/// <summary>
/// Ensure the parameters are correct.
/// </summary>
/// <param name='p_Context'>
/// The underlying project.
/// </param>
/// <returns>
/// False if the parameter were correct.
/// </returns>
public bool Parse(IProject p_Context)
{
bool errors = false;
List <IExportable> list = this.ExportObjects(false);
foreach (IExportable parameter in list)
{
if (parameter is IParsable)
{
BoolHelper.AddBool(errors, (parameter as IParsable).Parse(p_Context));
}
}
if (this.zrReference.Expression.IndexOf("@") == -1)
{
p_Context.AddError(this.zrReference.Expression +
" is not a reference to a zero rate curve");
}
if (this.dyReference.Expression.IndexOf("@") == -1)
{
p_Context.AddError(this.dyReference.Expression +
" is not a reference to a dividend yield curve");
}
return(RetrieveCurve(p_Context, errors));
}
/// <summary>
/// Parses the object and checks if all the restraints of the 2D Point Function
/// have been respected, if not will return an error to the parser.
/// </summary>
/// <remarks>
/// Note that this method caches the object status, so any changes done to its data
/// will require this method to be called again in order to update the cache.
/// </remarks>
/// <param name="context">The project in which to parse the object.</param>
/// <returns>True if an error occurred during the parsing, False otherwise.</returns>
public override bool Parse(IProject context)
{
try
{
this.function = new CPointFunction2D(this.coordinatesX, this.coordinatesY,
this.values, this.interpolationType,
this.extrapolationType);
CreateSymbol(context as Project);
}
catch (Exception e)
{
string msg = e.Message + " for the 2D Function " + base.Name;
if (context != null)
{
context.AddError(msg);
}
else
{
throw e;
}
// Return true as an error was raised during the parsing.
return(true);
}
// Return false as no error have raised during the parsing.
return(false);
}
/// <summary>
/// Retrieves zr and dy curve from the model.
/// </summary>
/// <param name="p_Context">The parameter is not used.</param>
/// <param name="errors">
/// The current status of errors, if errors happened previously to this call.
/// </param>
/// <returns>True if there have been errors during this call or before.</returns>
private bool RetrieveCurve(IProject p_Context, bool errors)
{
// check the presence of a zero rate curve
object zrref = Engine.Parser.EvaluateAsReference(this.zrReference.Expression);
if (!Engine.Parser.GetParserError())
{
this.zrCurve = zrref as Function;
if (this.zrCurve == null)
{
errors = true;
p_Context.AddError("Cannot find the zero rate curve " +
this.zrReference.Expression);
}
}
else
{
errors = true;
}
// check the presence of a dividend yield curve
object dyref = Engine.Parser.EvaluateAsReference(this.dyReference.Expression);
if (!Engine.Parser.GetParserError())
{
this.dyCurve = dyref as Function;
if (this.dyCurve == null)
{
errors = true;
p_Context.AddError("Cannot find the dividend yield curve " +
this.dyReference.Expression);
}
}
else
{
errors = true;
}
return(errors);
}
/// <summary>
/// Ensure the parameters are correct.
/// </summary>
/// <param name='p_Context'>
/// The underlying project.
/// </param>
/// <returns>
/// False if there were no parse errors.
/// </returns>
public bool Parse(IProject p_Context)
{
bool errors = false;
BoolHelper.AddBool(errors, this.a1.Parse(p_Context));
BoolHelper.AddBool(errors, this.sigma1.Parse(p_Context));
if (this.zr.Expression.IndexOf("@") == -1)
{
p_Context.AddError(this.zr.Expression + " is not a reference to a zero rate curve");
}
object zrReference = Engine.Parser.EvaluateAsReference(this.zr.Expression);
if (!Engine.Parser.GetParserError())
{
this.zeroRateCurve = zrReference as Function;
if (this.zeroRateCurve == null)
{
errors = true;
p_Context.AddError("Cannot find the Zero Rate Curve! " + this.zr.Expression);
}
}
else
{
errors = true;
}
if (!errors)
{
this.alpha1Temp = this.a1.fV();
this.sigma1Temp = this.sigma1.fV();
this.sigma1SquaredTemp = Math.Pow(this.sigma1Temp, 2);
CalculateGamma();
}
return(errors);
}
/// <summary>
/// Validates the data of the object.
/// </summary>
/// <returns>true if the data has been successfully validated, false otherwise.</returns>
private bool Validation(IProject p_Context)
{
if (ValidVectorRef())
{
return(true);
}
else
{
// The start date must antecede than the end date
bool valid = this.StartDate.CompareTo(EndDate) <= 0;
if (!valid && p_Context != null)
{
p_Context.AddError("Date Sequence " + VarName + " is not valid: 'Start Date' must antecede 'End Date'");
}
return(valid);
}
}
/// <summary>
/// Validates the data of the object.
