/// <summary>
/// Returns the known reset rate if necessary, either via user-specified known rate or rate fixings file. Returns null if either reset rate is not necessary or not found.
/// </summary>
private static double?GetKnownResetRate(TDate baseDate, TDate resetDate, TDate paymentDate, YesNo useKnownRate, double knownRate, string rateFixing, RateFixingsProvider rateFixingsProvider, Deal deal)
{
double?knownResetRate = null;
if (paymentDate >= baseDate && resetDate <= baseDate)
{
if (useKnownRate == YesNo.Yes)
{
knownResetRate = knownRate;
}
else if (!string.IsNullOrWhiteSpace(rateFixing) && rateFixingsProvider != null)
{
// Try get realized reset rate from Rate fixing file.
DateTime[] missingDates = { DateTime.FromOADate(resetDate) };
var fixings = CashflowsFixingsHelper.GetRateFixings(rateFixing, missingDates, rateFixingsProvider, baseDate, deal);
if (fixings != null && fixings.Length != 0 && !double.IsNaN(fixings[0]))
{
knownResetRate = fixings[0];
}
}
}
return(knownResetRate);
}
/// <summary>
/// Clones the cashflow list and applies missing fixings from the fixings file. If
/// fixings are applied, the clone is stored in place of the original deal.
/// </summary>
public override void HeadNodeInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.HeadNodeInitialize(factors, baseTimes, requiredResults);
var baseDate = factors.BaseDate;
var deal = (CFFloatingInterestListDeal)fDeal;
fCashflows = deal.Cashflows;
// Apply any missing rate fixings, performing minimal cloning
if (fCashflows.HasMissingRates(baseDate))
{
fCashflows = CashflowsFixingsHelper.ApplyRateFixings(factors, deal, fCashflows);
}
}
