/// <summary>
/// Builds this instance and retruns the underlying instrument associated with the controller
/// </summary>
/// <returns></returns>
public new CapFloor Build()
{
var capFloor = new CapFloor
{
Items = new object[] { new ProductType {
Value = ProductType.ToString()
} },
ItemsElementName = new[] { ItemsChoiceType2.productType },
additionalPayment = MapToPayments(AdditionalPayments),
capFloorStream = CapFloorLeg.Build()
};
return(capFloor);
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override AssetValuation Calculate(IInstrumentControllerData modelData)
{
ModelData = modelData;
AnalyticModelParameters = null;
CalculationResults = null;
UpdateBucketingInterval(ModelData.ValuationDate, PeriodHelper.Parse(CDefaultBucketingInterval));
// 1. First derive the analytics to be evaluated via the stream controller model
// NOTE: These take precendence of the child model metrics
if (AnalyticsModel == null)
{
AnalyticsModel = new CapFloorInstrumentAnalytic();
}
var swapControllerMetrics = ResolveModelMetrics(AnalyticsModel.Metrics);
AssetValuation swapValuation;
//Sets the evolution type for calculations.
CapFloorLeg.PricingStructureEvolutionType = PricingStructureEvolutionType;
CapFloorLeg.BucketedDates = BucketedDates;
CapFloorLeg.Multiplier = Multiplier;
if (AdditionalPayments != null)
{
foreach (var payment in AdditionalPayments)
{
payment.PricingStructureEvolutionType = PricingStructureEvolutionType;
payment.BucketedDates = BucketedDates;
payment.Multiplier = Multiplier;
}
}
//The assetValuation list.
var childValuations = new List <AssetValuation> {
CapFloorLeg.Calculate(modelData)
};
// 2. Now evaluate only the child specific metrics (if any)
if (GetAdditionalPayments() != null)
{
var paymentControllers = new List <InstrumentControllerBase>(GetAdditionalPayments());
childValuations.AddRange(paymentControllers.Select(payment => payment.Calculate(modelData)));
}
var childControllerValuations = AssetValuationHelper.AggregateMetrics(childValuations, new List <string>(Metrics), PaymentCurrencies);// modelData.ValuationDate);
childControllerValuations.id = Id + ".CapFloorStreams";
// Child metrics have now been calculated so we can now evaluate the stream model metrics
if (swapControllerMetrics.Count > 0)
{
//Generate the vectors
var streamAccrualFactor = AssetValuationHelper.GetQuotationByMeasureType(childValuations[0], InstrumentMetrics.AccrualFactor.ToString());
var streamFloatingNPV = AssetValuationHelper.GetQuotationByMeasureType(childValuations[0], InstrumentMetrics.FloatingNPV.ToString());
var streamNPV = AssetValuationHelper.GetQuotationByMeasureType(childValuations[0], InstrumentMetrics.NPV.ToString());
IIRSwapInstrumentParameters analyticModelParameters = new SwapInstrumentParameters
{
AccrualFactor = streamAccrualFactor.value,
FloatingNPV = streamFloatingNPV.value,
NPV = streamNPV.value
//, MarketQuote = MarketQuote.
};
AnalyticModelParameters = analyticModelParameters;
CalculationResults = AnalyticsModel.Calculate <IIRSwapInstrumentResults, SwapInstrumentResults>(analyticModelParameters, swapControllerMetrics.ToArray());
// Now merge back into the overall stream valuation
var swapControllerValuation = GetValue(CalculationResults, modelData.ValuationDate);
swapValuation = AssetValuationHelper.UpdateValuation(swapControllerValuation,
childControllerValuations, ConvertMetrics(swapControllerMetrics), new List <string>(Metrics));
}
else
{
swapValuation = childControllerValuations;
}
CalculationPerfomedIndicator = true;
swapValuation.id = Id;
return(swapValuation);
}
