public static double ConvertCcy(this IMarketCondition market, Date date, double amount, CurrencyCode fromCcy, CurrencyCode toCcy)
{
if (fromCcy == toCcy)
{
return(amount);
}
return(amount * market.GetFxRate(date, fromCcy, toCcy));
}
public override IPricingResult Calculate(FxOption fxOption, IMarketCondition market, PricingRequest request)
{
var newMarket = market.UpdateCondition(
new UpdateMktConditionPack <IYieldCurve>(x => x.DividendCurves, market.FgnDiscountCurve.Value),
new UpdateMktConditionPack <double>(x => x.SpotPrices.Value.Values.First(), market.GetFxRate(GetSpotDate(market.ValuationDate, fxOption), fxOption.DomCcy, fxOption.FgnCcy))
);
return(new AnalyticalVanillaEuropeanOptionEngine().Calculate(fxOption, newMarket, request));
}