public virtual double CalcPv(Forward <TUnderlying> trade, IMarketCondition market)
{
if (market.ValuationDate >= trade.UnderlyingMaturityDate)
{
return(0.0);
}
var cfs = trade.GetReplicatingCashflows(market);
return(cfs[0].PaymentAmount * (market.DividendCurves.HasValue ? market.DividendCurves.Value.Values.First().GetDf(market.ValuationDate, trade.UnderlyingMaturityDate) : 1.0)
+ cfs.Last().PaymentAmount *market.DiscountCurve.Value.GetDf(market.ValuationDate, trade.UnderlyingMaturityDate)
+ cfs.Where((x, i) => !(i == 0 || i == cfs.Length - 1)).Sum(x => x.PaymentAmount * market.UnderlyingDiscountCurve.Value.GetDf(market.ValuationDate, x.PaymentDate)));
}