/// <summary>
/// Collect cashflows realised along the scenario path up to endDate.
/// </summary>
public override void CollectCashflows(CashAccumulators cashAccumulators, double baseDate, double endDate)
{
var deal = (CFEquityFloatingInterestListDeal)Deal;
var equityParams = new EquityCashflowParams((IEquityPrice)fEquity, (EquityPriceVol)fEquityVol, fEquityFXRate, fEquityPayoffFXRate, deal.GetEquityPayoffType(), fEquityQuantoCompo, null, null);
deal.Cashflows.CollectCashflows(cashAccumulators, fFxRate, equityParams, baseDate, endDate, fBuySellSign, fForecastRate, fCutoffDate);
}
/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
base.Value(valuationResults, factors, baseTimes);
var accruedResults = valuationResults.Results <AccruedInterest>();
if (accruedResults == null)
{
return;
}
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector accruedInterest = cache.Get();
var deal = (CFEquityFloatingInterestListDeal)Deal;
var tgi = new TimeGridIterator(fT);
var equityParams = new EquityCashflowParams((EquityPrice)fEquity, (EquityPriceVol)fEquityVol, fEquityFXRate, fEquityPayoffFXRate, deal.GetEquityPayoffType(), fEquityQuantoCompo, null, null);
while (tgi.Next())
{
deal.Cashflows.CalculateAccrual(accruedInterest, equityParams, factors.BaseDate, tgi.Date, accruedResults.AccrueFromToday, deal.GetHolidayCalendar(), deal.Accrual_Day_Count, fForecastRate, fFxRate);
accruedResults.SetValue(tgi.Date, fBuySellSign * accruedInterest);
}
}
}
/// <summary>
/// Value the deal.
/// </summary>
/// <param name="pv">Present value to be updated.</param>
/// <param name="cash">Realised cash to be updated.</param>
public override void Value(Vector pv, Vector cash, double baseDate, double valueDate, ISACCRResult saccrResult,
IIntraValuationDiagnosticsWriter intraValuationDiagnosticsWriter)
{
var deal = (CFEquityFloatingInterestListDeal)Deal;
pv.Clear();
if (cash != null)
{
cash.Clear();
}
var equityParams = new EquityCashflowParams((IEquityPrice)fEquity, (EquityPriceVol)fEquityVol, fEquityFXRate, fEquityPayoffFXRate, deal.GetEquityPayoffType(), fEquityQuantoCompo, null, null);
if (!fForecastIsForeign && fCharacteristics.fIsStandardLibor)
{
// standard swap leg
deal.Cashflows.ValueSwap(pv, cash, baseDate, valueDate, fDiscountRate, fForecastRate, equityParams, fFxRate, intraValuationDiagnosticsWriter, fCutoffDate);
}
else
{
using (var cache = Vector.CacheLike(pv))
{
// Use general equity cashflow list valuation for quanto or convexity corrections.
var irParams = new IRCashflowParams(fForecastRate, fDiscountRate, fForecastRateVol, fDiscountRateVol, fForecastFXVol, fForecastFXCorrel, fForecastDiscountCorrel, cache.Get(1.0), ReferenceEquals(fForecastRate, fDiscountRate), fForecastRate.GetCurrency() != fDiscountRate.GetCurrency(), Convexity_Correction == YesNo.Yes, Quanto_Correction == YesNo.Yes);
deal.Cashflows.Value(pv, cash, baseDate, valueDate, irParams, equityParams, fFxRate, intraValuationDiagnosticsWriter, fCutoffDate);
}
}
pv.Assign(fBuySellSign * pv);
if (cash != null)
{
cash.AssignProduct(fBuySellSign, cash);
}
}
