/// <summary>
/// Copy constructor, makes a deep copy of the object. It will also copy the payoff strategy.
/// </summary>
/// <param name="option"></param>
public Option(Option source)
{
m_interest = source.m_interest;
m_volatility = source.m_volatility;
m_strikePrice = source.m_strikePrice;
m_expiryDate = source.m_expiryDate;
m_costOfCarry = source.m_costOfCarry;
m_farFieldCondition = source.m_farFieldCondition;
m_type = source.m_type;
m_payOff = source.m_payOff;
}
/// <summary>
/// Default constructor.
/// </summary>
public Option()
{
m_interest = 0.08;
m_volatility = 0.3;
m_strikePrice = 65.0;
m_expiryDate = 0.25;
m_costOfCarry = m_interest;
m_farFieldCondition = 5 * m_strikePrice;
m_type = 'P';
// Modify code when using C <-> P; V2 use a dynamic switch
// m_payOff = new Option.PayOffHandler(OneFactorPayOff.MyCallPayoffFN);
m_payOff = new Option.PayOffHandler(OneFactorPayOff.MyPutPayoffFN);
// m_payOff = new Option.PayOffHandler(OneFactorPayOff.MyFirstExitTimeFN);
}
