/// <summary>
/// Prepare for valuation.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
SetModelParameters(fItems);
PreValueDeals(fItems, factors);
CallableStructuredDeal deal = (CallableStructuredDeal)Deal;
// Set volatility price factors if they have been registered by model or underlying deals
InterestVol.TryGet <IInterestRateVol>(factors, deal.Forecast_Rate_Cap_Volatility, fForecastCurrency, out fInterestRateVol);
InterestVol.TryGet <IInterestYieldVol>(factors, deal.Forecast_Rate_Swaption_Volatility, fForecastCurrency, out fInterestYieldVol);
bool needRating = Respect_Default == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer);
bool needSurvival = Use_Survival_Probability == YesNo.Yes && !string.IsNullOrEmpty(deal.Issuer);
if (needRating)
{
fCreditRating = factors.Get <CreditRating>(deal.Issuer);
fRecoveryRate = factors.Get <RecoveryRate>(InterestRateUtils.GetRateId(deal.Recovery_Rate, deal.Issuer));
}
if (needSurvival)
{
fSurvivalProb = factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.Survival_Probability) ? deal.Issuer : deal.Survival_Probability);
}
}
/// <summary>
/// Register price factors used in valuation.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
base.RegisterFactors(factors, errors);
CallableStructuredDeal deal = (CallableStructuredDeal)Deal;
if (Model_Type == MarketModelTreeOptionPricer.ModelType.Libor_Rate)
{
InterestVol.Register <IInterestRateVol>(factors, deal.Forecast_Rate_Cap_Volatility, fForecastCurrency);
}
else
{
InterestVol.Register <IInterestYieldVol>(factors, deal.Forecast_Rate_Swaption_Volatility, fForecastCurrency);
}
}