private Date GetSpotDate(Date startDate, FxOption fxOption)
{
return(MarketExtensions.GetFxSpotDate(startDate,
fxOption.UnderlyingFxSpotSettlement,
fxOption.FgnCcy,
fxOption.DomCcy,
fxOption.FgnCalendar,
fxOption.DomCalendar));
}
protected FxSpot CreateFxSpot(RateMktData rateMktData)
{
var definition = (Definition as InstrumentCurveDefinition);
var fgnCcy = definition.BaseCurveDefinition.CurveConvention.Currency.ToCurrencyCode();
var domCcy = definition.CurveConvention.Currency.ToCurrencyCode();
if (domCcy == fgnCcy)
{
return(null);
}
var fgnCalendar = CalendarImpl.Get(definition.BaseCurveDefinition.CurveConvention.Calendar);
var domCalendar = CalendarImpl.Get(definition.CurveConvention.Calendar);
var spotDate = MarketExtensions.GetFxSpotDate(
Market.ReferenceDate,
new DayGap(rateMktData.Tenor),
fgnCcy,
domCcy,
fgnCalendar,
domCalendar
);
return(new FxSpot(
Market.ReferenceDate,
spotDate,
rateMktData.Rate,
domCalendar,
domCcy,
1.0,
fgnCalendar,
fgnCcy,
rateMktData.Rate,
domCcy
));
}
