public option(ConvertibleBond bond,
Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle <Quote> creditSpread,
List <CashFlow> cashflows,
DayCounter dayCounter,
Schedule schedule,
Date issueDate,
int settlementDays,
double redemption)
: base(new PlainVanillaPayoff(Option.Type.Call, (bond.notionals()[0]) / 100.0 * redemption / conversionRatio),
exercise)
{
bond_ = bond;
conversionRatio_ = conversionRatio;
callability_ = callability;
dividends_ = dividends;
creditSpread_ = creditSpread;
cashflows_ = cashflows;
dayCounter_ = dayCounter;
issueDate_ = issueDate;
schedule_ = schedule;
settlementDays_ = settlementDays;
redemption_ = redemption;
}
//public class engine;
public option( ConvertibleBond bond,
Exercise exercise,
double conversionRatio,
DividendSchedule dividends,
CallabilitySchedule callability,
Handle<Quote> creditSpread,
List<CashFlow> cashflows,
DayCounter dayCounter,
Schedule schedule,
Date issueDate,
int settlementDays,
double redemption)
:base(new PlainVanillaPayoff(Option.Type.Call, (bond.notionals()[0])/100.0 *redemption/conversionRatio), exercise)
{
bond_ = bond;
conversionRatio_ = conversionRatio;
callability_ = callability;
dividends_ = dividends;
creditSpread_ = creditSpread;
cashflows_ = cashflows;
dayCounter_ = dayCounter;
issueDate_ = issueDate;
schedule_ = schedule;
settlementDays_ = settlementDays;
redemption_ = redemption;
}
