public override string ToString()
{
return("InstumentName=" + InstrumentName
+ "|" + "ExpirationDateTime=" + ExpirationDateTime.ToShortDateString()
+ "|" + "LastMarketPrice=" + LastMarketPrice.ToString()
+ "|" + "LastUpdateDateTime=" + LastUpdateDateTime.ToString());
}
public double AnnualizedForwardPremiumInCurrency(string currency)
{
try
{
/*
* The ninety-day yen to dollar (¥ / $) forward exchange rate is 109.50.
* The spot rate ¥ / $ rate is = 109.38.
* Calculation for annualized forward premium = ((109.50-109.38÷109.38) x (360 ÷ 90) x 100% = 0.44%
* // return AnnualizedForwardPremium((decimal) 109.38, (decimal) 109.50, 90);
*/
DateTimeOffset lastUpdate = DateTimeOffset.Parse(LastUpdateDateTime.ToString());
double secondsRemaining = ExpirationTimestamp - lastUpdate.ToUnixTimeSeconds();
double daysRemaining = ((secondsRemaining / 60) / 60) / 24;
if (daysRemaining != 0 && UnderlyingPriceInCurrency(currency) != 0)
{
double annualizedForwardPremium =
(((LastMarketPriceInCurrency(currency) - UnderlyingPriceInCurrency(currency)) / UnderlyingPriceInCurrency(currency)) *
(360 / daysRemaining) * 100);
return(annualizedForwardPremium);
}
return(0);
}
catch (Exception e)
{
Console.WriteLine(e);
Console.WriteLine(InstrumentName);
Console.WriteLine(LastUpdateDateTime);
Console.WriteLine(ExpirationTimestamp);
return(0);
}
}