public static Decimal CalculateStrikeDelta(bool isCall, decimal swapBreakEvenRate, decimal strike, double timeToExpiry, double timeToIndex, IVolatilitySurface indexVolSurface)
{
var volatility = (decimal)indexVolSurface.GetValue(timeToIndex, (double)strike);
var result = OptionAnalytics.OptWithGreeks(isCall, (double)swapBreakEvenRate, (double)strike, (double)volatility, timeToExpiry)[6];
return((decimal)result);
}
/// <summary>
/// This assumes that the rest dates are consistent with the curve.
/// </summary>
/// <param name="valuationDate"></param>
/// <param name="paymentDate">The payment date. The same rest period is assumed as with the spot date.</param>
/// <param name="indexCurve">The index curve should be already in the correct form for the fx.</param>
/// <param name="currency2">Normally the foreign rate curve.</param>
/// <param name="currency2PerCurrency1">The currency2PerCurrency1 flag. </param>
/// <param name="currency1">Normally the domestic rate curve. </param>
/// <param name="indexVolatilitySurface">The index volatility surface. </param>
/// <param name="expiryTime">The expiry time. </param>
/// <param name="timeToIndex">The time to reset or expiry. </param>
/// <param name="strike">The strike. </param>
/// <param name="fxOptionType">The option type. </param>
public FxOptionLegAnalytic(DateTime valuationDate, DateTime paymentDate, IFxCurve indexCurve, IRateCurve currency1, IRateCurve currency2,
bool currency2PerCurrency1, decimal strike, decimal expiryTime, decimal timeToIndex, IVolatilitySurface indexVolatilitySurface, FxOptionType fxOptionType)
{
//ToReportingCurrencyRate = EvaluateReportingCurrencyFxRate(valuationDate, reportingCurrencyFxCurve);
var todayRate = indexCurve.GetForward(valuationDate, valuationDate); //TODO The spot rate may not be the same due to the carry effect, but the evolution works.
var df1 = currency1.GetDiscountFactor(valuationDate, paymentDate);
var df2 = currency2.GetDiscountFactor(valuationDate, paymentDate);
var forward = df1 / df2;
if (!currency2PerCurrency1)
{
forward = df2 / df1;
}
ForwardFxRate = (decimal)(todayRate * forward);
OptionType = fxOptionType;
Strikes = new List <decimal> {
strike
};
ExpiryTimes = new List <decimal> {
expiryTime
};
TimeToIndices = new List <decimal> {
timeToIndex
};
Volatilities = new List <decimal> {
(decimal)indexVolatilitySurface.GetValue((double)timeToIndex, (double)strike)
};
}
/// <summary>
/// Initiates a new model.
/// </summary>
/// <param name="valuationDate">The valuation date.</param>
/// <param name="startDate">The start date of the coupon.</param>
/// <param name="endDate">The end date of the coupon.</param>
/// <param name="paymentDate">The payment date of the cash flow.</param>
/// <param name="timeToIndex">The timeToIndex. Not necessarily the time to expiry. This is used for surface interpolation..</param>
/// <param name="capStrike">The cap strike.</param>
/// <param name="floorStrike">The floor strike.</param>
/// <param name="reportingCurrencyFxCurve">THe fx curve. It must already be normalised.</param>
/// <param name="discountCurve">The rate curve to use for discounting.</param>
/// <param name="forecastCurve">The forecast curve.</param>
/// <param name="indexVolSurface">The index volatility surface.</param>
public RateOptionCouponAnalytic(DateTime valuationDate, DateTime startDate, DateTime endDate, DateTime paymentDate,
decimal timeToIndex, decimal capStrike, decimal floorStrike, IFxCurve reportingCurrencyFxCurve, IRateCurve discountCurve, IRateCurve forecastCurve, IVolatilitySurface indexVolSurface)
: this(valuationDate, startDate, endDate, paymentDate, timeToIndex, capStrike, reportingCurrencyFxCurve, discountCurve, forecastCurve, indexVolSurface)
{
IsCollar = true;
CollarFloorStrike = floorStrike;
CollarFloorVolatility = (decimal)indexVolSurface.GetValue((double)timeToIndex, (double)floorStrike);
}
/// <summary>
/// Initiates a new model.
