Exemple #1
0
        /// <summary>
        /// Prepare for valuation anything that is dependent upon the scenario.
        /// </summary>
        public override void PreValue(PriceFactorList factors)
        {
            base.PreValue(factors);

            CommodityFuture deal = (CommodityFuture)Deal;

            fCommodityPrice = factors.GetInterface <ICommodityPrice>(deal.Commodity);
        }
Exemple #2
0
        /// <summary>
        /// Register price factors.
        /// </summary>
        public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
        {
            base.RegisterFactors(factors, errors);

            CommodityFuture deal = (CommodityFuture)Deal;

            factors.RegisterInterface <ICommodityPrice>(deal.Commodity);
        }
Exemple #3
0
        /// <summary>
        /// Calculate forward price.
        /// </summary>
        protected override void ForwardPrice(double baseDate, double valueDate, Vector forwardPrice)
        {
            CommodityFuture deal = (CommodityFuture)Deal;

            double t       = CalcUtils.DaysToYears(valueDate - baseDate);
            double tSettle = CalcUtils.DaysToYears(deal.Settlement_Date - baseDate);

            forwardPrice.Assign((fCommodityPrice.ForwardFactor(t, tSettle, fFxRate) * fCommodityPrice.Get(t)) / fFxRate.Get(t));
        }