/// <summary>
/// Initializes the simulators by telling them at which dates they will need to provide which market indices.
/// </summary>
/// <param name="valueDate"></param>
/// <param name="portfolio"></param>
/// <param name="fwdDates">Extra dates over and above the contract dates where the simulators will need to
/// provide their indices. This is likely to be forward values required in EPE and PFE profiles.</param>
/// <param name="numeraireSimulator"></param>
/// <param name="mappedSimulators"></param>
/// <param name="availableSimulators"></param>
private static void PrepareSimulators(Date valueDate, List <IProduct> portfolio, List <Date> fwdDates,
NumeraireSimulator numeraireSimulator, Dictionary <MarketObservable, Simulator> mappedSimulators,
List <Simulator> availableSimulators)
{
// Reset all the simulators
foreach (var simulator in availableSimulators)
{
simulator.Reset();
}
// Set up the simulators for the times at which they will be queried
foreach (var product in portfolio)
{
product.SetValueDate(valueDate);
// Tell the simulators at what times indices will be required.
foreach (var index in product.GetRequiredIndices())
{
var requiredTimes = product.GetRequiredIndexDates(index);
mappedSimulators[index].SetRequiredDates(index, requiredTimes);
mappedSimulators[index].SetRequiredDates(index, fwdDates);
}
// Tell the numeraire simulator at what times it will be required.
// Tell the FX simulators at what times they will be required.
foreach (var ccy in product.GetCashflowCurrencies())
{
var requiredDates = product.GetCashflowDates(ccy);
numeraireSimulator.SetNumeraireDates(requiredDates);
numeraireSimulator.SetNumeraireDates(fwdDates);
if (ccy != numeraireSimulator.GetNumeraireCurrency())
{
var ccyPair = GetCcyPair(numeraireSimulator, ccy);
mappedSimulators[ccyPair].SetRequiredDates(ccyPair, requiredDates);
mappedSimulators[ccyPair].SetRequiredDates(ccyPair, fwdDates);
}
}
foreach (var simulator in availableSimulators)
{
simulator.Prepare(valueDate);
}
numeraireSimulator.Prepare(valueDate);
}
// Prepare all the simulators
foreach (var simulator in availableSimulators)
{
simulator.Prepare(valueDate);
}
}
/// <summary>
/// Initializes the simulators by telling them at which dates they will need to provide which market indices.
/// </summary>
/// <param name="extraDates">Extra dates over and above the contract dates where the simulators will need to
/// provide their indices.</param>
private void InitializeSimulators(List <Product> portfolio, List <Date> extraDates)
{
// Reset all the simulators
foreach (Simulator simulator in simulators)
{
simulator.Reset();
}
// Set up the simulators for the times at which they will be queried
foreach (Product product in portfolio)
{
product.SetValueDate(valueDate);
// Tell the simulators at what times indices will be required.
foreach (MarketObservable index in product.GetRequiredIndices())
{
List <Date> requiredTimes = product.GetRequiredIndexDates(index);
simulators[indexSources[index]].SetRequiredDates(index, requiredTimes);
simulators[indexSources[index]].SetRequiredDates(index, extraDates);
}
// Tell the nummeraire simulator at what times it will be required.
// Tell the FX simulators at what times they will be required.
foreach (Currency ccy in product.GetCashflowCurrencies())
{
List <Date> requiredDates = product.GetCashflowDates(ccy);
numeraire.SetNumeraireDates(requiredDates);
numeraire.SetNumeraireDates(extraDates);
if (ccy != numeraire.GetNumeraireCurrency())
{
MarketObservable index = new CurrencyPair(ccy, numeraire.GetNumeraireCurrency());
simulators[indexSources[index]].SetRequiredDates(index, requiredDates);
simulators[indexSources[index]].SetRequiredDates(index, extraDates);
}
}
}
// Prepare all the simulators
foreach (Simulator simulator in simulators)
{
simulator.Prepare();
}
}