/// <summary> /// Transactions the complete. /// </summary> /// <param name="transaction">The transaction.</param> internal static void TransactionComplete(TransactionDetail transaction) { InputValidator.NotZero("Spot Price", transaction.CurrentSpot, true); InputValidator.NotNull("Trade Date", transaction.TradeDate, true); InputValidator.NotNull("Expiry Date", transaction.ExpiryDate, true); InputValidator.EnumTypeNotSpecified("Pay Style", transaction.PayStyle, true); if (transaction.ExpiryDate <= transaction.TradeDate) { throw new InvalidValueException( $"Expiry date {transaction.ExpiryDate} must fall after the Trade Darte {transaction.TradeDate}"); } }
/// <summary> /// /// </summary> /// <param name="underlying"></param> /// <param name="spot"></param> /// <param name="putStrike"></param> /// <param name="style"></param> /// <param name="tradeDate"></param> /// <param name="expiryDate"></param> /// <param name="zeroArray"></param> /// <param name="divArray"></param> /// <param name="orcParams"></param> /// <returns></returns> public static double CallCollarPricer(String underlying, double spot, double putStrike, string style, DateTime tradeDate, DateTime expiryDate, List <ZeroCurveRange> zeroArray, List <DividendRange> divArray, WingParamsRange orcParams) { // Skew; WingCurvature[] wingCurve = Wrapper.UnpackWing(orcParams, tradeDate); // Dividends; DividendList dList = Wrapper.UnpackDiv(divArray); // ZeroCurve; ZeroAUDCurve zeroCurve = Wrapper.UnpackZero(zeroArray, tradeDate); var ist = new Stock(underlying, underlying, dList, wingCurve); //test the price var col = new Collar(); var tr = new TransactionDetail(underlying) { CurrentSpot = spot }; if (style == "A") { tr.PayStyle = PayStyleType.American; } else if (style == "E") { tr.PayStyle = PayStyleType.European; } else { tr.PayStyle = PayStyleType.NotSpecified; } tr.TradeDate = tradeDate; tr.ExpiryDate = expiryDate; ist.Transaction = tr; //test collar var testSt = new Strike(OptionType.Put, putStrike); ist.Transaction.SetStrike(testSt); double callStrike = col.FindZeroCostCallStrike(ist, zeroCurve); return(callStrike); }