private static Coupon[] BuildDslCoupons(string legId, Parameters parameters, string[] dslCouponPayoffs)
{
var payCurrencies = parameters.GetColFromLabel(legId + "PayCurrency", o => Currency.Parse(o.ToString()));
var payDates = parameters.RowLabels;
var couponPayments = payDates.ZipWith(payCurrencies, (d, c) => new PaymentInfo(c, d));
var couponPayoffs = DslPayoffFactory.Build(legId + "Date", parameters, dslCouponPayoffs);
return(couponPayments.ZipWith(couponPayoffs, (payInfo, payoff) => new Coupon(payInfo, payoff)));
}
private IProduct BuilAutoCall(ICouponDecomposable underlying, object[,] bag)
{
var parameters = bag.ProcessLabelledMatrix("AutocallDate",
DateAndDurationConverter.ConvertDate,
o => o.ToString(), o => o);
var redemptionScripts = parameters.GetColFromLabel("Redemption", o => o.ToString());
var currencies = parameters.GetColFromLabel("RedemptionCurrency", o => Currency.Parse(o.ToString()));
var payDates = parameters.GetColFromLabel("RedemptionDate", DateAndDurationConverter.ConvertDate);
PaymentInfo[] payInfos = payDates.ZipWith(currencies, (d, c) => new PaymentInfo(c, d));
IFixingFunction[] redemptionPayoffs = DslPayoffFactory.Build("AutocallDate", parameters, redemptionScripts);
var redemptionCoupons = redemptionPayoffs.ZipWith(payInfos, (payoff, payInfo) => new Coupon(payInfo, payoff));
var triggerScripts = parameters.GetColFromLabel("AutocallTrigger", o => o.ToString());
var triggers = DslPayoffFactory.Build("AutocallDate", parameters, triggerScripts);
return(new AutoCall(underlying, parameters.RowLabels, redemptionCoupons, triggers));
}
