/// <summary>
/// Finds the zero cost put strike.
/// </summary>
/// <param name="stock">The stock.</param>
/// <param name="zeroRateCurve">The zero rate curve.</param>
/// <returns></returns>
public Double FindZeroCostPutStrike(Stock stock, ZeroAUDCurve zeroRateCurve)
{
// Unpack objects
ZeroCurve myZero = Wrapper.UnpackZeroRateCurve(zeroRateCurve);
DivList myDiv = Wrapper.UnpackDividends(stock, zeroRateCurve);
var myORC = Wrapper.UnpackOrcWingParameters(stock);
//
TimeSpan ts = stock.Transaction.ExpiryDate - stock.Transaction.TradeDate;
double t = ts.Days / 365.0;
string payFlag = stock.Transaction.PayStyle.ToString().Substring(0, 1).ToUpper();
string style = stock.Transaction.Strike.Style.ToString().Substring(0, 1).ToUpper();
double price = Analytics.Equities.Collar.FindZeroCostPut(myZero, myDiv, myORC, t,
stock.Transaction.Strike.StrikePrice, stock.Transaction.CurrentSpot, payFlag, style, 100.0);
return(price);
}
/// <summary>
/// Finds the zero cost strike.
/// </summary>
/// <param name="optionType">Type of the option.</param>
/// <param name="stock">The stock.</param>
/// <param name="zeroRateCurve">The zero rate curve.</param>
/// <returns></returns>
public Double FindZeroCostStrike(OptionType optionType, Stock stock, ZeroAUDCurve zeroRateCurve)
{
Double price;
switch (optionType)
{
case OptionType.Call:
price = FindZeroCostCallStrike(stock, zeroRateCurve);
break;
case OptionType.Put:
price = FindZeroCostPutStrike(stock, zeroRateCurve);
break;
default:
throw new ArgumentException("Option Type must be specified");
}
return(price);
}
/// <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);
}