/// <summary>
/// Helper function used to validate the arguments in the function
/// used to compute the Caplet/Floorlet price.
/// </summary>
/// <param name="discountFactor">Discount factor.</param>
/// <param name="forwardRate">Forward rate.</param>
/// <param name="sigma">Volatility.</param>
private static void ValidateComputePriceArguments
(double discountFactor,
double forwardRate,
double sigma)
{
const bool throwError = true;
// Validate discount factor.
const string discountFactorErrorMessage =
"Discount factor used to price a Caplet/Floorlet must be positive";
DataQualityValidator.ValidatePositive(discountFactor,
discountFactorErrorMessage,
throwError);
// Validate forward rate.
const string forwardRateErrorMessage =
"Forward rate used to price a Caplet/Floorlet must be positive";
DataQualityValidator.ValidatePositive(forwardRate,
forwardRateErrorMessage,
throwError);
// Validate the forward rate.
const string sigmaErrorMessage =
"Volatility used to price a Caplet/Floorlet must be positive";
DataQualityValidator.ValidatePositive(sigma,
sigmaErrorMessage,
throwError);
}
/// <summary>
/// Helper function used to validate all constructor arguments.
/// </summary>
/// <param name="notional">Caplet/Floorlet face value.</param>
/// <param name="optionExpiry">Option expiry expressed in years
/// as an ACT/365 day count.</param>
/// <param name="strike">Option strike expressed as a decimal.</param>
/// <param name="tau">Year fraction for the Caplet/Floorlet.</param>
private static void ValidateConstructorArguments
(decimal notional,
decimal optionExpiry,
decimal strike,
decimal tau)
{
// Validate notional.
const string notionalErrorMessage =
"Notional for a Caplet/Floorlet must be positive";
DataQualityValidator.ValidatePositive(notional,
notionalErrorMessage,
true);
// Validate option expiry.
const string optionExpiryErrorMessage =
"Expiry for a Caplet/Floorlet cannot be negative";
DataQualityValidator.ValidateMinimum(optionExpiry,
0m,
optionExpiryErrorMessage,
true);
// Validate strike.
const string strikeErrorMessage =
"Strike for a Caplet/Floorlet must be positive";
DataQualityValidator.ValidatePositive(strike,
strikeErrorMessage,
true);
// Validate tau.
const string tauErrorMessage =
"Year fraction for a Caplet/Floorlet must be positive";
DataQualityValidator.ValidatePositive(tau,
tauErrorMessage,
true);
}