dividends">The dividends.</param>
/// <param name="wingCurvature">The wing curvature.</param>
public Stock(string stockId, string name, DividendList dividends, WingCurvature[] wingCurvature)
{
ValidateInput(stockId, name, dividends, wingCurvature);
Id = stockId;
Name = name;
Dividends = dividends;
WingCurvature = wingCurvature;
}
/// <summary>
///
/// </summary>
/// <param name="underlying"></param>
/// <param name="spot"></param>
/// <param name="putStrike"></param>
/// <param name="style"></param>
/// <param name="tradeDate"></param>
/// <param name="expiryDate"></param>
/// <param name="zeroArray"></param>
/// <param name="divArray"></param>
/// <param name="orcParams"></param>
/// <returns></returns>
public static double CallCollarPricer(String underlying, double spot, double putStrike,
string style, DateTime tradeDate, DateTime expiryDate, List <ZeroCurveRange> zeroArray,
List <DividendRange> divArray, WingParamsRange orcParams)
{
// Skew;
WingCurvature[] wingCurve = Wrapper.UnpackWing(orcParams, tradeDate);
// Dividends;
DividendList dList = Wrapper.UnpackDiv(divArray);
// ZeroCurve;
ZeroAUDCurve zeroCurve = Wrapper.UnpackZero(zeroArray, tradeDate);
var ist = new Stock(underlying, underlying, dList, wingCurve);
//test the price
var col = new Collar();
var tr = new TransactionDetail(underlying)
{
CurrentSpot = spot
};
if (style == "A")
{
tr.PayStyle = PayStyleType.American;
}
else if (style == "E")
{
tr.PayStyle = PayStyleType.European;
}
else
{
tr.PayStyle = PayStyleType.NotSpecified;
}
tr.TradeDate = tradeDate;
tr.ExpiryDate = expiryDate;
ist.Transaction = tr;
//test collar
var testSt = new Strike(OptionType.Put, putStrike);
ist.Transaction.SetStrike(testSt);
double callStrike = col.FindZeroCostCallStrike(ist, zeroCurve);
return(callStrike);
}