/// </summary>
/// <param name="valuationDate">The valuation date.</param>
/// <param name="startDate">The start date of the coupon.</param>
/// <param name="endDate">The end date of the coupon.</param>
/// <param name="paymentDate">The payment date of the cash flow.</param>
/// <param name="timeToIndex">The timeToIndex. Not necessarily the time to expiry. This is used for surface interpolation..</param>
/// <param name="strike">The strike.</param>
/// <param name="reportingCurrencyFxCurve">THe fx curve. It must already be normalised.</param>
/// <param name="discountCurve">The rate curve to use for discounting.</param>
/// <param name="forecastCurve">The forecast curve.</param>
/// <param name="indexVolSurface">The index volatility surface.</param>
public RateOptionCouponAnalytic(DateTime valuationDate, DateTime startDate, DateTime endDate, DateTime paymentDate,
decimal timeToIndex, decimal strike, IFxCurve reportingCurrencyFxCurve, IRateCurve discountCurve, IRateCurve forecastCurve, IVolatilitySurface indexVolSurface)
: base(valuationDate, startDate, endDate, paymentDate, reportingCurrencyFxCurve, discountCurve, forecastCurve)
{
Strike = strike;
TimeToIndex = timeToIndex;
Volatility = (decimal)indexVolSurface.GetValue((double)timeToIndex, (double)strike);
}
///// <param name="isCall">The isCall flag. If [true] then the the option is a call.</param>
///// <param name="rate">The rate.</param>
///// <param name="timeToExpiry">The time To Expiry.</param>
/// <summary>
/// Initiates a new model.
/// </summary>
/// <param name="valuationDate">The valuation date.</param>
/// <param name="timeToIndex">The timeToIndex. Not necessarily the time to expiry. This is used for surface interpolation..</param>
/// <param name="strike">The strike.</param>
/// <param name="reportingCurrencyFxCurve">THe fx curve. It must already be normalised.</param>
/// <param name="indexVolSurface">THe volatility surface to use. </param>
///// <param name="discountCurve">The rate curve to use for discounting.</param>
public SimpleIRSwaptionInstrumentAnalytic(DateTime valuationDate, //DateTime paymentDate, bool isCall,
decimal timeToIndex, decimal strike,
//decimal timeToExpiry, decimal rate,
IFxCurve reportingCurrencyFxCurve, IVolatilitySurface indexVolSurface) //IRateCurve discountCurve, /// <param name="paymentDate">The payment date of the cash flow.</param>
{
ToReportingCurrencyRate = EvaluateReportingCurrencyFxRate(valuationDate, reportingCurrencyFxCurve);
TimeToIndex = timeToIndex;
Strike = strike;
Volatility = (decimal)indexVolSurface.GetValue((double)timeToIndex, (double)strike);
}
/// <summary>
/// Intantiates a new model.
/// </summary>
/// <param name="valuationDate">The valuation date.</param>
/// <param name="paymentDate">The payment date of the cash flow.</param>
/// <param name="reportingCurrencyFxCurve">THe fx curve. It must already be normalised.</param>
/// <param name="indexCurve">The rate curve to use for calculating the forward index.</param>
/// <param name="discountCurve">The rate curve to use for discounting.</param>
/// <param name="indexVolSurface">The index volatility surface.</param>
/// <param name="expiryTime">The expiry time. </param>
/// <param name="timeToIndex">The time to reset or expiry. </param>
/// <param name="strike">The strike. </param>
/// <param name="fxOptionType">The option type. </param>
public FxOptionAnalytic(DateTime valuationDate, DateTime paymentDate, decimal strike, decimal expiryTime, decimal timeToIndex,
IFxCurve reportingCurrencyFxCurve, ICurve indexCurve, IRateCurve discountCurve, IVolatilitySurface indexVolSurface, FxOptionType fxOptionType)
: base(valuationDate, paymentDate, reportingCurrencyFxCurve, indexCurve, discountCurve)
{
OptionType = fxOptionType;
Strikes = new List <decimal> {
strike
};
ExpiryTimes = new List <decimal> {
expiryTime
};
TimeToIndices = new List <decimal> {
timeToIndex
};
Volatilities = new List <decimal> {
(decimal)indexVolSurface.GetValue((double)timeToIndex, (double)strike)
};
}
/// <summary>
/// This assumes that the rest dates are consistent with the curve.
/// </summary>
/// <param name="valuationDate"></param>
/// <param name="paymentDate"></param>
/// <param name="indexCurve"></param>
/// <param name="expiryTime">The expiry time. </param>
/// <param name="timeToIndex">The time to reset or expiry. </param>
/// <param name="strike">The strike. </param>
/// <param name="indexVolatilitySurface">The index volatility surface. </param>
/// <param name="fxOptionType">The option type. </param>
public FxOptionLegAnalytic(DateTime valuationDate, DateTime paymentDate, IFxCurve indexCurve, decimal strike, decimal expiryTime, decimal timeToIndex
, IVolatilitySurface indexVolatilitySurface, FxOptionType fxOptionType)
{
//ToReportingCurrencyRate = EvaluateReportingCurrencyFxRate(valuationDate, reportingCurrencyFxCurve);
ForwardFxRate = (decimal)indexCurve.GetForward(valuationDate, paymentDate);
OptionType = fxOptionType;
Strikes = new List <decimal> {
strike
};
ExpiryTimes = new List <decimal> {
expiryTime
};
TimeToIndices = new List <decimal> {
timeToIndex
};
Volatilities = new List <decimal> {
(decimal)indexVolatilitySurface.GetValue((double)timeToIndex, (double)strike)
};
}
