コード例 #1
0
        public PriceFactorList Factors; // temporary expedient

        /// <summary>
        /// Constructor.
        /// </summary>
        public CDOTopDownValuationParameters(DealCDO deal, PriceFactorList factors)
            : base(deal, factors)
        {
            EL = factors.GetInterface <IExpectedLoss>(deal.Reference_Index);
            RL = factors.GetInterface <IRealizedLoss>(deal.Reference_Index);

            Factors = factors;
        }
コード例 #2
0
        public PriceFactorList Factors; // temporary expedient

        /// <summary>
        /// Constructor.
        /// </summary>
        public CDOBottomUpValuationParameters(DealCDO deal, CDOValuationBottomUp valuation, PriceFactorList factors)
            : base(deal, factors)
        {
            Factors = factors;

            IndexCDO = factors.Get <IndexCDO>(deal.Reference_Index);
            IndexCDO.SetPricer(new CDOPricer(valuation.Number_Of_Loss_Buckets, valuation.Number_Integration_Steps, valuation.Bucket_Type, !CalcUtils.IsTiny(deal.Spread), deal.Payoff_Is_Digital == YesNo.Yes, deal.Digital_Payoff_Percentage));
        }
コード例 #3
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 protected CDOValuationParameters(DealCDO deal, PriceFactorList factors)
 {
     DF = DiscountRate.Get(factors, InterestRateUtils.GetRateId(deal.Discount_Rate, deal.Currency));
     X  = factors.GetInterface <IFxRate>(deal.Currency);
 }