private BAWCalculator ConfigureCalculator(IOption option, IMarketCondition market,
double expiryDayRemainingLife = double.NaN, double timeIncrement = 0.0)
{
var trade = (VanillaOption)option;
var exerciseDate = trade.ExerciseDates.Last();
var maturityDate = trade.UnderlyingMaturityDate;
var exerciseInYears = trade.DayCount.CalcDayCountFraction(market.ValuationDate, exerciseDate);
var maturityInYears = trade.DayCount.CalcDayCountFraction(market.ValuationDate, maturityDate);
var riskfreeRate = market.DiscountCurve.Value.ZeroRate(market.ValuationDate, exerciseDate);
var riskfreeDfAtExercise = market.DiscountCurve.Value.GetDf(market.ValuationDate, exerciseDate);
var riskfreeDfAtMaturity = market.DiscountCurve.Value.GetDf(market.ValuationDate, maturityDate);
var dividendCurveInput = market.DividendCurves.Value.Values.First().ZeroRate(market.ValuationDate, exerciseDate);
var dividendInput = AnalyticalOptionPricerUtil.dividendYieldOutput(dividendCurveInput, riskfreeRate,
option.Dividends, market.SpotPrices.Value.Values.First(), market.ValuationDate, trade.ExerciseDates.Last(), option.DayCount);
var dividendRate = AnalyticalOptionPricerUtil.dividendDf(trade.UnderlyingProductType, dividendInput, riskfreeRate);
var spot = market.SpotPrices.Value.Values.First();
double sigma = AnalyticalOptionPricerUtil.pricingVol(volSurf: market.VolSurfaces.Value.Values.First(),
exerciseDate: exerciseDate, option: option, spot: spot);
var calculator = new BAWCalculator(trade.OptionType,
option.IsMoneynessOption ? trade.Strike * trade.InitialSpotPrice : trade.Strike,
spot,
exerciseInYears,
sigma,
riskfreeRate,
dividendRate,
trade.Notional,
trade.UnderlyingProductType,
riskfreeDfAtExercise: riskfreeDfAtExercise,
riskfreeDfAtMaturity: riskfreeDfAtMaturity,
expiryDayRemainingLife: expiryDayRemainingLife,
timeIncrement: timeIncrement);
this._calculator = calculator;
return(calculator);
}