/// <summary>
///
/// </summary>
/// <param name="orcParams"></param>
/// <param name="tradeDate"></param>
/// <returns></returns>
public static WingCurvature[] UnpackWing(WingParamsRange orcParams, DateTime tradeDate)
{
var wc = new[] { new WingCurvature() };
//set the curvature
wc[0].EtoDate = tradeDate;
wc[0][WingCurvature.WingCurvatureProperty.CurrentVolatility] = orcParams.CurrentVolatility;
wc[0][WingCurvature.WingCurvatureProperty.SlopeReference] = orcParams.SlopeReference;
wc[0][WingCurvature.WingCurvatureProperty.PutCurvature] = orcParams.PutCurvature;
wc[0][WingCurvature.WingCurvatureProperty.CallCurvature] = orcParams.CallCurvature;
wc[0][WingCurvature.WingCurvatureProperty.DownCutOff] = orcParams.DownCutOff;
wc[0][WingCurvature.WingCurvatureProperty.UpCutOff] = orcParams.UpCutOff;
wc[0][WingCurvature.WingCurvatureProperty.VolChangeRate] = orcParams.VolChangeRate;
wc[0][WingCurvature.WingCurvatureProperty.SlopeChangeRate] = orcParams.SlopeChangeRate;
wc[0][WingCurvature.WingCurvatureProperty.SkewSwimmingnessRate] = orcParams.SkewSwimmingnessRate;
wc[0][WingCurvature.WingCurvatureProperty.DownSmoothingRange] = orcParams.DownSmoothingRange;
wc[0][WingCurvature.WingCurvatureProperty.UpSmoothingRange] = orcParams.UpSmoothingRange;
wc[0][WingCurvature.WingCurvatureProperty.ReferenceForward] = orcParams.ReferenceForward;
return(wc);
}
/// <summary>
///
/// </summary>
/// <param name="underlying"></param>
/// <param name="spot"></param>
/// <param name="putStrike"></param>
/// <param name="style"></param>
/// <param name="tradeDate"></param>
/// <param name="expiryDate"></param>
/// <param name="zeroArray"></param>
/// <param name="divArray"></param>
/// <param name="orcParams"></param>
/// <returns></returns>
public static double CallCollarPricer(String underlying, double spot, double putStrike,
string style, DateTime tradeDate, DateTime expiryDate, List <ZeroCurveRange> zeroArray,
List <DividendRange> divArray, WingParamsRange orcParams)
{
// Skew;
WingCurvature[] wingCurve = Wrapper.UnpackWing(orcParams, tradeDate);
// Dividends;
DividendList dList = Wrapper.UnpackDiv(divArray);
// ZeroCurve;
ZeroAUDCurve zeroCurve = Wrapper.UnpackZero(zeroArray, tradeDate);
var ist = new Stock(underlying, underlying, dList, wingCurve);
//test the price
var col = new Collar();
var tr = new TransactionDetail(underlying)
{
CurrentSpot = spot
};
if (style == "A")
{
tr.PayStyle = PayStyleType.American;
}
else if (style == "E")
{
tr.PayStyle = PayStyleType.European;
}
else
{
tr.PayStyle = PayStyleType.NotSpecified;
}
tr.TradeDate = tradeDate;
tr.ExpiryDate = expiryDate;
ist.Transaction = tr;
//test collar
var testSt = new Strike(OptionType.Put, putStrike);
ist.Transaction.SetStrike(testSt);
double callStrike = col.FindZeroCostCallStrike(ist, zeroCurve);
return(callStrike);
}
