/// <summary>
/// Gets the year fraction to maturity.
/// </summary>
/// <returns></returns>
protected decimal GetTimeToExpiry(DateTime baseDate, DateTime expiryDate)
{
return((decimal)DayCounterHelper.ToDayCounter(DayCountFractionEnum.ACT_365_FIXED).YearFraction(baseDate, expiryDate));
}
///<summary>
///</summary>
///<param name="baseDate"></param>
///<param name="expirationAsDate"></param>
///<param name="maturityYearFraction"></param>
///<param name="strike"></param>
///<returns></returns>
public double GetValue(DateTime baseDate, DateTime expirationAsDate, double maturityYearFraction, decimal strike)
{
double expiryYearFraction = DayCounterHelper.ToDayCounter(DayCountFractionEnum.ACT_365_FIXED).YearFraction(baseDate, expirationAsDate);
return(Value(expiryYearFraction, maturityYearFraction, (double)strike));
}
/// <summary>
/// Gets the year fraction to maturity.
/// </summary>
/// <returns></returns>
public decimal GetTimeToMaturity(DateTime baseDate, DateTime maturityDate)
{
return((decimal)DayCounterHelper.ToDayCounter(DayCountFractionEnum.ACT_365_FIXED)
.YearFraction(baseDate, maturityDate));
}
