/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override BasicAssetValuation Calculate(IAssetControllerData modelData)
{
ModelData = modelData;
AnalyticsModel = new LeaseAssetAnalytic();
var metrics = MetricsHelper.GetMetricsToEvaluate(Metrics, AnalyticsModel.Metrics);
// Determine if DFAM has been requested - if so that's all we evaluate - every other metric is ignored
var metricsToEvaluate = metrics.ToArray();
var analyticModelParameters = new LeaseAssetParameters();
CalculationResults = new LeaseAssetAnalytic();
var marketEnvironment = modelData.MarketEnvironment;
//IRateCurve rate forecast curve = null;
IRateCurve leaseCurve = null;
//0. Set the valuation date and recalculate the settlement date. This could mean regenerating all the coupon dates as well
//Alternatively the lease can be recreated with a different base date = valuation date.
//1. instantiate curve
if (marketEnvironment.GetType() == typeof(SimpleMarketEnvironment))
{
leaseCurve = (IRateCurve)((ISimpleMarketEnvironment)marketEnvironment).GetPricingStructure();
LeaseDiscountCurveName = leaseCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SimpleRateMarketEnvironment))
{
leaseCurve = ((ISimpleRateMarketEnvironment)marketEnvironment).GetRateCurve();
LeaseDiscountCurveName = leaseCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SwapLegEnvironment))
{
leaseCurve = ((ISwapLegEnvironment)marketEnvironment).GetDiscountRateCurve();
LeaseDiscountCurveName = leaseCurve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(MarketEnvironment))
{
leaseCurve = (IRateCurve)modelData.MarketEnvironment.GetPricingStructure(LeaseDiscountCurveName);
}
//2. Set the rate and the Multiplier
analyticModelParameters.Multiplier = Multiplier;
//analyticModelParameters.Quote = QuoteValue;
analyticModelParameters.GrossAmount = StartAmount;
analyticModelParameters.StepUp = LeaseRate;
//3. Get the discount factors
analyticModelParameters.PaymentDiscountFactors =
GetDiscountFactors(leaseCurve, AdjustedPeriodDates, modelData.ValuationDate);
//4. Get the Weightings
analyticModelParameters.Weightings = Weightings;
//5. Set the analytic input parameters and Calculate the respective metrics
AnalyticModelParameters = analyticModelParameters;
CalculationResults =
AnalyticsModel.Calculate <ILeaseAssetResults, LeaseAssetResults>(analyticModelParameters,
metricsToEvaluate);
//ExpectedCashflows =
//CashflowPVs =
return(GetValue(CalculationResults));
}
///// <summary>
///// Gets the priceable coupons.
///// </summary>
///// <value>The priceable coupons.</value>
//public List<InstrumentControllerBase> Payments
//{
// get
// {
// List<InstrumentControllerBase> result = null;
// if (Payments != null && Payments.Count > 0)
// {
// result = new List<InstrumentControllerBase>(Payments);
// }
// return result;
// }
//}
///// <summary>
///// Gets the stream payment dates.
///// </summary>
///// <value>The stream payment dates.</value>
//public IList<DateTime> StreamPaymentDates
//{
// get
// {
// var datesList = Coupons.Select(coupon => coupon.PaymentDate).ToList();
// datesList.Sort();
// return datesList;
// }
//}
#endregion
#region Constructors
/// <summary>
///
/// </summary>
public PriceableLease()
{
Multiplier = 1.0m;
AnalyticsModel = new LeaseAssetAnalytic();
}
