public ProductPathFlowCalculator(IPathFlowCalculator <double[], IFixing[]> fixingPathCalculator,
IPathFlowCalculator <double[], PaymentInfo[]> numerairePathCalc,
IProductPathFlow productPathFlow)
{
this.fixingPathCalculator = fixingPathCalculator;
this.numerairePathCalc = numerairePathCalc;
this.productPathFlow = productPathFlow;
//Buffers initialization
fixingsPath = fixingPathCalculator.NewPathFlow();
numerairePath = numerairePathCalc.NewPathFlow();
}
public static ProductPathFlowCalculator Build(IProduct product, McModel model)
{
IFixing[][] fixings = FixingsByDate(product);
Func <double[], double>[][] fixingFromFactors = fixings.Map(fs => fs.Map(f => model.FactorRepresentation[f]));
ArrayPathCalculator <IFixing> fixingPathCalc = FixingPathCalc(model.SimulatedDates, fixings, fixingFromFactors);
PaymentInfo[][] paymentsByDate = PaymentsByDate(product);
ArrayPathCalculator <PaymentInfo> numerairePathCalc = NumerairePathCalc(paymentsByDate, model);
var pathFlowVisitor = new ProductPathFlowVisitor(fixings, paymentsByDate);
IProductPathFlow productPathFlow = product.Accept(pathFlowVisitor);
return(new ProductPathFlowCalculator(fixingPathCalc, numerairePathCalc, productPathFlow));
}
