/// <summary>
/// Finds the zero cost put strike.
/// </summary>
/// <param name="stock">The stock.</param>
/// <param name="zeroRateCurve">The zero rate curve.</param>
/// <returns></returns>
public Double FindZeroCostPutStrike(Stock stock, ZeroAUDCurve zeroRateCurve)
{
// Unpack objects
ZeroCurve myZero = Wrapper.UnpackZeroRateCurve(zeroRateCurve);
DivList myDiv = Wrapper.UnpackDividends(stock, zeroRateCurve);
var myORC = Wrapper.UnpackOrcWingParameters(stock);
//
TimeSpan ts = stock.Transaction.ExpiryDate - stock.Transaction.TradeDate;
double t = ts.Days / 365.0;
string payFlag = stock.Transaction.PayStyle.ToString().Substring(0, 1).ToUpper();
string style = stock.Transaction.Strike.Style.ToString().Substring(0, 1).ToUpper();
double price = Analytics.Equities.Collar.FindZeroCostPut(myZero, myDiv, myORC, t,
stock.Transaction.Strike.StrikePrice, stock.Transaction.CurrentSpot, payFlag, style, 100.0);
return(price);
}
/// <summary>
/// Unpacks the dividends.
/// </summary>
/// <param name="inStock">The in stock.</param>
/// <param name="inZero">The in zero.</param>
/// <returns></returns>
public static DivList UnpackDividends(Stock inStock, ZeroAUDCurve inZero)
{
var myDiv = new DivList {
Divpoints = inStock.Dividends.Count
};
myDiv.MakeArrays();
int idx = 0;
foreach (Dividend dt in inStock.Dividends)
{
TimeSpan ts = dt.ExDivDate - inZero.CurveDate;
myDiv.SetD(idx, dt.PaymentAmountInCents, (ts.Days / 365.0));
idx++;
}
return(myDiv);
}
