/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
TimeGridIterator tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
CashAccumulators cashAccumulators = valuationResults.Cash;
FixedCashflowBaseDeal deal = (FixedCashflowBaseDeal)fDeal;
double payDate = deal.Payment_Date;
double tPay = CalcUtils.DaysToYears(payDate - factors.BaseDate);
VectorEngine.For(tgi, () =>
{
if (tgi.Date == payDate)
{
result.AppendVector(tgi.Date, fFxRate.Get(tgi.T) * fAmount);
}
else
{
result.AppendVector(tgi.Date, fFxRate.Get(tgi.T) * fDiscountRate.Get(tgi.T, tPay) * fAmount);
}
});
if (!cashAccumulators.Ignore && factors.BaseDate <= payDate && payDate <= fT.fHorizon)
{
cashAccumulators.Accumulate(fFxRate, payDate, fAmount);
}
result.Complete(fT);
}
/// <summary>
/// Prepare for valuation anything that will be shared between scenarios.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
FixedCashflowBaseDeal deal = (FixedCashflowBaseDeal)fDeal;
// Add to valuation time grid
fT.AddPayDate(deal.Payment_Date);
}
/// <summary>
/// Single date valuation function.
/// </summary>
public void Value(Vector pv, Vector cash, double baseDate, double valueDate, Vector settlementDate, IInterestRate discount,
IInterestRate forecast, IInterestRate repo, IInterestRateVol interestRateVol, IInterestYieldVol interestYieldVol,
ISurvivalProb survivalProb, ISACCRResult saccrResult, IIntraValuationDiagnosticsWriter intraValuationDiagnosticsWriter)
{
FixedCashflowBaseDeal deal = (FixedCashflowBaseDeal)fDeal;
double payDate = deal.Payment_Date;
if (payDate < valueDate)
{
return;
}
using (var cache = Vector.CacheLike(pv))
{
Vector amount = cache.Get(fAmount);
if (settlementDate != null)
{
amount.MultiplyBy(settlementDate < payDate);
}
if (payDate == valueDate)
{
pv.Assign(amount);
if (cash != null)
{
cash.Assign(amount);
}
}
else
{
double t = CalcUtils.DaysToYears(valueDate - baseDate);
double tPay = CalcUtils.DaysToYears(payDate - baseDate);
if (survivalProb != null)
{
pv.Assign(amount * discount.Get(t, tPay) * survivalProb.Get(t, tPay));
}
else
{
pv.Assign(amount * discount.Get(t, tPay));
}
}
}
}
