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));
}
public static PaymentInfo[] RetrievePaymentInfos(this IProduct product)
{
return(product.Accept(new PaymentProductVisitor()));
}
public static DateTime[] RetrieveEventDates(this IProduct product)
{
return(product.Accept(new EventDateProductVisitor()));
}
public static IFixing[] RetrieveFixings(this IProduct product)
{
return(product.Accept(new FixingProductVisitor()));
}
