public AutocallPathFlow(CouponPathFlow[] underlyingPathFlows,
CouponPathFlow[] redemptionPathFlows,
FixingFuncPathValue[] triggers,
int[] underlyingCallIndexes)
{
Contract.Requires(redemptionPathFlows.Length == triggers.Length);
Contract.Requires(underlyingCallIndexes.Length == triggers.Length);
this.underlyingPathFlows = underlyingPathFlows;
this.redemptionPathFlows = redemptionPathFlows;
this.triggers = triggers;
this.underlyingCallIndexes = underlyingCallIndexes;
var underlyingFixings = underlyingPathFlows.Map(pf => pf.PayoffPathValues.FixingFunction.Fixings);
var redemptionFixings = redemptionPathFlows.Map(pf => pf.PayoffPathValues.FixingFunction.Fixings);
var triggerFixings = triggers.Map(pf => pf.FixingFunction.Fixings);
Fixings = EnumerableUtils.Merge(underlyingFixings)
.MergeWith(redemptionFixings)
.MergeWith(triggerFixings);
var underlyingLabels = underlyingPathFlows.Map(pf => pf.CouponLabel);
var redemptionLabels = redemptionPathFlows.Map(pf => pf.CouponLabel);
labels = EnumerableUtils.Append(underlyingLabels, redemptionLabels);
var underlyingPayments = underlyingLabels.Map(l => l.Payment);
var redemptionPayments = redemptionLabels.Map(l => l.Payment);
Payments = EnumerableUtils.Append(underlyingPayments, redemptionPayments);
}
/// <summary>
/// Gets a list of involved <see cref="IZincElement"/> instances that are the children of
/// this <see cref="IZincElement"/>.
/// </summary>
/// <returns>
/// An <see cref="T:System.Collections.Generic.IEnumerable`1"/> instance of
/// <see cref="IZincElement"/> that are the childrens of this <see cref="IZincBox"/> instance.
/// </returns>
public override IEnumerable <IZincElement> Children()
{
return(EnumerableUtils.Append(new IEnumerable <IZincElement>[] {
this.annotations,
this.typeInstExpressions,
base.Children()
}));
}
public Coupon[] Decomposition()
{
Coupon[][] weightedCoupons = weights.ZipWith(decomposables, (w, d) =>
{
var coupons = d.Decomposition();
return(coupons.Map(cpn => new Coupon(cpn.PaymentInfo, new WeightedFixingFunction(w, cpn.Payoff))));
});
return(EnumerableUtils.Append(weightedCoupons));
}
private static Exception[] CollectAggregate(Exception exception)
{
var aggregateExcept = exception as AggregateException;
if (aggregateExcept != null)
{
var inners = aggregateExcept.InnerExceptions.Map(CollectAggregate);
return(EnumerableUtils.Append(inners));
}
return(new[] { exception });
}
public BlackScholesEquityPathGenerator(BsEqtySimulatorStepDatas[] stepDatas, double forward)
{
initialFwd = forward;
pathDates = stepDatas.Map(step => step.Step.Sup);
vols = stepDatas.Map(step => step.Vols);
varDrifts = stepDatas.Map(step => step.VarDrifts);
discounts = stepDatas.Map(step => step.Discounts);
divs = stepDatas.Map(step => step.Dividends);
AllSimulatedDates = EnumerableUtils.Append(stepDatas.Map(data => data.Dates));
}
public LocalVolEquityPathGenerator(LocalVolSimulatorStepDatas[] stepDatas, double forward)
{
initialFwd = forward;
localVols = stepDatas.Map(step => step.LocalVols);
logDiscounts = stepDatas.Map(step => step.Discounts.Map(Math.Log));
divs = stepDatas.Map(step => step.Dividends);
isDivDates = stepDatas.Map(step => step.IsDivDates);
dts = stepDatas.Map(step =>
{
var stepDates = step.Dates;
var stepDts = new double[stepDates.Length];
double prev = step.Step.Inf;
for (int i = 0; i < stepDts.Length; i++)
{
stepDts[i] = stepDates[i] - prev;
prev = stepDates[i];
}
return(stepDts);
});
Dates = stepDatas.Map(step => step.Step.Sup);
AllSimulatedDates = EnumerableUtils.Append(stepDatas.Map(data => data.Dates));
}
/// <summary>
/// Gets a list of involved <see cref="IZincElement"/> instances that are the children of
/// this <see cref="IZincElement"/>.
/// </summary>
/// <returns>
/// An <see cref="T:System.Collections.Generic.IEnumerable`1"/> instance of
/// <see cref="IZincElement"/> that are the childrens of this <see cref="IZincBox"/> instance.
/// </returns>
public override IEnumerable <IZincElement> Children()
{
return(EnumerableUtils.Append(this.NumericExpression2, base.Children()));
}
/// <summary>
/// Gets a list of involved <see cref="IZincElement"/> instances that are the children of
/// this <see cref="IZincElement"/>.
/// </summary>
/// <returns>
/// An <see cref="T:System.Collections.Generic.IEnumerable`1"/> instance of
/// <see cref="IZincElement"/> that are the childrens of this <see cref="IZincBox"/> instance.
/// </returns>
public override IEnumerable<IZincElement> Children () {
return EnumerableUtils.Append (this.TypeInstExpression, base.Children ());
}
/// <summary>
/// Gets a list of involved <see cref="IZincElement"/> instances that are the children of
/// this <see cref="IZincElement"/>.
/// </summary>
/// <returns>
/// An <see cref="T:System.Collections.Generic.IEnumerable`1"/> instance of
/// <see cref="IZincElement"/> that are the childrens of this <see cref="IZincBox"/> instance.
/// </returns>
public override IEnumerable <IZincElement> Children()
{
return(EnumerableUtils.Append <IZincElement> ((IZincElement)this.annotations, base.Children()));
}