/// <summary>
/// Initializes a new instance of the <see cref="PriceableCommoditySpot"/> class.
/// </summary>
/// <param name="notionalAmount"></param>
/// <param name="baseDate"></param>
/// <param name="nodeStruct">The nodeStruct.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
/// <param name="commoditySpotRate">The commodity SpotRate.</param>
public PriceableCommoditySpot(DateTime baseDate, decimal notionalAmount, CommoditySpotNodeStruct nodeStruct,
IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar, BasicQuotation commoditySpotRate)
{
PaymentDiscountFactorCcy12 = 1.0m;
PaymentDiscountFactorCcy1 = 1.0m;
Ccy2CurveName = string.Empty;
Ccy1CurveName = string.Empty;
ModelIdentifier = "SimpleCommodityAsset";
if (nodeStruct.Commodity != null)
{
Id = nodeStruct.Commodity.id;
}
NotionalAmount = notionalAmount;
CommodityAsset = nodeStruct.Commodity;
BaseDate = baseDate;
SpotDateOffset = nodeStruct.SpotDate;
RiskMaturityDate = GetSpotDate(baseDate, fixingCalendar, SpotDateOffset);
SetRate(commoditySpotRate);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableCommoditySpot"/> class.
/// </summary>
/// <param name="notionalAmount"></param>
/// <param name="baseDate"></param>
/// <param name="term">The tenor.</param>
/// <param name="nodeStruct">The nodeStruct.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="paymentCalendar">The paymentCalendar.</param>
/// <param name="commodityForward">The forward points.</param>
public PriceableCommodityForward(DateTime baseDate, decimal notionalAmount, string term, CommoditySpotNodeStruct nodeStruct,
IBusinessCalendar fixingCalendar, IBusinessCalendar paymentCalendar, BasicQuotation commodityForward)
{
PaymentDiscountFactorCcy12 = 1.0m;
PaymentDiscountFactorCcy1 = 1.0m;
Ccy2CurveName = string.Empty;
Ccy1CurveName = string.Empty;
ModelIdentifier = "SimpleCommodityAsset";
if (nodeStruct.Commodity != null)
{
Id = nodeStruct.Commodity.id;
}
Tenor = PeriodHelper.Parse(term);
NotionalAmount = notionalAmount;
CommodityAsset = nodeStruct.Commodity;
BaseDate = baseDate;
SpotDateOffset = nodeStruct.SpotDate;
//FixingCalendar = BusinessCenterHelper.ToBusinessCalendar(SpotDateOffset.businessCenters);
var spotDate = GetSpotDate(baseDate, fixingCalendar, SpotDateOffset);
RiskMaturityDate = GetForwardDate(spotDate, paymentCalendar, Tenor, SpotDateOffset.businessDayConvention);
SetRate(commodityForward);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableCommoditySpread"/> class.
/// </summary>
/// <param name="identifier">The asset identifier</param>
/// <param name="baseDate">The base date.</param>
/// <param name="tenor">The tenor.</param>
/// <param name="nodeStruct">The nodeStruct.</param>
/// <param name="spread">The spread.</param>
/// <param name="fixingAndPaymentCalendar">A fixing and payment Calendar.</param>
public PriceableCommoditySpread(String identifier, DateTime baseDate, string tenor, CommoditySpotNodeStruct nodeStruct,
IBusinessCalendar fixingAndPaymentCalendar, BasicQuotation spread)
: base(baseDate, spread)
{
Id = identifier;
SpotDate = GetSpotDate(baseDate, fixingAndPaymentCalendar, nodeStruct.SpotDate);
CommodityAsset = nodeStruct.Commodity;
Tenor = PeriodHelper.Parse(tenor);
RiskMaturityDate = GetEffectiveDate(SpotDate, fixingAndPaymentCalendar, Tenor, nodeStruct.SpotDate.businessDayConvention);
TimeToExpiry = GetTimeToMaturity(baseDate, RiskMaturityDate);
SetRate(spread);
}
