/// <summary>
/// Initializes a new instance of the <see cref="PriceableSimpleOptionAsset"/> class.
/// </summary>
/// <param name="cache">The cache.</param>
/// <param name="logger">The logger.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="baseDate">The base date.</param>
/// <param name="expiryTenor">The expiry tenor.</param>
/// <param name="underlyingAssetIdentifier">The underlying asset.</param>
/// <param name="strike">The strike.</param>
/// <param name="volatility">The volatility.</param>
/// <param name="forecastCurve">The forecast rate curve.</param>
/// <param name="discountCurve">The discount rate curve. Not used yet, as only the implied rate is caclulated.</param>
/// <param name="fixingCalendar">The fixingCalendar.</param>
/// <param name="rollCalendar">The rollCalendar.</param>
public PriceableSimpleOptionAsset(ILogger logger, ICoreCache cache, string nameSpace, String underlyingAssetIdentifier, DateTime baseDate,
Period expiryTenor, Decimal?strike, Decimal volatility, IRateCurve discountCurve, ICurve forecastCurve, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
{
UnderlyingAssetRef = underlyingAssetIdentifier;
var expiryOffset = new Offset
{
period = expiryTenor.period,
periodMultiplier = expiryTenor.periodMultiplier,
periodSpecified = true,
dayType = DayTypeEnum.Calendar,
dayTypeSpecified = true
};
var expiryDate = expiryOffset.Add(baseDate);
var assetProperties = PriceableAssetFactory.BuildPropertiesForAssets(nameSpace, underlyingAssetIdentifier, expiryDate);
var instrument = InstrumentDataHelper.GetInstrumentConfigurationData(cache, nameSpace, underlyingAssetIdentifier);
var quotation = BasicQuotationHelper.CreateRate(0.05m);
var quote = BasicAssetValuationHelper.Create(quotation);
UnderlyingPriceableAsset = PriceableAssetFactory.Create(logger, cache, nameSpace, instrument, quote, assetProperties, fixingCalendar, rollCalendar);
BaseDate = baseDate;
ForwardIndex = UnderlyingPriceableAsset.CalculateImpliedQuote(forecastCurve);
if (strike != null)
{
Strike = (Decimal)strike;
}
else
{
Strike = ForwardIndex;
}
DayCounter = new Actual365();
ExpiryDate = expiryDate;
Volatility = volatility;
TimeToExpiry = DayCounter.DayCount(BaseDate, ExpiryDate);
}
