private static StructuredTrade GetTrade()
{
var trade = new StructuredTrade();
var decemberCorn = new Contract(CornProductId, new MonthOfYear(2010, 12));
var position = -5000;
var price = 5;
var swapExpiration = DateTime.Now.Date.AddMonths(1);
var swap = new Swap(decemberCorn, position, price, swapExpiration);
trade.AddTrade(swap);
var payoutAmount = position*1;
var expirationDate = DateTime.Now.Date;
var premium = 0.01m;
var digitalOption = Option.Digital(payoutAmount, expirationDate, Option.OptionType.Call, price, premium);
trade.AddTrade(digitalOption);
var optionOnASwap = new Swap(decemberCorn, position, default(decimal), swapExpiration);
var strike = 6;
var option = Option.OnSwap(optionOnASwap, expirationDate, Option.OptionType.Call, strike, premium);
trade.AddTrade(option);
return trade;
}
public static Option OnSwap(Swap swap, DateTime expirationDate, OptionType callOrPut, decimal strike, decimal premium)
{
return new Option(swap, expirationDate, callOrPut, strike, premium);
}