/// <summary>
/// Prepare for valuation.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
var deal = (CFFloatingInterestListDeal)Deal;
base.PreValue(factors);
bool quanto = fForecastIsForeign && fCharacteristics.HasQuanto && Quanto_Correction == YesNo.Yes;
bool convexity = !fCharacteristics.IsStandardLibor && Convexity_Correction == YesNo.Yes;
// volatility surfaces for forecast rate
if (fCharacteristics.HasCms)
{
fForecastYieldVol = InterestVolBase.GetYieldVol(factors, deal.Forecast_Rate_Swaption_Volatility, fForecastCurrency);
}
if (fCharacteristics.HasLibor && (fCharacteristics.HasOptionlet || convexity || quanto))
{
fForecastRateVol = InterestVolBase.GetRateVol(factors, deal.Forecast_Rate_Cap_Volatility, fForecastCurrency);
}
// volatility surfaces for discount rate
if (convexity)
{
// Discount rate volatility and correlation for convexity correction
if (fCharacteristics.HasCms)
{
fDiscountYieldVol = InterestVolBase.GetYieldVol(factors, deal.Discount_Rate_Swaption_Volatility, fCurrency);
}
if (fCharacteristics.HasLibor)
{
fDiscountRateVol = InterestVolBase.GetRateVol(factors, deal.Discount_Rate_Cap_Volatility, fCurrency);
}
}
if (fForecastIsForeign)
{
// Get factor for translation from forecast rate currency to settlement currency for cashflows with FX reset date
if (fCharacteristics.HasFXReset)
{
fForecastFxRate = factors.GetInterface <IFxRate>(fForecastCurrency);
}
if (quanto)
{
fForecastFxVol = FXVolHelper.Get(factors, fForecastCurrency, fCurrency);
fForecastFxCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(FxRate), fForecastCurrency, fCurrency);
fForecastDiscountCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(InterestRate), fCurrency, null);
}
}
}
/// <summary>
/// Prepare for valuation.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
var deal = (CFEquityFloatingInterestListDeal)Deal;
deal.GetDealHelper().PreValueAsset(out fEquity, out fEquityVol, ref fEquityQuantoCompo, factors);
// Get FX rate price factors
fEquityCurrency = deal.Equity_Currency;
fEquityPayoffCurrency = string.IsNullOrEmpty(deal.Equity_Payoff_Currency) ? fEquityCurrency : deal.Equity_Payoff_Currency;
fEquityFXRate = factors.GetInterface <IFxRate>(fEquityCurrency);
fEquityPayoffFXRate = fEquityPayoffCurrency != fEquityCurrency?factors.GetInterface <IFxRate>(fEquityPayoffCurrency) : fEquityFXRate;
bool quanto = fForecastIsForeign && Quanto_Correction == YesNo.Yes;
if (fCharacteristics.fHasLibor)
{
// volatility surfaces for forecast rate
if ((!fCharacteristics.fIsStandardLibor && Convexity_Correction == YesNo.Yes) || quanto)
{
fForecastRateVol = InterestVolBase.GetRateVol(factors, deal.Forecast_Rate_Cap_Volatility, fForecastCurrency);
}
// volatility surfaces for discount rate
if (!fCharacteristics.fIsStandardLibor && Convexity_Correction == YesNo.Yes)
{
fDiscountRateVol = InterestVolBase.GetRateVol(factors, deal.Discount_Rate_Cap_Volatility, fCurrency);
}
}
if (quanto)
{
fForecastFXVol = FXVolHelper.Get(factors, fForecastCurrency, fCurrency);
fForecastFXCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(FxRate), fForecastCurrency, fCurrency);
fForecastDiscountCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(InterestRate), fCurrency, null);
}
}
/// <summary>
/// Prepare for valuation.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
CFGeneralInterestSpreadListDeal deal = (CFGeneralInterestSpreadListDeal)Deal;
// Get spread flow characteristics
SpreadCashflowListCharacteristics spreadCashflowCharacteristics = fCashflows.ValuationPriceFactorDependencies(factors.BaseDate, fCurrency, fForecastCurrency, fForecast2Currency);
// vols for first forecast rate
if (spreadCashflowCharacteristics.NeedForecast1YieldVol)
{
fForecast1YieldVol = InterestVolBase.GetYieldVol(factors, deal.Forecast_Rate1_Swaption_Volatility, fForecastCurrency);
}
if (spreadCashflowCharacteristics.NeedForecast1RateVol)
{
fForecast1RateVol = InterestVolBase.GetRateVol(factors, deal.Forecast_Rate1_Cap_Volatility, fForecastCurrency);
}
// vols for second forecast rate
if (spreadCashflowCharacteristics.NeedForecast2YieldVol)
{
fForecast2YieldVol = InterestVolBase.GetYieldVol(factors, deal.Forecast_Rate2_Swaption_Volatility, fForecast2Currency);
}
if (spreadCashflowCharacteristics.NeedForecast2RateVol)
{
fForecast2RateVol = InterestVolBase.GetRateVol(factors, deal.Forecast_Rate2_Cap_Volatility, fForecast2Currency);
}
// vols for discount rate
if (spreadCashflowCharacteristics.NeedDiscountYieldVol)
{
fDiscountYieldVol = InterestVolBase.GetYieldVol(factors, deal.Discount_Rate_Swaption_Volatility, fCurrency);
}
if (spreadCashflowCharacteristics.NeedDiscountRateVol)
{
fDiscountRateVol = InterestVolBase.GetRateVol(factors, deal.Discount_Rate_Cap_Volatility, fCurrency);
}
bool convexity = spreadCashflowCharacteristics.NeedDiscountYieldVol || spreadCashflowCharacteristics.NeedDiscountRateVol;
if (fForecastCurrency != fCurrency)
{
if (Quanto_Correction == YesNo.Yes)
{
// fx vol, fx/ir correl and forecast/discount correl
fFx1Vol = FXVolHelper.Get(factors, fForecastCurrency, fCurrency);
fForecast1Fx1Correl = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(FxRate), fForecastCurrency, fCurrency);
}
if (convexity)
{
fForecast1DiscountCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fCurrency, null, typeof(InterestRate), fForecastCurrency, null);
}
}
if (fForecast2Currency != fCurrency)
{
if (Quanto_Correction == YesNo.Yes)
{
// fx vol, fx/ir correl and forecast/discount correl
fFx2Vol = FXVolHelper.Get(factors, fForecast2Currency, fCurrency);
fForecast2Fx2Correl = CorrelationHelper.Get(factors, typeof(InterestRate), fForecast2Currency, null, typeof(FxRate), fForecast2Currency, fCurrency);
}
if (convexity)
{
fForecast2DiscountCorrel = CorrelationHelper.Get(factors, typeof(InterestRate), fCurrency, null, typeof(InterestRate), fForecast2Currency, null);
}
}
if (spreadCashflowCharacteristics.NeedForecast1Forecast2Correlation)
{
if (fForecastCurrency == fForecast2Currency)
{
// correl between forecast rates in same currency
fForecast1Forecast2Correls = factors.Get <CMSRateCorrelations>(fForecastCurrency);
}
else
{
fForecast1Forecast2Correl = CorrelationHelper.Get(factors, typeof(InterestRate), fForecastCurrency, null, typeof(InterestRate), fForecast2Currency, null);
}
}
}