/// <summary>
/// Gets the indices.
/// </summary>
/// <param name="index">The index.</param>
/// <param name="requiredTimes">The required times.</param>
/// <returns></returns>
/// <exception cref="System.ArgumentException">
/// defaultTime must only be queried with a single date.
/// or
/// defaultRecovery must only be queried with a single date.
/// or
/// </exception>
public override double[] GetIndices(MarketObservable index, List <Date> requiredTimes)
{
if (index == currencyPair)
{
var result = new double[requiredTimes.Count];
for (var i = 0; i < requiredTimes.Count; i++)
{
if (requiredTimes[i] <= anchorDate)
{
result[i] = fxSource.GetRate(requiredTimes[i]);
}
else
{
result[i] = simulation[requiredTimes[i]];
}
}
return(result);
}
if (index == defaultTime)
{
if (requiredTimes.Count > 1)
{
throw new ArgumentException("defaultTime must only be queried with a single date.");
}
return(new[] { simDefaultTime });
}
if (index == defaultRecovery)
{
if (requiredTimes.Count > 1)
{
throw new ArgumentException("defaultRecovery must only be queried with a single date.");
}
return(new[] { simRecoveryRate });
}
throw new ArgumentException(index + " is not simulated by this model.");
}
/// <summary>
/// Initializes a new instance of the <see cref="DeterministicCreditWithFXJump"/> class.
/// </summary>
/// <param name="survivalProbSource">A curve that provides survival probabilities. Usually a hazard curve.</param>
/// <param name="otherCurrency">The other currency required in the simulation. The valuation currency will
/// be inferred from the <paramref name="valueCurrencyDiscount"/>. This value needs to be explicitly set
/// since <paramref name="fxSource"/> may provide multiple pairs.</param>
/// <param name="fxSource">The source FX spot and forwards.</param>
/// <param name="valueCurrencyDiscount">The value currency discount curve.</param>
/// <param name="fxVol">The fx volatility.</param>
/// <param name="relJumpSizeInDefault">The relative jump size in default. For example if the value currency is ZAR and the
/// other currency is USD then the fx is modelled as ZAR per USD and in default the fx rate will change to:
/// rate before default * (1 + relJumpSizeInDefault).</param>
/// <param name="expectedRecoveryRate">The constant recovery rate that will be assumed to apply in default.</param>
public DeterministicCreditWithFXJump(ISurvivalProbabilitySource survivalProbSource,
Currency otherCurrency, IFXSource fxSource, IDiscountingSource valueCurrencyDiscount,
double fxVol, double relJumpSizeInDefault, double expectedRecoveryRate)
{
this.survivalProbSource = survivalProbSource;
valueCurrency = valueCurrencyDiscount.GetCurrency();
this.fxSource = fxSource;
this.valueCurrencyDiscount = valueCurrencyDiscount;
this.fxVol = fxVol;
this.relJumpSizeInDefault = relJumpSizeInDefault;
ReferenceEntity refEntity = survivalProbSource.GetReferenceEntity();
defaultTime = new DefaultTime(refEntity);
defaultRecovery = new DefaultRecovery(refEntity);
currencyPair = new CurrencyPair(otherCurrency, valueCurrency);
anchorDate = valueCurrencyDiscount.GetAnchorDate();
spot = fxSource.GetRate(anchorDate);
simRecoveryRate = expectedRecoveryRate;
}
public static double GetFXRate([ExcelArgument(Description = "Name of FX curve")] IFXSource fxCurve,
[ExcelArgument(Description = "Date on which FX rate is required.")] Date date)
{
return(fxCurve.GetRate(date));
}