public override ConvertibleBond GenerateInstrument()
{
var bond = new BondVf(TradeInfo.BondPart).GenerateInstrument();
var conversionOption = new VanillaOptionVf(TradeInfo.ConversionOption).GenerateInstrument();
var embeddedOptions = TradeInfo.EmbeddedOptions == null ? null : TradeInfo.EmbeddedOptions.Select(x => new VanillaOptionVf(x).GenerateInstrument()).ToArray();
var eboStrikeQuoteTypes = TradeInfo.EboStrikeQuoteTypes == null ? null : TradeInfo.EboStrikeQuoteTypes.Select(x => (PriceQuoteType)Enum.Parse(typeof(PriceQuoteType), x)).ToArray();
if (TradeInfo.TreatAsCommonBond)
{
return(new ConvertibleBond(bond, null, null, null));
}
return(new ConvertibleBond(bond, conversionOption, embeddedOptions, eboStrikeQuoteTypes));
}
public static IValuationFunction ToVf(TradeInfoBase tradeInfo)
{
IValuationFunction vf;
// sean todo // tradeInfo.GetValuationFunction
if (tradeInfo is BondInfoBase)
{
vf = new BondVf((BondInfoBase)tradeInfo);
}
else if (tradeInfo is VanillaOptionInfo)
{
vf = new VanillaOptionVf((VanillaOptionInfo)tradeInfo);
}
else if (tradeInfo is BarrierOptionInfo)
{
vf = new BarrierOptionVf((BarrierOptionInfo)tradeInfo);
}
else if (tradeInfo is BinaryOptionInfo)
{
vf = new BinaryOptionVf((BinaryOptionInfo)tradeInfo);
}
else if (tradeInfo is AsianOptionInfo)
{
vf = new AsianOptionVf((AsianOptionInfo)tradeInfo);
}
else if (tradeInfo is RainbowOptionInfo)
{
vf = new RainbowOptionVf((RainbowOptionInfo)tradeInfo);
}
else if (tradeInfo is SpreadOptionInfo)
{
vf = new SpreadOptionVf((SpreadOptionInfo)tradeInfo);
}
else if (tradeInfo is InterestRateSwapInfo)
{
vf = new InterestRateSwapVf((InterestRateSwapInfo)tradeInfo);
}
else if (tradeInfo is FixedLegInfo)
{
vf = new FixedLegVf((FixedLegInfo)tradeInfo);
}
else if (tradeInfo is FloatingLegInfo)
{
vf = new FloatingLegVf((FloatingLegInfo)tradeInfo);
}
else if (tradeInfo is BondFuturesInfo)
{
vf = new BondFuturesVf((BondFuturesInfo)tradeInfo);
}
else if (tradeInfo is LoanInfo)
{
vf = new LoanVf((LoanInfo)tradeInfo);
}
else if (tradeInfo is HoldingPeriodInfo)
{
vf = new HoldingPeriodVf((HoldingPeriodInfo)tradeInfo);
}
else if (tradeInfo is AbsWithRepurchaseInfo)
{
vf = new AbsWithRepurchaseVf((AbsWithRepurchaseInfo)tradeInfo);
}
else if (tradeInfo is ConvertibleBondInfo)
{
vf = new ConvertibleBondVf((ConvertibleBondInfo)tradeInfo);
}
else
{
throw new PricingLibraryException("Unknowy trade info type");
}
return(vf);
}