/// </summary>
/// <returns>true if the data has been successfully validated, false otherwise.</returns>
private bool Validation(IProject p_Context)
{
// The start date must antecede than the end date
bool valid=this.StartDate.CompareTo(EndDate) <= 0;
if (!valid && p_Context != null)
{
p_Context.AddError("Date Sequence " + VarName + " is not valid: 'Start Date' must antecede 'End Date'");
}
return valid;
}
/// <summary>
/// Ensure the parameters are correct.
/// </summary>
/// <param name='p_Context'>
/// The underlying project.
/// </param>
/// <returns>
/// False if there were no parse errors.
/// </returns>
public bool Parse(IProject p_Context)
{
bool errors = false;
BoolHelper.AddBool(errors, this.a1.Parse(p_Context));
BoolHelper.AddBool(errors, this.sigma1.Parse(p_Context));
if (this.zr.Expression.IndexOf("@") == -1)
{
p_Context.AddError(this.zr.Expression + " is not a reference to a zero rate curve");
}
object zrReference = Engine.Parser.EvaluateAsReference(this.zr.Expression);
if (!Engine.Parser.GetParserError())
{
this.zeroRateCurve = zrReference as Function;
if (this.zeroRateCurve == null)
{
errors = true;
p_Context.AddError("Cannot find the Zero Rate Curve! " + this.zr.Expression);
}
}
else
errors = true;
if (!errors)
{
this.alpha1Temp = this.a1.fV();
this.sigma1Temp = this.sigma1.fV();
this.sigma1SquaredTemp = Math.Pow(this.sigma1Temp, 2);
CalculateGamma();
}
return errors;
}
/// <summary>
/// Parses the data and ensures the parameters are correct.
/// </summary>
/// <param name='p_Context'>
/// The underlying project.
/// </param>
/// <returns>
/// False if there were no parse errors.
/// </returns>
public bool Parse(IProject p_Context)
{
this.context = p_Context as Project;
bool errors = false;
BoolHelper.AddBool(errors, this._a1.Parse(p_Context));
BoolHelper.AddBool(errors, this._a2.Parse(p_Context));
BoolHelper.AddBool(errors, this._s1.Parse(p_Context));
BoolHelper.AddBool(errors, this._s2.Parse(p_Context));
BoolHelper.AddBool(errors, this._rho.Parse(p_Context));
BoolHelper.AddBool(errors, this.driftAdjustment.Parse(p_Context));
if (this._zr.Expression.IndexOf("@") == -1)
{
p_Context.AddError(this._zr.Expression +
" is not a reference to a zero rate curve");
}
// Checks for the model constraints: alpha1 != alhpa2
if (Math.Abs(this._a1.fV() - this._a2.fV()) < 10e-5)
{
p_Context.AddError("H&W2: alpha1 and alpha2 must be different");
}
object zr_reference = Engine.Parser.EvaluateAsReference(this._zr.Expression);
if (!Engine.Parser.GetParserError())
{
this.zeroRateCurve = zr_reference as Function;
if (this.zeroRateCurve == null)
{
errors = true;
p_Context.AddError("Cannot find the Zero Rate Curve! " + this._zr.Expression);
}
}
else
{
errors = true;
}
if (!errors)
{
base.alpha1 = this._a1.fV();
base.sigma1 = this._s1.fV();
this.sigma1Pow2 = System.Math.Pow(this._s1.fV(), 2);
}
CorrelationMatrix R = (p_Context as ProjectProcess).Processes.r;
int index = (p_Context as ProjectProcess).Processes.GetProcessCorrelationIndex(this);
// Index is -1 is when the process is not still in the process list.
if (index != -1)
{
// Updates the correlation in the global correlation matrix.
R.Set(index, index + 1, this._rho);
}
return(errors);
}
/// <summary>
/// Parses the object and checks if all the restraints of the 2D Point Function
/// have been respected, if not will return an error to the parser.
/// </summary>
/// <remarks>
/// Note that this method caches the object status, so any changes done to its data
/// will require this method to be called again in order to update the cache.
/// </remarks>
/// <param name="context">The project in which to parse the object.</param>
/// <returns>True if an error occurred during the parsing, False otherwise.</returns>
public override bool Parse(IProject context)
{
try
{
this.function = new CPointFunction2D(this.coordinatesX, this.coordinatesY,
this.values, this.interpolationType,
this.extrapolationType);
CreateSymbol(context as Project);
}
catch (Exception e)
{
string msg = e.Message + " for the 2D Function " + base.Name;
if (context != null)
{
context.AddError(msg);
}
else
{
throw e;
}
// Return true as an error was raised during the parsing.
return true;
}
// Return false as no error have raised during the parsing.
return false;
}
/// <summary>
/// Retrieves zr and dy curve from the model.
