/// <summary>
/// Initializes a new instance of the <see cref="PriceableCEROption"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">The nodeStruct.</param>
/// <param name="rollCalendar">THe rollCalendar.</param>
/// <param name="fixedRate"></param>
public PriceableCEROption(DateTime baseDate, CommodityFutureNodeStruct nodeStruct,
IBusinessCalendar rollCalendar, BasicQuotation fixedRate)
: base(baseDate, nodeStruct, rollCalendar, fixedRate)
{
Id = nodeStruct.Future.id;
Future = nodeStruct.Future;
ModelIdentifier = "CommoditiesFuturesOptionAsset";
var idParts = Id.Split('-');
var exchangeCommodityName = idParts[2];
var immCode = idParts[3];
int intResult;
//Catch the relative rolls.
if (int.TryParse(immCode, out intResult))
{
var tempTradingDate = LastTradingDayHelper.ParseCode(immCode);
immCode = tempTradingDate.GetNthMainCycleCode(baseDate, intResult);
}
var lastTradingDay = LastTradingDayHelper.Parse(exchangeCommodityName, immCode);
LastTradeDate = lastTradingDay.GetLastTradingDay(baseDate);
RiskMaturityDate = LastTradeDate;
OptionsExpiryDate = LastTradeDate;
TimeToExpiry = (decimal)DayCounter.YearFraction(BaseDate, RiskMaturityDate);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableCER"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">The nodeStruct.</param>
/// <param name="rollCalendar">THe rollCalendar.</param>
/// <param name="fixedRate"></param>
public PriceableCER(DateTime baseDate, CommodityFutureNodeStruct nodeStruct,
IBusinessCalendar rollCalendar, BasicQuotation fixedRate)
: base(baseDate, nodeStruct.Future, nodeStruct.BusinessDayAdjustments, fixedRate, null)
{
Id = nodeStruct.Future.id;
Future = nodeStruct.Future;
PriceQuoteUnits = nodeStruct.PriceQuoteUnits;
ModelIdentifier = "CommoditiesFuturesAsset";
SettlementBasis = "The business day prior to the 15th calendar day of the contract month";
ContractMonthPeriod = nodeStruct.ContractMonthPeriod;
ContractSeries = "March (H), May (K), July (N), September (U) & December (Z)";
var idParts = Id.Split('-');
var exchangeCommodityNames = idParts[2].Split('.');
var commodityCode = exchangeCommodityNames[0];
if (exchangeCommodityNames.Length > 1)
{
commodityCode = exchangeCommodityNames[1];
}
var immCode = idParts[3];
//Catch the relative rolls.
if (int.TryParse(immCode, out var intResult))
{
var tempTradingDate = LastTradingDayHelper.ParseCode(commodityCode);
immCode = tempTradingDate.GetNthMainCycleCode(baseDate, intResult);
}
var lastTradingDay = LastTradingDayHelper.Parse(commodityCode, immCode);
LastTradeDate = lastTradingDay.GetLastTradingDay(baseDate);
RiskMaturityDate = LastTradeDate;
TimeToExpiry = (decimal)DayCounter.YearFraction(BaseDate, RiskMaturityDate);
}
