/// <summary>
/// Create European option pricer prior to valuation.
/// </summary>
protected override void CreateOption(double baseDate, VectorScopedCache.Scope cache)
{
var deal = (IDIOptionDeal)Deal;
base.CreateOption(baseDate, cache);
fEuroPricer = new EuropeanOption(deal.Option_Type, fStrike, deal.Expiry_Date, deal.Expiry_Date, deal.Expiry_Date, baseDate, cache, DayCount.BUS_252, deal.Calendar());
}
private static void CreateVectorArrays(Vector[] df, VectorScopedCache.Scope cache, Vector[] coupon, Vector[] coefficient, Vector[] stdDev)
{
int count = df.Length;
VectorEngine.For(0, count, i =>
{
df[i] = cache.GetClear();
coupon[i] = cache.GetClear();
coefficient[i] = cache.GetClear();
stdDev[i] = cache.GetClear();
return(LoopAction.Continue);
});
}
/// <summary>
/// Returns the energy option pricer.
/// </summary>
protected virtual EnergySpreadOptionPricer GetEnergyOptionPricer(ForwardPriceSample forwardSample, IReferencePrice referencePrice, ReferenceVol referenceVol, double baseDate, double tExpiry, double periodStart, double periodEnd, double realisedAverage, TDate realisedAverageDate, VectorScopedCache.Scope cache)
{
// Price samples
List <TDate> priceSamples = forwardSample.GetSamplesList(periodStart, periodEnd).ToList();
return(new EnergySpreadOptionPricer(
baseDate,
tExpiry,
priceSamples,
forwardSample.Offset,
realisedAverage,
realisedAverageDate,
referencePrice,
referenceVol,
fFxRate,
fPriceFactorFxRate,
fFxPayoffRate,
cache));
}
/// <summary>
/// Constructor.
/// </summary>
public CreditValuationParameters(DealCreditBase deal, CreditBaseValuation valuation, PriceFactorList factors, VectorScopedCache.Scope cache)
{
DF = DiscountRate.Get(factors, InterestRateUtils.GetRateId(deal.Discount_Rate, deal.Currency));
X = factors.GetInterface <IFxRate>(deal.Currency);
SP = factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Name : deal.Survival_Probability);
RR = null;
CR = null;
DefaultTime = null;
Weights = null;
NamesDefaultedBeforeBaseDate = null;
if (valuation.Respect_Default == YesNo.Yes)
{
List <string> names = new List <string>();
if (deal.ProtectionReferenceType() == DealCreditBase.ReferenceType.Single_Name)
{
names.Add(deal.Name);
Weights = new double[] { 1.0 };
}
else
{
IndexCDSPool indexCds = factors.Get <IndexCDSPool>(deal.Name);
Weights = new double[indexCds.Names.Count];
for (int i = 0; i < indexCds.Names.Count; ++i)
{
names.Add(indexCds.Names[i].Name);
Weights[i] = indexCds.Names[i].Weight;
}
}
if (valuation.RequiresRecoveryOnDefault())
{
RR = new RecoveryRate[names.Count];
for (int i = 0; i < names.Count; ++i)
{
RR[i] = factors.Get <RecoveryRate>(string.IsNullOrEmpty(deal.Recovery_Rate) ? names[i] : deal.Recovery_Rate);
}
}
CR = new CreditRating[names.Count];
NamesDefaultedBeforeBaseDate = new bool[names.Count];
DefaultTime = new Vector[names.Count];
for (int i = 0; i < names.Count; ++i)
{
DefaultTime[i] = cache.Get();
CR[i] = factors.Get <CreditRating>(names[i]);
NamesDefaultedBeforeBaseDate[i] = CreditRating.DefaultedBeforeBaseDate(CR[i], factors.BaseDate);
CR[i].DefaultTime(DefaultTime[i]);
}
}
}