/// </summary>
/// <param name="p_Context">The parameter is not used.</param>
/// <param name="errors">
/// The current status of errors, if errors happened previously to this call.
/// </param>
/// <returns>True if there have been errors during this call or before.</returns>
private bool RetrieveCurve(IProject p_Context, bool errors)
{
// check the presence of a zero rate curve
object zrref = Engine.Parser.EvaluateAsReference(this.r.Expression);
if (!Engine.Parser.GetParserError())
{
this.zrCurve = zrref as Function;
if (this.zrCurve == null)
{
errors = true;
p_Context.AddError("Cannot find the zero rate curve " +
this.r.Expression);
}
}
else
errors = true;
// check the presence of a dividend yield curve
object dyref = Engine.Parser.EvaluateAsReference(this.q.Expression);
if (!Engine.Parser.GetParserError())
{
this.dyCurve = dyref as Function;
if (this.dyCurve == null)
{
errors = true;
p_Context.AddError("Cannot find the dividend yield curve " +
this.q.Expression);
}
}
else
errors = true;
return errors;
}
/// <summary>
/// Parses the data and ensures the parameters are correct.
/// </summary>
/// <param name='p_Context'>
/// The underlying project.
/// </param>
/// <returns>
/// False if there were no parse errors.
/// </returns>
public bool Parse(IProject p_Context)
{
this.context = p_Context as Project;
bool errors = false;
BoolHelper.AddBool(errors, this._a1.Parse(p_Context));
BoolHelper.AddBool(errors, this._a2.Parse(p_Context));
BoolHelper.AddBool(errors, this._s1.Parse(p_Context));
BoolHelper.AddBool(errors, this._s2.Parse(p_Context));
BoolHelper.AddBool(errors, this._rho.Parse(p_Context));
BoolHelper.AddBool(errors, this.driftAdjustment.Parse(p_Context));
if (this._zr.Expression.IndexOf("@") == -1)
{
p_Context.AddError(this._zr.Expression +
" is not a reference to a zero rate curve");
}
// Checks for the model constraints: alpha1 != alhpa2
if (Math.Abs(this._a1.fV() - this._a2.fV()) < 10e-5)
{
p_Context.AddError("H&W2: alpha1 and alpha2 must be different");
}
object zr_reference = Engine.Parser.EvaluateAsReference(this._zr.Expression);
if (!Engine.Parser.GetParserError())
{
this.zeroRateCurve = zr_reference as Function;
if (this.zeroRateCurve == null)
{
errors = true;
p_Context.AddError("Cannot find the Zero Rate Curve! " + this._zr.Expression);
}
}
else
errors = true;
if (!errors)
{
base.alpha1 = this._a1.fV();
base.sigma1 = this._s1.fV();
this.sigma1Pow2 = System.Math.Pow(this._s1.fV(), 2);
}
CorrelationMatrix R = (p_Context as ProjectProcess).Processes.r;
int index = (p_Context as ProjectProcess).Processes.GetProcessCorrelationIndex(this);
// Index is -1 is when the process is not still in the process list.
if (index != -1)
{
// Updates the correlation in the global correlation matrix.
R.Set(index, index + 1, this._rho);
}
return errors;
}
/// <summary>
/// Parses the object.
/// </summary>
/// <param name="context">The project in which to parse the object.</param>
/// <returns>True if an error occurred during the parsing, False otherwise.</returns>
public override bool Parse(IProject context)
{
try
{
function = new CPointFunction2D(cordinatesX, cordinatesY, values,
interpolationType, extrapolationType);
}
catch (Exception e)
{
context.AddError(e.Message + " for the 2D Function " + base.Name);
return false;
}
return base.Parse(context);
}
/// <summary>
/// Ensure the parameters are correct.
/// </summary>
/// <param name='p_Context'>
/// The underlying project.
/// </param>
/// <returns>
/// False if the parameter were correct.
/// </returns>
public bool Parse(IProject p_Context)
{
bool errors = false;
List<IExportable> list = this.ExportObjects(false);
foreach (IExportable parameter in list)
{
if (parameter is IParsable)
BoolHelper.AddBool(errors, (parameter as IParsable).Parse(p_Context));
}
if (this.zrReference.Expression.IndexOf("@") == -1)
{
p_Context.AddError(this.zrReference.Expression +
" is not a reference to a zero rate curve");
}
if (this.dyReference.Expression.IndexOf("@") == -1)
{
p_Context.AddError(this.dyReference.Expression +
" is not a reference to a dividend yield curve");
}
return RetrieveCurve(p_Context, errors);
}
