/// <summary> /// Gets the year fraction to maturity. /// </summary> /// <returns></returns> protected decimal GetTimeToExpiry(DateTime baseDate, DateTime expiryDate) { return((decimal)DayCounterHelper.ToDayCounter(DayCountFractionEnum.ACT_365_FIXED).YearFraction(baseDate, expiryDate)); }
///<summary> ///</summary> ///<param name="baseDate"></param> ///<param name="expirationAsDate"></param> ///<param name="maturityYearFraction"></param> ///<param name="strike"></param> ///<returns></returns> public double GetValue(DateTime baseDate, DateTime expirationAsDate, double maturityYearFraction, decimal strike) { double expiryYearFraction = DayCounterHelper.ToDayCounter(DayCountFractionEnum.ACT_365_FIXED).YearFraction(baseDate, expirationAsDate); return(Value(expiryYearFraction, maturityYearFraction, (double)strike)); }
/// <summary> /// Gets the year fraction to maturity. /// </summary> /// <returns></returns> public decimal GetTimeToMaturity(DateTime baseDate, DateTime maturityDate) { return((decimal)DayCounterHelper.ToDayCounter(DayCountFractionEnum.ACT_365_FIXED) .YearFraction(baseDate, maturityDate)); }