// remember: 'virtual' can be overwritten, 'abstract' must be overwritten
public virtual void PriceTradelet(Tradelet tradelet, Exposure _expo, DateTime marketDate)
{
if (tradelet.DelEnd < marketDate) return;
Trade trade = tradelet.MyTrade;
Product prod = tradelet.MyTrade.MyProduct;
CurveSeries curves = prod.ReturnCurveSeries();
TradingCenter tc = prod.TC;
List<DateTime> delDates, expoDates;
double nrDays = (tradelet.DelEnd - tradelet.DelStart).TotalDays;
double dailyDelta;
delDates = TradingCenter.TCEachDay(tradelet.DelStart, tradelet.DelEnd).ToList();
double priceUL = 0;
foreach (DateTime day in delDates)
{
if (day > marketDate) priceUL = curves.GetValue(TENOR_TYPE.DAY, day, marketDate);
dailyDelta = prod.UnitSet.ToFullSize(trade.Volume, 1);
_expo.AddExpo(EXPOSURE_TYPE.DELTA, TENOR_TYPE.DAY, day, dailyDelta);
if(day > marketDate) _expo.AddExpo(EXPOSURE_TYPE.PNL, TENOR_TYPE.DAY, day, dailyDelta * (priceUL - trade.Price));
}
}
/// <summary>
/// Creates a new ExposureItem that has accumulated every expoType in every tenorType over one MarketDate. @@@ slow?
/// [Note CF is accumulated on delivery date?? @@@ check // plus how to accumulate monthly?]
/// </summary>
public static Exposure CumulateExposures(DateTime marketDate, IEnumerable<Exposure> items, string targetUnit, string targetCCY)
{
var totalExpo = new Exposure(marketDate, DynamicData.GetUnit(targetUnit), targetCCY); // @@@ all total Exposures are in therms/EUR - create a new Exposure Constructor and add this to the backtest as setting.
foreach(Exposure expo in items) // exposure of different items, e.g. different trades or portfolios
{
foreach (int tenor in TENOR_TYPE.ToStringMapper.Keys) // @@ why loop this way /
{
foreach (int expoType in expo.DataContainer.Keys)
{
foreach (DateTime day in expo.DataContainer[tenor][expoType].Keys) totalExpo.AddExpo(expoType, tenor, day, expo.GetExpoValue(expoType, day, tenor) * 1); //Unit.ConvertVolume(expo.UnitSet, totalExpo.UnitSet));
}
}
}
return totalExpo;
}
private void SplitExpoToDaily_tofix(Exposure expo, int expoType, IEnumerable<DateTime> expoDates, double expoValue)
{
foreach (DateTime day in expoDates)
{
expo.AddExpo(EXPOSURE_TYPE.DELTA, TENOR_TYPE.DAY, day, expoValue);
}
}