/// <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);
CommodityForwardDealBase deal = (CommodityForwardDealBase)fDeal;
// Add to valuation time grid
fT.AddPayDate(deal.Maturity_Date, requiredResults.CashRequired());
}
/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
base.PreValue(factors);
IAssetPrice commodityPrice;
ISpotProcessVol dummyAssetPriceVol;
((BaseAssetFxDealHelper)GetDealHelper()).PreValueAsset(out commodityPrice, out dummyAssetPriceVol, out fBasketPricer, ref fQuantoCompo, factors);
CommodityForwardDealBase deal = (CommodityForwardDealBase)fDeal;
double scale = (deal.Buy_Sell == BuySell.Buy ? +1 : -1) * deal.Units;
double tMaturity = CalcUtils.DaysToYears(deal.Maturity_Date - factors.BaseDate);
TimeGridIterator tgi = new TimeGridIterator(fT);
CashAccumulators cash = valuationResults.Cash;
PVProfiles result = valuationResults.Profile;
VectorEngine.For(tgi, () =>
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector pv = cache.Get();
if (tgi.Date <= deal.Maturity_Date)
{
pv.Assign(commodityPrice.ForwardFactor(tgi.T, tMaturity, fFxRate) * commodityPrice.Get(tgi.T)); // assign forward * fxRate to pv
pv.Assign((pv - deal.Forward_Price * fFxRate.Get(tgi.T)) * fDiscountRate.Get(tgi.T, tMaturity) * scale);
}
else
{
pv.Clear();
}
result.AppendVector(tgi.Date, pv);
if (tgi.Date == deal.Maturity_Date)
{
cash.Accumulate(fFxRate, deal.Maturity_Date, (commodityPrice.Get(tMaturity) / fFxRate.Get(tMaturity) - deal.Forward_Price) * scale);
}
}
});
result.Complete(fT);
}
