/// <summary>
/// Ensure the parameters are correct.
/// </summary>
/// <param name='p_Context'>
/// The underlying project.
/// </param>
/// <returns>
/// False if the parameter were correct.
/// </returns>
public bool Parse(IProject p_Context)
{
bool errors = false;
List <IExportable> list = this.ExportObjects(false);
foreach (IExportable parameter in list)
{
if (parameter is IParsable)
{
BoolHelper.AddBool(errors, (parameter as IParsable).Parse(p_Context));
}
}
if (this.zrReference.Expression.IndexOf("@") == -1)
{
p_Context.AddError(this.zrReference.Expression +
" is not a reference to a zero rate curve");
}
if (this.dyReference.Expression.IndexOf("@") == -1)
{
p_Context.AddError(this.dyReference.Expression +
" is not a reference to a dividend yield curve");
}
return(RetrieveCurve(p_Context, errors));
}
/// <summary>
/// Ensure the parameters are correct.
/// </summary>
/// <param name='context'>
/// The underlying project.
/// </param>
/// <returns>
/// False if there were no parse errors.
/// </returns>
public bool Parse(IProject context)
{
bool errors = false;
errors = BoolHelper.AddBool(errors, this.startingValue1.Parse(context));
errors = BoolHelper.AddBool(errors, this.startingValue2.Parse(context));
errors = BoolHelper.AddBool(errors, this.k1.Parse(context));
errors = BoolHelper.AddBool(errors, this.k2.Parse(context));
errors = BoolHelper.AddBool(errors, this.theta1.Parse(context));
errors = BoolHelper.AddBool(errors, this.theta2.Parse(context));
errors = BoolHelper.AddBool(errors, this.sigma1.Parse(context));
errors = BoolHelper.AddBool(errors, this.sigma2.Parse(context));
errors = BoolHelper.AddBool(errors, this.ZRReference.Parse(context));
// Stores some temporary parameters derived from the main model parameters.
if (!errors)
{
this.zr = (Function)this.ZRReference.fVRef();
// In this way they are not stochastic.
this.k12 = Math.Pow(this.k1.fV(), 2);
this.k22 = Math.Pow(this.k2.fV(), 2);
this.sigma12 = Math.Pow(this.sigma1.fV(), 2);
this.sigma22 = Math.Pow(this.sigma2.fV(), 2);
this.gamma1 = Math.Sqrt(this.k12 + 2 * this.sigma12);
this.gamma2 = Math.Sqrt(this.k22 + 2 * this.sigma22);
}
return(errors);
}
/// <summary>
/// Ensure the parameters are correct.
/// </summary>
/// <param name='context'>
/// The underlying project.
/// </param>
/// <returns>
/// False if there were no parse errors.
/// </returns>
public bool Parse(IProject context)
{
bool errors = false;
BoolHelper.AddBool(errors, this.s0.Parse(context));
BoolHelper.AddBool(errors, this.theta.Parse(context));
BoolHelper.AddBool(errors, this.sigma.Parse(context));
BoolHelper.AddBool(errors, this.nu.Parse(context));
BoolHelper.AddBool(errors, this.rate.Parse(context));
BoolHelper.AddBool(errors, this.dividend.Parse(context));
return(errors);
}
/// <summary>
/// Ensure the parameters are correct.
/// </summary>
/// <param name='p_Context'>
/// The underlying project.
/// </param>
/// <returns>
/// False if the parameter were correct.
/// </returns>
public bool Parse(IProject p_Context)
{
bool errors = false;
List <IExportable> list = this.ExportObjects(false);
foreach (IExportable parameter in list)
{
if (parameter is IParsable)
{
BoolHelper.AddBool(errors, (parameter as IParsable).Parse(p_Context));
}
}
return(errors);
}
/// <summary>
/// Parses the process (in this case nothing has to be done).
/// </summary>
/// <param name="context">The project representing the context of the parsing.</param>
/// <returns>true if the the parsing caused errors; otherwise false.</returns>
public bool Parse(IProject context)
{
bool errors = false;
errors = this.s0.Parse(context);
errors = BoolHelper.AddBool(errors, this.q.Parse(context));
errors = BoolHelper.AddBool(errors, this.r.Parse(context));
errors = BoolHelper.AddBool(errors, this.localVol.Parse(context));
this.context = new DupireContext();
this.context.s0 = this.s0.fV();
this.context.q = this.q.fVRef() as IFunction;
this.context.r = this.r.fVRef() as IFunction;
this.context.localVol = this.localVol.fVRef() as IFunction;
return(RetrieveCurve(context, errors));
}
/// <summary>
/// Ensure the parameters are correct.
