public void ComputePathFlows(ref PathFlows <double, CouponFlowLabel> pathFlows,
PathFlows <double[], IFixing[]> fixingsPath,
PathFlows <double[], PaymentInfo[]> flowRebasementPath)
{
double[][] fixings = fixingsPath.Flows;
double[][] rebasements = flowRebasementPath.Flows;
double[] autocallFlows = pathFlows.Flows;
for (int i = 0; i < autocallFlows.Length; i++)
{
autocallFlows[i] = 0.0;
}
int callIndex = CallIndex(fixings);
int lastPayCouponIndex = (callIndex < underlyingCallIndexes.Length)
? underlyingCallIndexes[callIndex]
: underlyingPathFlows.Length;
for (int i = 0; i < lastPayCouponIndex; i++)
{
autocallFlows[i] = underlyingPathFlows[i].FlowValue(fixings, rebasements);
}
if (callIndex < redemptionPathFlows.Length)
{
autocallFlows[underlyingPathFlows.Length + callIndex] = redemptionPathFlows[callIndex].FlowValue(fixings, rebasements);
}
}
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 ProductPathFlowCalculator(IPathFlowCalculator <double[], IFixing[]> fixingPathCalculator,
IPathFlowCalculator <double[], PaymentInfo[]> numerairePathCalc,
IProductPathFlow productPathFlow)
{
this.fixingPathCalculator = fixingPathCalculator;
this.numerairePathCalc = numerairePathCalc;
this.productPathFlow = productPathFlow;
//Buffers initialization
fixingsPath = fixingPathCalculator.NewPathFlow();
numerairePath = numerairePathCalc.NewPathFlow();
}
public void ComputePathFlows(ref PathFlows <double, CouponFlowLabel> pathFlows,
PathFlows <double[], IFixing[]> fixingsPath,
PathFlows <double[], PaymentInfo[]> flowRebasementPath)
{
double[][] fixings = fixingsPath.Flows;
double[][] rebasements = flowRebasementPath.Flows;
double[] couponsFlows = pathFlows.Flows;
for (int i = 0; i < couponPathFlows.Length; i++)
{
couponsFlows[i] = couponPathFlows[i].FlowValue(fixings, rebasements);
}
}
public void ComputeFlows(ref PathFlows <double, CouponFlowLabel> pathFlows, IProcessPath processPath)
{
fixingPathCalculator.ComputeFlows(ref fixingsPath, processPath);
numerairePathCalc.ComputeFlows(ref numerairePath, processPath);
productPathFlow.ComputePathFlows(ref pathFlows, fixingsPath, numerairePath);
}