public ResetStrikeOption(Date startDate,
Date maturityDate,
OptionExercise exercise,
OptionType optionType,
ResetStrikeType resetStrikeType,
double strike,
InstrumentType underlyingInstrumentType,
ICalendar calendar,
IDayCount dayCount,
CurrencyCode payoffCcy,
CurrencyCode settlementCcy,
Date[] exerciseDates,
Date[] observationDates,
Date strikefixingDate,
double notional = 1,
DayGap settlementGap = null,
Date optionPremiumPaymentDate = null,
double optionPremium = 0)
: base(startDate: startDate, maturityDate: maturityDate, exercise: exercise, optionType: optionType, strike: new double[] { strike },
underlyingInstrumentType: underlyingInstrumentType, calendar: calendar, dayCount: dayCount,
settlementCcy: settlementCcy, payoffCcy: payoffCcy, exerciseDates: exerciseDates, observationDates: observationDates,
notional: notional, settlementGap: settlementGap, optionPremiumPaymentDate: optionPremiumPaymentDate, optionPremium: optionPremium)
{
ResetStrikeType = resetStrikeType;
StrikeFixingDate = strikefixingDate;
}
public ResetStrikeOptionCalculator(
OptionType optionType, ResetStrikeType resetstrikeType, InstrumentType underlyingProductType,
double strike, double spotPrice,
double exerciseInYears, double strikefixingInYears,
double sigma, double riskFreeRate, double dividendRate, double notional)
{
_optionType = optionType;
_resetstrikeType = resetstrikeType;
_X = strike;
_S = spotPrice;
_T = exerciseInYears;
_t = strikefixingInYears;
_sigma = sigma;
_r = riskFreeRate;
_dividendRate = dividendRate;
if (FuturesProducts.Contains(underlyingProductType))
{
_b = 0.0;
}
else
{
_b = riskFreeRate - dividendRate;
}
_notional = notional;
}