/// </summary>
/// <param name='context'>
/// The underlying project.
/// </param>
/// <returns>
/// False if there were no parse errors.
/// </returns>
public bool Parse(IProject context)
{
bool errors = false;
BoolHelper.AddBool(errors, this.k.Parse(context));
BoolHelper.AddBool(errors, this.theta.Parse(context));
BoolHelper.AddBool(errors, this.sigma.Parse(context));
BoolHelper.AddBool(errors, this.r0.Parse(context));
if (!errors)
{
this.alphaTemp = this.k.fV();
this.gammaTemp = this.theta.fV();
this.sigmaTemp = this.sigma.fV();
}
return(errors);
}
/// <summary>
/// Ensure the parameters are correct.
/// </summary>
/// <param name='p_Context'>
/// The underlying project.
/// </param>
/// <returns>
/// False if there were no parse errors.
/// </returns>
public bool Parse(IProject p_Context)
{
bool errors = false;
BoolHelper.AddBool(errors, this.a1.Parse(p_Context));
BoolHelper.AddBool(errors, this.sigma1.Parse(p_Context));
if (this.zr.Expression.IndexOf("@") == -1)
{
p_Context.AddError(this.zr.Expression + " is not a reference to a zero rate curve");
}
object zrReference = Engine.Parser.EvaluateAsReference(this.zr.Expression);
if (!Engine.Parser.GetParserError())
{
this.zeroRateCurve = zrReference as Function;
if (this.zeroRateCurve == null)
{
errors = true;
p_Context.AddError("Cannot find the Zero Rate Curve! " + this.zr.Expression);
}
}
else
{
errors = true;
}
if (!errors)
{
this.alpha1Temp = this.a1.fV();
this.sigma1Temp = this.sigma1.fV();
this.sigma1SquaredTemp = Math.Pow(this.sigma1Temp, 2);
CalculateGamma();
}
return(errors);
}
/// <summary>
/// Parses the data and ensures the parameters are correct.
/// </summary>
/// <param name='p_Context'>
/// The underlying project.
/// </param>
/// <returns>
/// False if there were no parse errors.
/// </returns>
public bool Parse(IProject p_Context)
{
this.context = p_Context as Project;
bool errors = false;
BoolHelper.AddBool(errors, this._a1.Parse(p_Context));
BoolHelper.AddBool(errors, this._a2.Parse(p_Context));
BoolHelper.AddBool(errors, this._s1.Parse(p_Context));
BoolHelper.AddBool(errors, this._s2.Parse(p_Context));
BoolHelper.AddBool(errors, this._rho.Parse(p_Context));
BoolHelper.AddBool(errors, this.driftAdjustment.Parse(p_Context));
if (this._zr.Expression.IndexOf("@") == -1)
{
p_Context.AddError(this._zr.Expression +
" is not a reference to a zero rate curve");
}
// Checks for the model constraints: alpha1 != alhpa2
if (Math.Abs(this._a1.fV() - this._a2.fV()) < 10e-5)
{
p_Context.AddError("H&W2: alpha1 and alpha2 must be different");
}
object zr_reference = Engine.Parser.EvaluateAsReference(this._zr.Expression);
if (!Engine.Parser.GetParserError())
{
this.zeroRateCurve = zr_reference as Function;
if (this.zeroRateCurve == null)
{
errors = true;
p_Context.AddError("Cannot find the Zero Rate Curve! " + this._zr.Expression);
}
}
else
{
errors = true;
}
if (!errors)
{
base.alpha1 = this._a1.fV();
base.sigma1 = this._s1.fV();
this.sigma1Pow2 = System.Math.Pow(this._s1.fV(), 2);
}
CorrelationMatrix R = (p_Context as ProjectProcess).Processes.r;
int index = (p_Context as ProjectProcess).Processes.GetProcessCorrelationIndex(this);
// Index is -1 is when the process is not still in the process list.
if (index != -1)
{
// Updates the correlation in the global correlation matrix.
R.Set(index, index + 1, this._rho);
}
return(errors);
}
