/// <summary>
/// Initializes a new instance of the <see cref="PriceableCEROption"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">The nodeStruct.</param>
/// <param name="rollCalendar">THe rollCalendar.</param>
/// <param name="fixedRate"></param>
public PriceableCEROption(DateTime baseDate, CommodityFutureNodeStruct nodeStruct,
IBusinessCalendar rollCalendar, BasicQuotation fixedRate)
: base(baseDate, nodeStruct, rollCalendar, fixedRate)
{
Id = nodeStruct.Future.id;
Future = nodeStruct.Future;
ModelIdentifier = "CommoditiesFuturesOptionAsset";
var idParts = Id.Split('-');
var exchangeCommodityName = idParts[2];
var immCode = idParts[3];
int intResult;
//Catch the relative rolls.
if (int.TryParse(immCode, out intResult))
{
var tempTradingDate = LastTradingDayHelper.ParseCode(immCode);
immCode = tempTradingDate.GetNthMainCycleCode(baseDate, intResult);
}
var lastTradingDay = LastTradingDayHelper.Parse(exchangeCommodityName, immCode);
LastTradeDate = lastTradingDay.GetLastTradingDay(baseDate);
RiskMaturityDate = LastTradeDate;
OptionsExpiryDate = LastTradeDate;
TimeToExpiry = (decimal)DayCounter.YearFraction(BaseDate, RiskMaturityDate);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableCER"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">The nodeStruct.</param>
/// <param name="rollCalendar">THe rollCalendar.</param>
/// <param name="fixedRate"></param>
public PriceableCER(DateTime baseDate, CommodityFutureNodeStruct nodeStruct,
IBusinessCalendar rollCalendar, BasicQuotation fixedRate)
: base(baseDate, nodeStruct.Future, nodeStruct.BusinessDayAdjustments, fixedRate, null)
{
Id = nodeStruct.Future.id;
Future = nodeStruct.Future;
PriceQuoteUnits = nodeStruct.PriceQuoteUnits;
ModelIdentifier = "CommoditiesFuturesAsset";
SettlementBasis = "The business day prior to the 15th calendar day of the contract month";
ContractMonthPeriod = nodeStruct.ContractMonthPeriod;
ContractSeries = "March (H), May (K), July (N), September (U) & December (Z)";
var idParts = Id.Split('-');
var exchangeCommodityNames = idParts[2].Split('.');
var commodityCode = exchangeCommodityNames[0];
if (exchangeCommodityNames.Length > 1)
{
commodityCode = exchangeCommodityNames[1];
}
var immCode = idParts[3];
//Catch the relative rolls.
if (int.TryParse(immCode, out var intResult))
{
var tempTradingDate = LastTradingDayHelper.ParseCode(commodityCode);
immCode = tempTradingDate.GetNthMainCycleCode(baseDate, intResult);
}
var lastTradingDay = LastTradingDayHelper.Parse(commodityCode, immCode);
LastTradeDate = lastTradingDay.GetLastTradingDay(baseDate);
RiskMaturityDate = LastTradeDate;
TimeToExpiry = (decimal)DayCounter.YearFraction(BaseDate, RiskMaturityDate);
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableIceBrentFuture"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">The nodeStruct.</param>
/// <param name="rollCalendar">THe rollCalendar.</param>
/// <param name="fixedRate"></param>
public PriceableIceBrentFuture(DateTime baseDate, CommodityFutureNodeStruct nodeStruct,
IBusinessCalendar rollCalendar, BasicQuotation fixedRate)
: base(baseDate, nodeStruct.Future, nodeStruct.BusinessDayAdjustments, fixedRate, new Offset
{
dayType = DayTypeEnum.Business, dayTypeSpecified = true, period = PeriodEnum.D, periodMultiplier = "0",
periodSpecified = true
})
{
Id = nodeStruct.Future.id;
Future = nodeStruct.Future;
PriceQuoteUnits = nodeStruct.PriceQuoteUnits;
ModelIdentifier = "CommoditiesFuturesAsset";
SettlementBasis = "EFP Delivery with an option to cash settle.";
ContractSeries = "Monthly";
var idParts = Id.Split('-');
//var exchangeCommodityName = idParts[2];
var immCode = idParts[3];
int intResult;
//Only the relative rolls.
if (int.TryParse(immCode, out intResult))
{
var lastTradingDay = new FirstDayLessFifteen().GetNthLastTradingDay(baseDate, intResult);
//Do the date adjustment logic.
