/// <summary>
/// Prepare for valuation anything that is not dependent upon the scenario.
/// </summary>
public override void HeadNodeInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults resultsRequired)
{
base.HeadNodeInitialize(factors, baseTimes, resultsRequired);
var deal = (AverageForwardExplicitDealBase)Deal;
fScale = (deal.Buy_Sell == BuySell.Buy ? +1 : -1) * deal.GetUnits();
fSamplingTimes = new double[deal.Sampling_Data.Count];
fSamplingTimesPlusTenor = new double[deal.Sampling_Data.Count];
int index = 0;
Term tenorAsTerm = Period.ValueToTerm(deal.Tenor);
// Loop over sampling dates and generate relevant sampling times.
foreach (SamplingEntryAsset sample in deal.Sampling_Data)
{
double endDate = DateAdjuster.Add(sample.Date, tenorAsTerm, deal.GetHolidayCalendar());
double sampleTime = CalcUtils.DaysToYears(sample.Date - factors.BaseDate);
// Store the start time and the end time.
fSamplingTimes[index] = sampleTime; // Discount Factor and Forward Factor times are in Act365.
fSamplingTimesPlusTenor[index] = CalcUtils.DaysToYears(endDate - factors.BaseDate);
index++;
}
// Create a deep copy of the sampling data list and replace missing values with data from the rate fixings file
var assetPrice = ((BaseAssetFxDealHelper)deal.GetDealHelper()).GetAssetPrice(factors);
string assetCurrency = fPayoffType == PayoffType.Compo ? fPayoffCurrency : fCurrency;
fSamplingData = deal.Sampling_Data.FillMissingDataFromFixings(factors.RateFixings, factors, assetPrice, assetCurrency, deal, "calculation of asset average");
// Add to valuation time grid
fT.AddPayDate(deal.Maturity_Date, resultsRequired.CashRequired());
}
/// <summary>
/// Initializes a new instance of the <see cref="AverageForwardExplicitDealBase"/> class.
/// </summary>
protected AverageForwardExplicitDealBase()
{
Sampling_Data = new SamplingEntryList <SamplingEntryAsset>();
}
