/// <summary>
/// Transactions the complete.
/// </summary>
/// <param name="transaction">The transaction.</param>
internal static void TransactionComplete(TransactionDetail transaction)
{
InputValidator.NotZero("Spot Price", transaction.CurrentSpot, true);
InputValidator.NotNull("Trade Date", transaction.TradeDate, true);
InputValidator.NotNull("Expiry Date", transaction.ExpiryDate, true);
InputValidator.EnumTypeNotSpecified("Pay Style", transaction.PayStyle, true);
if (transaction.ExpiryDate <= transaction.TradeDate)
{
throw new InvalidValueException(
$"Expiry date {transaction.ExpiryDate} must fall after the Trade Darte {transaction.TradeDate}");
}
}
/// <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);
}