// TODO: Review this part (see digital options)
if (FXUtils.isInBaseQuoteOrder(putCurrency, callCurrency)) { // To get Base/quote in market standard order.
final double fxRate = callAmount / putAmount;
underlying = new ForexDefinition(putCurrency, callCurrency, settlementDate, putAmount, fxRate);
// REVIEW: jim 6-Feb-2012 -- take account of NDF!
return new ForexOptionDigitalDefinition(underlying, expiry, false, isLong);
}
final double fxRate = putAmount / callAmount;
underlying = new ForexDefinition(callCurrency, putCurrency, settlementDate, callAmount, fxRate);
// REVIEW: jim 6-Feb-2012 -- take account of NDF!
return new ForexOptionDigitalDefinition(underlying, expiry, true, isLong);
}