public AutoCall(ICouponDecomposable underlying, DateTime[] callDates,
Coupon[] redemptionCoupons, IFixingFunction[] triggers)
{
Contract.ForAll(redemptionCoupons, c => c.Financing.Equals(underlying.Financing));
Underlying = underlying;
Financing = underlying.Financing;
CallDates = callDates;
redemptions = callDates.ZipToDictionary(redemptionCoupons);
this.triggers = callDates.ZipToDictionary(triggers);
}
private IProduct BuildCombination(ParseTreeNode leftNode, ParseTreeNode rightNode, string op, object[,] bag)
{
ICouponDecomposable left = BuildProduct(leftNode, bag) as ICouponDecomposable;
ICouponDecomposable right = BuildProduct(rightNode, bag) as ICouponDecomposable;
switch (op)
{
case "+":
return(DecomposableLinearCombination.Create(new[] { 1.0, 1.0 }, new[] { left, right }));
case "-":
return(DecomposableLinearCombination.Create(new[] { 1.0, -1.0 }, new[] { left, right }));
default:
throw new Exception("BUG should never get there !");
}
}
private IProduct BuilAutoCall(ICouponDecomposable underlying, object[,] bag)
{
var parameters = bag.ProcessLabelledMatrix("AutocallDate",
DateAndDurationConverter.ConvertDate,
o => o.ToString(), o => o);
var redemptionScripts = parameters.GetColFromLabel("Redemption", o => o.ToString());
var currencies = parameters.GetColFromLabel("RedemptionCurrency", o => Currency.Parse(o.ToString()));
var payDates = parameters.GetColFromLabel("RedemptionDate", DateAndDurationConverter.ConvertDate);
PaymentInfo[] payInfos = payDates.ZipWith(currencies, (d, c) => new PaymentInfo(c, d));
IFixingFunction[] redemptionPayoffs = DslPayoffFactory.Build("AutocallDate", parameters, redemptionScripts);
var redemptionCoupons = redemptionPayoffs.ZipWith(payInfos, (payoff, payInfo) => new Coupon(payInfo, payoff));
var triggerScripts = parameters.GetColFromLabel("AutocallTrigger", o => o.ToString());
var triggers = DslPayoffFactory.Build("AutocallDate", parameters, triggerScripts);
return(new AutoCall(underlying, parameters.RowLabels, redemptionCoupons, triggers));
}
public static DecomposableLinearCombination Create(double[] weights, ICouponDecomposable[] decomposables)
{
Debug.Assert(weights.Length == decomposables.Length);
var weightsList = new List <double>();
var decompList = new List <ICouponDecomposable>();
for (int i = 0; i < weights.Length; i++)
{
double weight = weights[i];
ICouponDecomposable decomp = decomposables[i];
var lc = decomp as DecomposableLinearCombination;
if (lc != null)
{
decompList.AddRange(lc.decomposables);
weightsList.AddRange(lc.weights.Map(w => w * weight));
}
else
{
decompList.Add(decomp);
weightsList.Add(weight);
}
}
return(new DecomposableLinearCombination(weightsList.ToArray(), decompList.ToArray()));
}
public DateTime[] Visit(ICouponDecomposable couponDecomposable)
{
return(couponDecomposable.Decomposition().Aggregate(new DateTime[0],
(allEventDates, cpn) => allEventDates.Union(cpn.Accept(this)).ToArray()));
}
public IFixing[] Visit(ICouponDecomposable couponDecomposable)
{
var fixings = EnumerableUtils.Merge(couponDecomposable.Decomposition().Map(Visit));
return(fixings.OrderBy(f => f.Date).ToArray());
}
public PaymentInfo[] Visit(ICouponDecomposable couponDecomposable)
{
return(couponDecomposable.Decomposition().Aggregate(new PaymentInfo[0],
(allPayments, cpn) => allPayments.Union(cpn.Accept(this)).ToArray()));
}
public IProductPathFlow Visit(ICouponDecomposable couponDecomposable)
{
var couponFlows = BuildCouponPathFlow(couponDecomposable.Decomposition());
return(new CouponArrayPathFlow(couponFlows));
}
