protected override IFactorModelRepresentation Build(EquityModel model, Market market, PaymentInfo probaMeasure)
{
var asset = model.Asset;
if (!probaMeasure.Financing.Currency.Equals(probaMeasure.Currency) ||
!probaMeasure.Currency.Equals(asset.Currency))
{
throw new NotImplementedException("TODO !");
}
var numeraireDiscount = market.DiscountCurve(probaMeasure.Financing);
var assetMkt = market.AssetMarket(asset);
var assetDiscountCurve = assetMkt.AssetFinancingCurve(numeraireDiscount);
var zc = new DeterministicZcRepresentation(model.PivotCurrency, 1);
var bsSpot = new EquitySpotRepresentation(model.Asset, assetDiscountCurve, probaMeasure);
return(new FactorRepresentation(market, new[] { zc }, new[] { bsSpot }));
}
protected override IProcessPathGenerator Build(LocalVolatilityModel model, Market market, PaymentInfo probaMeasure, DateTime[] simulatedDates)
{
var asset = model.Asset;
var assetMkt = market.AssetMarket(asset);
if (!probaMeasure.Financing.Currency.Equals(probaMeasure.Currency) ||
!probaMeasure.Currency.Equals(asset.Currency))
{
throw new NotImplementedException("TODO !");
}
var numeraireDiscount = market.DiscountCurve(probaMeasure.Financing);
DiscountCurve assetDiscount = assetMkt.AssetFinancingCurve(numeraireDiscount);
double forward = assetMkt.Spot / assetDiscount.Zc(probaMeasure.Date);
LocalVolSimulatorStepDatas[] stepSimulDatas = EnumerableUtils.For(0, simulatedDates.Length,
i => StepSimulDatas(i > 0 ? simulatedDates[i - 1] : market.RefDate, simulatedDates[i],
model, assetDiscount, probaMeasure.Date));
return(new LocalVolEquityPathGenerator(stepSimulDatas, forward));
}
