public static MoneynessProvider DivAdjusted(double spot,
DividendQuote[] dividends,
DiscountCurve discountCurve,
ITimeMeasure time)
{
return(new DivAdjustedMoneyness(spot, new AffineDivCurveUtils(dividends, discountCurve, time)));
}
public AssetForwardCurve(double spot, DividendQuote[] dividends, DiscountCurve assetFinancingCurve,
ITimeMeasure time)
{
Contract.Requires(EnumerableUtils.IsSorted(dividends.Select(div => div.Date)));
this.time = time;
Spot = spot;
divCurveUtils = new AffineDivCurveUtils(dividends, assetFinancingCurve, time);
}
public ProductDiscount(DiscountCurve discount1, DiscountCurve discount2, FinancingId financing)
: base(discount1.RefDate, financing)
{
if (discount1.RefDate != discount2.RefDate)
throw new Exception("ProductDiscount : incompatible ref date !");
this.discount1 = discount1;
this.discount2 = discount2;
}
public AssetMarket(AssetId asset, DateTime refDate, ITimeMeasure time,
double spot,
DiscountCurve riskFreeDiscount,
DiscountCurve repoCurve,
DividendQuote[] dividends,
VolatilityMatrix volMatrix)
{
Time = time;
Spot = spot;
RiskFreeDiscount = riskFreeDiscount;
RepoCurve = repoCurve;
Dividends = dividends;
VolMatrix = volMatrix;
RefDate = refDate;
Asset = asset;
if (refDate != repoCurve.RefDate || refDate != time.RefDate)
{
throw new Exception("AssetMarket : incompatible ref date !");
}
}
public AssetForwardCurve Forward(DiscountCurve cashFinancingCurve)
{
var assetFinancingCurve = AssetFinancingCurve(cashFinancingCurve);
return(new AssetForwardCurve(Spot, Dividends, assetFinancingCurve, Time));
}
public DiscountCurve AssetFinancingCurve(DiscountCurve cashFinancingCurve)
{
return(DiscountCurve.Product(RepoCurve, cashFinancingCurve, FinancingId.AssetCollat(Asset)));
}
public static DiscountCurve Product(DiscountCurve discount1, DiscountCurve discount2, FinancingId financing)
{
return new ProductDiscount(discount1, discount2, financing);
}
