// ************************************************************
// CONSTRUCTORS
// ************************************************************
#region
// Constructor 1 : From given date, no data
//public EquityIndexOption(DateTime pricingDate) : base(pricingDate: pricingDate) { }
// Constructor 2: For given date & Markit Volatility surface
public EquityIndexOption(DateTime pricingDate, DateTime strikeDate, DateTime forwardStartDate,
DateTime expiryDate, Double strikeLevel, MarkitSurface surfaceObject)
: base(pricingDate: pricingDate, strikeDate: strikeDate, forwardStartDate: forwardStartDate,
expiryDate: expiryDate, strikeLevel: strikeLevel, surfaceObject: surfaceObject)
{
}
// ************************************************************
// CONSTRUCTORS
// ************************************************************
#region
// Constructor 1 : Generic
// public BaseIndexOption() { }
// Constructor 2 : From given date
// spublic BaseIndexOption(DateTime pricingDate) { }
// Constructor 3 : From a Markit volatility surface
public BaseIndexOption(DateTime pricingDate, DateTime strikeDate, DateTime forwardStartDate,
DateTime expiryDate, Double strikeLevel, MarkitSurface surfaceObject)
{
// Dates
this.pricingDate = pricingDate;
this.strikeDate = strikeDate;
this.expiryDate = expiryDate;
this.forwardStartDate = forwardStartDate;
// Strikes
this.strikeLevel = strikeLevel;
// Volatility
this.impliedVolatilitySurface = surfaceObject;
}
// ************************************************************
// INDEXER METHODS
// ************************************************************
#region
public MarkitSurface this[DateTime i]
{
get
{
if (!readerData.ContainsKey(i))
{
readerData[i] = new MarkitSurface(i);
}
return(readerData[i]);
}
protected set
{
readerData[i] = value;
}
}
private void Parse_OldFormat(List <string> line)
{
DateTime thisPricingDate = this.ParseDate(line[1]);
MarkitSurface thisSurface = this[thisPricingDate];
thisSurface.SetName(line[3]);
thisSurface.SetImpliedSpot(line[9]);
thisSurface.SetReferenceLevel(line[6]);
DateTime thisForwardDate = this.ParseDate(line[7]);
thisSurface.SetForward(thisPricingDate, thisForwardDate, line[11]);
thisSurface.SetDiscountFactor(thisPricingDate, thisForwardDate, line[12]);
//thisSurface.SetDividend(thisPricingDate, thisForwardDate, line[xyz]);
thisSurface.SetVolatility(thisPricingDate, thisForwardDate, line[8], line[10]);
}
