/// <summary>
/// Initializes a new instance of the <see cref="PriceableCaplet"/> class.
/// This is a special case for use with the factry for bootstrapping, as it
/// uses no calendar logic. This is done by the factory.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">A special class containing all salient data required.</param>
/// <param name="properties">The properties set This includes strike information.</param>
/// <param name="fixingCalendar">The fixing/expiry calendar></param>
/// <param name="paymentCalendar">The paymentCalendar calendar.</param>
/// <param name="notional">The notional. The default value is 1,000,000.00m.</param>
/// <param name="marketQuotes">The market quotes, including the volatility and possibly the fixed rate as a decimal contained in a basic quotation.</param>
public PriceableCaplet(DateTime baseDate, RateOptionNodeStruct nodeStruct, NamedValueSet properties, IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar, Decimal notional, BasicAssetValuation marketQuotes)
: base(baseDate, nodeStruct.ResetDateAdjustment, nodeStruct.SimpleRateOption, notional, 1000000.0m, nodeStruct.BusinessDayAdjustments, marketQuotes)
{
Id = nodeStruct.SimpleRateOption.id;
IsCap = true;
IsDiscounted = false;
RateOption = nodeStruct.SimpleRateOption;
ResetDateOffset = nodeStruct.ResetDateAdjustment;
SpotDateOffset = nodeStruct.SpotDate;
UnderlyingRateIndex = nodeStruct.RateIndex;
AdjustedStartDate = GetSpotDate(baseDate, fixingCalendar, nodeStruct.SpotDate);
AdjustedEffectiveDate = GetEffectiveDate(AdjustedStartDate, paymentCalendar, nodeStruct.SimpleRateOption.startTerm, nodeStruct.BusinessDayAdjustments.businessDayConvention);
OptionsExpiryDate = GetFixingDate(AdjustedEffectiveDate, fixingCalendar, nodeStruct.ResetDateAdjustment);
MaturityDate = GetEffectiveDate(AdjustedStartDate, paymentCalendar, nodeStruct.SimpleRateOption.endTerm, nodeStruct.BusinessDayAdjustments.businessDayConvention);
PaymentDate = MaturityDate;
YearFraction = GetYearFraction(RateOption.dayCountFraction.Value, AdjustedEffectiveDate, MaturityDate);
TimeToExpiry = GetTimeToExpiry(baseDate, OptionsExpiryDate);
//Set the strike scalar. This must be after the number of expiry dates has been set.
var quotes = new List <BasicQuotation>(marketQuotes.quote);
//For the default cap the spot rate is used.
SetQuote("ForwardRate", quotes);
SetQuote("Strike", quotes);
//decimal? strike = properties.GetValue<decimal>("Strike", false);
//Strike = (decimal)strike;
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableCaplet"/> class.
/// This is a special case for use with the factry for bootstrapping, as it
/// uses no calendar logic. This is done by the factory.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">A special class containing all salient data required.</param>
/// <param name="properties">The properties set This includes strike information.</param>
/// <param name="fixingCalendar">The fixing/expiry calendar></param>
/// <param name="paymentCalendar">The paymentCalendar calendar.</param>
/// <param name="notional">The notional. The default value is 1.00m.</param>
/// <param name="marketQuotes">The market quotes, including the volatility and possibly the fixed rate as a decimal contained in a basic quotation.</param>
public PriceableDiscountFloorlet(DateTime baseDate, RateOptionNodeStruct nodeStruct, NamedValueSet properties, IBusinessCalendar fixingCalendar,
IBusinessCalendar paymentCalendar, Decimal notional, BasicAssetValuation marketQuotes)
: base(baseDate, nodeStruct, properties, fixingCalendar, paymentCalendar, notional, marketQuotes)
{
IsDiscounted = true;
IsCap = false;
}
