public IFundingInstrument Clone() => new IrSwap
{
BasisFixed = BasisFixed,
BasisFloat = BasisFloat,
Currency = Currency,
Counterparty = Counterparty,
DiscountCurve = DiscountCurve,
EndDate = EndDate,
FixedLeg = FixedLeg.Clone(),
FloatLeg = FloatLeg.Clone(),
FlowScheduleFixed = FlowScheduleFixed.Clone(),
FlowScheduleFloat = FlowScheduleFloat.Clone(),
ForecastCurve = ForecastCurve,
NDates = NDates,
Notional = Notional,
ParRate = ParRate,
PillarDate = PillarDate,
ResetDates = ResetDates,
ResetFrequency = ResetFrequency,
SolveCurve = SolveCurve,
StartDate = StartDate,
SwapTenor = SwapTenor,
SwapType = SwapType,
TradeId = TradeId,
RateIndex = RateIndex,
PortfolioName = PortfolioName,
HedgingSet = HedgingSet
};
public double Pv(IFundingModel model, bool updateState)
{
var updateDf = updateState || (model.CurrentSolveCurve == DiscountCurve);
var updateEst = updateState || (model.CurrentSolveCurve == ForecastCurve);
var discountCurve = model.Curves[DiscountCurve];
var forecastCurve = model.Curves[ForecastCurve];
var fixedPv = FlowScheduleFixed.PV(discountCurve, forecastCurve, updateState, updateDf, updateEst, BasisFloat, null);
var floatPv = FlowScheduleFloat.PV(discountCurve, forecastCurve, updateState, updateDf, updateEst, BasisFloat, null);
return(fixedPv + floatPv);
}