/// <summary>
/// Validate model parameters.
/// </summary>
public override void Validate(ErrorList errors)
{
base.Validate(errors);
var deal = (IInflationCashflowListDeal)Deal;
if ((Use_Survival_Probability == YesNo.Yes || Respect_Default == YesNo.Yes) && string.IsNullOrWhiteSpace(deal.Issuer))
{
Deal.AddToErrors(errors, ErrorLevel.Warning, string.Format("For deal valued using {0}, Issuer is missing but Use_Survival_Probability or Respect_Default is set to Yes; valuation of this deal will be treated as if Use_Survival_Probability and Respect_Default are both No.", GetType().Name));
}
}
/// <summary>
/// Register price factors.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
base.RegisterFactors(factors, errors);
var deal = (CFFloatingInterestListDeal)Deal;
if (!IsValidCashflowList(factors, deal))
{
Deal.AddToErrors(errors, ErrorLevel.Error, string.Format("{0} is for cashflow lists consisting of vanilla swaplets, caplets and floorlets", this.DisplayName()));
}
var rateIDs = SetCurrencyAndGetRateIds();
fModelParametersId = string.IsNullOrWhiteSpace(Model_Parameters) ? rateIDs.ForecastId1 : Model_Parameters;
factors.Register <HullWhite1FactorModelParameters>(fModelParametersId);
}
/// <summary>
/// Register price factors.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
base.RegisterFactors(factors, errors);
CFGeneralInterestSpreadListDeal deal = (CFGeneralInterestSpreadListDeal)Deal;
// Collect registered volatility price factors to check they have the same distribution type
var volPriceFactors = new List <IInterestVol>();
// Get spread flow characteristics
SpreadCashflowListCharacteristics spreadCashflowCharacteristics = deal.Cashflows.ValuationPriceFactorDependencies(factors.BaseDate, fCurrency, fForecastCurrency, fForecast2Currency);
// register volatility surfaces for forecast rate1
if (spreadCashflowCharacteristics.NeedForecast1YieldVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestYieldVol(factors, deal.Forecast_Rate1_Swaption_Volatility, fForecastCurrency));
}
if (spreadCashflowCharacteristics.NeedForecast1RateVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestRateVol(factors, deal.Forecast_Rate1_Cap_Volatility, fForecastCurrency));
}
// register volatility surfaces for forecast rate2
if (spreadCashflowCharacteristics.NeedForecast2YieldVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestYieldVol(factors, deal.Forecast_Rate2_Swaption_Volatility, fForecast2Currency));
}
if (spreadCashflowCharacteristics.NeedForecast2RateVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestRateVol(factors, deal.Forecast_Rate2_Cap_Volatility, fForecast2Currency));
}
// vol surfaces for discount rate
if (spreadCashflowCharacteristics.NeedDiscountYieldVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestYieldVol(factors, deal.Discount_Rate_Swaption_Volatility, fCurrency));
}
if (spreadCashflowCharacteristics.NeedDiscountRateVol)
{
volPriceFactors.Add(InterestVolBase.RegisterInterestRateVol(factors, deal.Discount_Rate_Cap_Volatility, fCurrency));
}
bool convexity = spreadCashflowCharacteristics.NeedDiscountYieldVol || spreadCashflowCharacteristics.NeedDiscountRateVol;
if (fForecastCurrency != fCurrency)
{
if (Quanto_Correction == YesNo.Yes)
{
// fx vol, fx/ir correl and forecast/discount correl
FXVolHelper.Register(factors, fForecastCurrency, fCurrency);
CorrelationHelper.Register(factors, typeof(IInterestRate), fForecastCurrency, null, typeof(IFxRate), fForecastCurrency, fCurrency);
}
if (convexity)
{
CorrelationHelper.Register(factors, typeof(IInterestRate), fCurrency, null, typeof(IInterestRate), fForecastCurrency, null);
}
}
if (fForecast2Currency != fCurrency)
{
if (Quanto_Correction == YesNo.Yes)
{
// fx vol, fx/ir correl and forecast/discount correl
FXVolHelper.Register(factors, fForecast2Currency, fCurrency);
CorrelationHelper.Register(factors, typeof(IInterestRate), fForecast2Currency, null, typeof(IFxRate), fForecast2Currency, fCurrency);
}
if (convexity)
{
CorrelationHelper.Register(factors, typeof(IInterestRate), fCurrency, null, typeof(IInterestRate), fForecast2Currency, null);
}
}
if (spreadCashflowCharacteristics.NeedForecast1Forecast2Correlation)
{
if (fForecastCurrency == fForecast2Currency)
{
// correl between forecast rates in same currency
factors.Register <CMSRateCorrelations>(fForecastCurrency);
}
else
{
CorrelationHelper.Register(factors, typeof(IInterestRate), fForecastCurrency, null, typeof(IInterestRate), fForecast2Currency, null);
}
}
if (volPriceFactors.Select(pf => pf.GetDistributionType()).Distinct().Count() > 1)
{
Deal.AddToErrors(errors, "Volatility price factors must have the same distribution type.");
}
ValidateUnnecessaryVolatilities(deal, spreadCashflowCharacteristics, errors);
}