/// <summary>
/// Construct the array of known prices.
/// </summary>
public override double[] GetKnownPrices(DateList resetDates, PriceFactorList factors, IAssetPrice assetPrice)
{
bool isCompo = !string.IsNullOrEmpty(fPayoffCurrency) && fPayoffCurrency != Currency && Payoff_Type == PayoffType.Compo;
string assetCurrency = isCompo ? fPayoffCurrency : Currency;
double[] knownPrices;
double[] knownFxRates;
AssetPriceFxRateList.GetRates(resetDates, factors.BaseDate, Known_Prices, out knownPrices, out knownFxRates);
if (isCompo)
{
for (int i = 0; i < knownPrices.Length; ++i)
{
knownPrices[i] *= knownFxRates[i];
}
}
FillMissingKnownPricesFromRateFixings(knownPrices, resetDates, factors, assetPrice, assetCurrency);
return(knownPrices);
}
protected CliquetOption()
{
Known_Prices = new AssetPriceFxRateList();
}
