/// <summary>
/// CallableStructuredDeal constructor creating deal list.
/// </summary>
public CallableStructuredDeal()
{
Description = Property.DisplayName(typeof(CallableStructuredDeal));
Exercise_Dates = new ExercisePropertiesList();
fItems = new DealList();
Issuer = string.Empty;
Survival_Probability = string.Empty;
Option_Type = OptionType.Call;
Settlement_Style = SettlementType2.Embedded;
Recovery_Rate = string.Empty;
}
/// <summary>
/// Create a list of sorted exercise items with exercise date >= baseDate and exercise date <= deal's end date.
/// </summary>
internal static ExerciseList CreateExerciseList(double baseDate, double endDate, ExercisePropertiesList exercisePropertiesList, double principal)
{
return((from exerciseProperties in exercisePropertiesList
let exerciseDate = exerciseProperties.Exercise_Date
where !(exerciseDate < baseDate || exerciseDate > endDate)
select new InterestRateOptionPricer.ExerciseItem
{
ExerciseDate = exerciseDate,
SettlementDate = exerciseProperties.Settlement_Date,
ExerciseFee = principal * exerciseProperties.Exercise_Fee
}).ToList());
}
