/// <summary>
/// Calculate forward price, discount factor and volatility.
/// </summary>
protected override void PriceAndVolatility(double baseDate, double valueDate, Vector forwardPrice, Vector discountFactor, Vector volatility)
{
CommodityFutureOption deal = (CommodityFutureOption)Deal;
double t = CalcUtils.DaysToYears(valueDate - baseDate);
double tSettle = CalcUtils.DaysToYears(deal.Settlement_Date - baseDate);
// Get spot price in contract currency
forwardPrice.Assign(fCommodityPrice.Get(t) / fFxRate.Get(t));
if (volatility != null)
{
double tExpiry = CalcUtils.DaysToYears(deal.Expiry_Date - baseDate);
if (tExpiry > t)
{
// temporary use of discountFactor vector to store strike
discountFactor.Assign(deal.Strike);
// Get volatility using spot price and strike
volatility.Assign(fCommodityPriceVol.Get(t, forwardPrice, discountFactor, tExpiry));
}
else
{
volatility.Clear();
}
}
fDiscountRate.GetValue(discountFactor, t, tSettle);
// Get forward factor and complete calculation of forward price
forwardPrice.MultiplyBy(fCommodityPrice.ForwardFactor(t, tSettle, fFxRate));
}
/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
CommodityFutureOption deal = (CommodityFutureOption)Deal;
deal.GetCommodityDealHelper().PreValueAsset(out fCommodityPrice, out fCommodityPriceVol, factors);
}
/// <summary>
/// Register price factors.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
base.RegisterFactors(factors, errors);
CommodityFutureOption deal = (CommodityFutureOption)Deal;
deal.GetCommodityDealHelper().RegisterFactors(factors, errors);
}
