/// <summary>
/// Get carry rate from forward factor.
/// </summary>
protected override void GetCarryRate(Vector b, Vector forwardFactor, double t, double tPay)
{
Double date = fBaseDate + CalcUtils.YearsToDays(t);
Double payDate = fBaseDate + CalcUtils.YearsToDays(tPay);
b.Assign(VectorMath.Log(forwardFactor) / CalcUtils.DayCountFraction(date, payDate, DayCount.BUS_252, ((IDIOptionDeal)Deal).Calendar()));
}
/// <summary>
/// Gets the discount rate used in the option valuation formula.
/// </summary>
protected override void GetDiscountRate(Vector r, IInterestRate discountRate, double t, double tPay)
{
Double date = fBaseDate + CalcUtils.YearsToDays(t);
Double payDate = fBaseDate + CalcUtils.YearsToDays(tPay);
r.Assign(VectorMath.Log(discountRate.Get(t, tPay)) / CalcUtils.DayCountFraction(payDate, date, DayCount.BUS_252, ((IDIOptionDeal)Deal).Calendar()));
}
/// <summary>
/// Prepare for valuation anything that will be shared between scenarios.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
FixedInterestCashflowDeal deal = (FixedInterestCashflowDeal)fDeal;
int sign = (deal.Buy_Sell == BuySell.Buy ? +1 : -1);
double accrualDayCountFraction = CalcUtils.DayCountFraction(deal.Accrual_Start_Date, deal.Accrual_End_Date, deal.Accrual_Day_Count, deal.GetHolidayCalendar());
fAmount = sign * deal.Notional * accrualDayCountFraction * deal.Fixed_Rate;
}
/// <summary>
/// Calculate the dates and years fractions not specified on the deal and get any known rates.
/// </summary>
public void Prepare(double baseDate, RateFixingsProvider rateFixings)
{
// Calculates various date properties of the deal and cache them.
var deal = (FloatingInterestCashflowInterpolatedDeal)Deal;
var accrualCalendars = deal.GetAccrualHolidayCalendars();
var rateCalendars = deal.GetRateHolidayCalendars();
fPaymentDate = deal.Payment_Date;
if (deal.Accrual_Year_Fraction > 0.0)
{
fAccrualYearFraction = deal.Accrual_Year_Fraction;
}
else
{
fAccrualYearFraction = CalcUtils.DayCountFraction(deal.Accrual_Start_Date, deal.Accrual_End_Date, deal.Accrual_Day_Count, accrualCalendars);
}
fKnownResetRate1 = null;
fKnownResetRate2 = null;
if (deal.HasRate1())
{
if (deal.Rate_1_End_Date > 0.0)
{
fRate1EndDate = deal.Rate_1_End_Date;
}
else
{
fRate1EndDate = DateAdjuster.Add(deal.Rate_Start_Date, deal.Rate_1_Tenor, 1, rateCalendars, true, deal.Rate_Adjustment_Method, deal.Rate_Sticky_Month_End == YesNo.Yes).ToOADate();
}
if (deal.Rate_1_Year_Fraction > 0.0)
{
fRate1YearFraction = deal.Rate_1_Year_Fraction;
}
else
{
fRate1YearFraction = CalcUtils.DayCountFraction(deal.Rate_Start_Date, fRate1EndDate, deal.Rate_Day_Count, rateCalendars, deal.Rate_1_Tenor);
}
fKnownResetRate1 = GetKnownResetRate(baseDate, deal.Reset_Date, fPaymentDate, deal.Use_Known_Rate_1, deal.Known_Rate_1, deal.Rate_1_Fixing, rateFixings, deal);
}
if (deal.HasRate2())
{
if (deal.Rate_2_End_Date > 0.0)
{
fRate2EndDate = deal.Rate_2_End_Date;
}
else
{
fRate2EndDate = DateAdjuster.Add(deal.Rate_Start_Date, deal.Rate_2_Tenor, 1, rateCalendars, true, deal.Rate_Adjustment_Method, deal.Rate_Sticky_Month_End == YesNo.Yes).ToOADate();
}
if (deal.Rate_2_Year_Fraction > 0.0)
{
fRate2YearFraction = deal.Rate_2_Year_Fraction;
}
else
{
fRate2YearFraction = CalcUtils.DayCountFraction(deal.Rate_Start_Date, fRate2EndDate, deal.Rate_Day_Count, rateCalendars, deal.Rate_2_Tenor);
}
fKnownResetRate2 = GetKnownResetRate(baseDate, deal.Reset_Date, fPaymentDate, deal.Use_Known_Rate_2, deal.Known_Rate_2, deal.Rate_2_Fixing, rateFixings, deal);
}
}