public FixingFuncPathValue(IFixingFunction fixingFunction,
Tuple <int, int>[] fixingCoordinates)
{
FixingFunction = fixingFunction;
FixingCoordinates = fixingCoordinates;
//Buffer initialization
fixingBuffer = new double[fixingFunction.Fixings.Length];
}
public void MonoPayoffTest(string payoffScript, IDictionary <string, object> parameters, Func <double, double> refPayoff)
{
DslPayoffExpression payoffExpr = DslPayoffParser.Parse(payoffScript, parameters);
IFixingFunction payoff = DslPayoffCompiler.Compile(payoffExpr).First();
var rand = new Random(4321);
for (int i = 0; i < 100; i++)
{
var fixingValue = 2.0 * rand.NextDouble();
var cpnValue = payoff.Value(new[] { fixingValue });
var refCpnValue = refPayoff(fixingValue);
Assert.AreEqual(cpnValue, refCpnValue);
}
}
public Coupon(PaymentInfo paymentInfo, IFixingFunction payoff)
{
PaymentInfo = paymentInfo;
Payoff = payoff;
Fixings = payoff.Fixings;
}
private FixingFuncPathValue FixingFuncPathValue(IFixingFunction payoff)
{
var coords = payoff.Fixings.Map(f => FindFixingIndex(simulatedFixings, f));
return(new FixingFuncPathValue(payoff, coords));
}
public WeightedFixingFunction(double weigth, IFixingFunction fixingFunc)
{
this.weigth = weigth;
this.fixingFunc = fixingFunc;
}
