/// <summary>
/// Value the deal using the cashflow list.
/// </summary>
/// <param name="pv">Present value to be updated.</param>
/// <param name="cash">Realised cash to be updated.</param>
public void Value(Vector pv, Vector cash, double baseDate, double valueDate, Vector settlementDate, IInterestRate discount,
IInterestRate forecast, IInterestRate repo, IInterestRateVol interestRateVol, IInterestYieldVol interestYieldVol,
ISurvivalProb survivalProb, ISACCRResult saccrResult, IIntraValuationDiagnosticsWriter intraValuationDiagnosticsWriter)
{
CFFixedInterestListDeal deal = (CFFixedInterestListDeal)Deal;
pv.Clear();
if (cash != null)
{
cash.Clear();
}
deal.Cashflows.Value(pv, cash, null, baseDate, valueDate, settlementDate, discount, survivalProb, fFxRate, fRateFxRate, intraValuationDiagnosticsWriter, fCutoffDate);
using (var cache = Vector.CacheLike(pv))
{
Vector sp = cache.Get(1.0);
double dealSettlementDate = deal.Settlement_Date;
double t = CalcUtils.DaysToYears(valueDate - baseDate);
double tSettle = CalcUtils.DaysToYears(dealSettlementDate - baseDate);
if (Use_Survival_Probability == YesNo.Yes && survivalProb != null)
{
survivalProb.GetValue(sp, t, tSettle);
fRecoveryList.Value(pv, baseDate, valueDate, discount, survivalProb, intraValuationDiagnosticsWriter);
}
if (valueDate < dealSettlementDate)
{
// Forward deal before settlement date
if (deal.Is_Defaultable == YesNo.No)
{
pv.Assign((pv / discount.Get(t, tSettle) - fSettlementAmount) * repo.Get(t, tSettle));
}
else
{
pv.Subtract(fAccruedInterest * discount.Get(t, tSettle) * sp + (fSettlementAmount - fAccruedInterest) * repo.Get(t, tSettle));
}
}
else if (valueDate == dealSettlementDate)
{
// Forward deal at settlement date
pv.Subtract(fSettlementAmount);
if (cash != null)
{
if (deal.Settlement_Style == SettlementType.Cash)
{
cash.Assign(pv);
}
else
{
cash.Subtract(fSettlementAmount);
}
}
}
}
pv.AssignProduct(fBuySellSign, pv);
if (cash != null)
{
cash.AssignProduct(fBuySellSign, cash);
}
}
protected override void SurvivalProbability(Vector vout, PriceFactorList factors, ISurvivalProb SP, double t1, double t2)
{
SP.GetValue(vout, t1, t2);
}
