public IPricingResult Price(IProduct product, IModel model, Market market)
{
var simulatedDates = product.RetrieveEventDates();
McModel mcModel = mcModelFactory.Build(model, market, simulatedDates);
var mcEngine = McEngine(product, mcModel);
PathFlows <double, CouponFlowLabel> result = mcEngine.Run(nbPaths);
return(pricingResult.PricingResult(result, product, market));
}
public static ProductPathFlowCalculator Build(IProduct product, McModel model)
{
IFixing[][] fixings = FixingsByDate(product);
Func <double[], double>[][] fixingFromFactors = fixings.Map(fs => fs.Map(f => model.FactorRepresentation[f]));
ArrayPathCalculator <IFixing> fixingPathCalc = FixingPathCalc(model.SimulatedDates, fixings, fixingFromFactors);
PaymentInfo[][] paymentsByDate = PaymentsByDate(product);
ArrayPathCalculator <PaymentInfo> numerairePathCalc = NumerairePathCalc(paymentsByDate, model);
var pathFlowVisitor = new ProductPathFlowVisitor(fixings, paymentsByDate);
IProductPathFlow productPathFlow = product.Accept(pathFlowVisitor);
return(new ProductPathFlowCalculator(fixingPathCalc, numerairePathCalc, productPathFlow));
}
private static Func <double[], double> FlowRebasement(PaymentInfo payment, McModel model)
{
var modelMeasure = model.ProbaMeasure;
if (modelMeasure.Date < payment.Date ||
!modelMeasure.Currency.Equals(payment.Currency) ||
!modelMeasure.Financing.Equals(payment.Financing))
{
throw new NotImplementedException("Flow Rebasement not yet handled !"); //TODO finish the job !
}
var zc = new Zc(payment.Date, modelMeasure.Date, payment.Currency, payment.Financing);
var zcFunc = model.FactorRepresentation[zc];
double num0 = model.Numeraire0;
return(f => num0 / zcFunc(f));
}
private static ArrayPathCalculator <PaymentInfo> NumerairePathCalc(PaymentInfo[][] payments, McModel model)
{
var payDates = payments.Map(ps => ps.Map(p => p.Date).Single());
int[] datesIndexes = payDates.Map(model.SimulatedDates.FindIndex);
Func <double[], double>[][] funcsByDate = payments.Map(ps => ps.Map(p => FlowRebasement(p, model)));
return(new ArrayPathCalculator <PaymentInfo>(datesIndexes, payments, funcsByDate));
}
private McEngine <CouponPathFlows, CouponPathFlows> McEngine(IProduct product, McModel mcModel)
{
var productPathFlowCalculator = ProductPathFlowFactory.Build(product, mcModel);
var processPathFlowGen = new ProcessPathFlowGenerator <double, CouponFlowLabel>
(mcModel.BrownianBridge, mcModel.ProcessPathGen, productPathFlowCalculator);
return(new McEngine <CouponPathFlows, CouponPathFlows>
(mcModel.RandomGenerator, processPathFlowGen, new PriceFlowsAggregator <CouponFlowLabel>()));
}