LastTradeDate = rollCalendar.Advance(lastTradingDay, RollOffset,
BusinessDayConventionEnum.PRECEDING);
RiskMaturityDate = LastTradeDate;
TimeToExpiry = (decimal)DayCounter.YearFraction(BaseDate, RiskMaturityDate);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="PriceableLMEFuture"/> class.
/// </summary>
/// <param name="baseDate">The base date.</param>
/// <param name="nodeStruct">The nodeStruct.</param>
/// <param name="rollCalendar">THe rollCalendar.</param>
/// <param name="fixedRate"></param>
public PriceableLMEFuture(DateTime baseDate, CommodityFutureNodeStruct nodeStruct,
IBusinessCalendar rollCalendar, BasicQuotation fixedRate)
: base(baseDate, nodeStruct.Future, nodeStruct.BusinessDayAdjustments, fixedRate, new Offset
{
dayType = DayTypeEnum.Business, dayTypeSpecified = true, period = PeriodEnum.D, periodMultiplier = "0",
periodSpecified = true
})
{
Id = nodeStruct.Future.id;
CommodityType = Future.description;
Future = nodeStruct.Future;
PriceQuoteUnits = nodeStruct.PriceQuoteUnits;
ModelIdentifier = "CommoditiesFuturesAsset";
SettlementBasis = "EFP Delivery with an option to cash settle.";
ContractMonthPeriod = nodeStruct.ContractMonthPeriod;
ContractSeries = "Daily:3M/Weekly:6M/Monthly:" + ContractMonthPeriod.ToString();
ExchangeIdentifier = nodeStruct.Future.exchangeId.Value;
var idParts = Id.Split('-');
var immCode = idParts[3];
if (int.TryParse(immCode, out int intResult))
{
//If the roll is less that 3M then daily roll.
//Less the number of business days in the next 3 months i.e. approximately 60.
//TODO This hsould be all moved to configuration!
var dailyCutoverOffset = new Offset
{
dayType = DayTypeEnum.Calendar,
dayTypeSpecified = true,
period = PeriodEnum.M,
periodMultiplier = "3",
periodSpecified = true
};
var dailyCutoverDate = rollCalendar.Advance(BaseDate, dailyCutoverOffset, BusinessDayConventionEnum.MODFOLLOWING);
var businessDays = rollCalendar.BusinessDaysBetweenDates(BaseDate, dailyCutoverDate);
if (intResult <= businessDays.Count)
{
LastTradeDate = businessDays[intResult];
}
//TODO
//If the roll is greater than 3M and less than 6M then weekly on a Wednesday.
//Less the number of weeks in the following 3 months i.e. approximately 12
//
else
{
//Remember thefirst expiry is after the 3 motn cutover!
//TODO this should be the 6 ContractMonthPeriod.
var rollDate = baseDate.AddMonths(intResult - businessDays.Count + 3);
var lastTradingDay = new LastTradingDate().GetLastTradingDay(rollDate.Month, rollDate.Year);
//Do the date adjustment logic.
LastTradeDate = rollCalendar.Advance(lastTradingDay, RollOffset,
BusinessDayConventionEnum.PRECEDING);
}
}
//This means that the value should be a period.
else
{
var term = PeriodHelper.Parse(immCode);
LastTradeDate = GetEffectiveDate(BaseDate, rollCalendar, term, nodeStruct.BusinessDayAdjustments.businessDayConvention);
}
RiskMaturityDate = LastTradeDate;
TimeToExpiry = (decimal)DayCounter.YearFraction(BaseDate, RiskMaturityDate);
}
