public BackPricingOption(string assetName, List <DateTime> avgDates, DateTime decisionDate, DateTime settlementFixingDate, DateTime payDate, OptionType callPut, string discountCurve, Currency ccy, double notional, Currency simulationCcy)
: base(assetName, discountCurve, ccy, payDate, notional, simulationCcy)
{
_avgDates = avgDates;
_decisionDate = decisionDate;
_callPut = callPut;
_settleFixingDate = settlementFixingDate;
_notional = new Vector <double>(notional);
if (_ccy.Ccy != "USD")
{
_fxName = $"USD/{_ccy.Ccy}";
}
AverageRegressor = avgDates.Last() > decisionDate ? new LinearAveragePriceRegressor(decisionDate, avgDates.Where(x => x > decisionDate).ToArray(), RegressionKey) : null;
SettlementRegressor = new LinearAveragePriceRegressor(decisionDate, new[] { _settleFixingDate }, RegressionKey);
}
public MultiPeriodBackPricingOption(string assetName, List <DateTime[]> avgDates, DateTime decisionDate, DateTime settlementFixingDate, DateTime payDate, OptionType callPut, string discountCurve, Currency ccy, double notional)
{
_avgDates = avgDates;
_decisionDate = decisionDate;
_callPut = callPut;
_discountCurve = discountCurve;
_ccy = ccy;
_settleFixingDate = settlementFixingDate;
_payDate = payDate;
_assetName = assetName;
_notional = new Vector <double>(notional);
if (_ccy.Ccy != "USD")
{
_fxName = $"USD/{_ccy.Ccy}";
}
AverageRegressors = avgDates.Select(avg => avg.Last() > decisionDate ? new LinearAveragePriceRegressor(decisionDate, avg.Where(x => x > decisionDate).ToArray(), RegressionKey) : null).ToArray();
SettlementRegressor = new LinearAveragePriceRegressor(decisionDate, new[] { _settleFixingDate }, RegressionKey);
}
