/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
TimeGridIterator tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
CashAccumulators cashAccumulators = valuationResults.Cash;
BaseCliquetOption deal = (BaseCliquetOption)Deal;
double scale = (deal.Buy_Sell == BuySell.Buy ? +1 : -1) * deal.GetUnits();
VectorEngine.For(tgi, () =>
{
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector pv = cache.Get();
Vector cash = cache.Get();
PricingFunctions.CliquetOption(pv, cash, deal.Option_Type, tgi.T, fTimes, deal.Moneyness,
fKnownPrices, fAssetPrice, fFxRate, fPayoffFxRate,
fDiscountRate, fAssetPriceVol, fQuantoCompo, fPayoffType,
factors.PathDependent);
cashAccumulators.Accumulate(fPayoffFxRate, tgi.Date, scale * cash);
result.AppendVector(tgi.Date, scale * pv * fPayoffFxRate.Get(tgi.T));
}
}
);
result.Complete(fT);
}
/// <inheritdoc />
public override void HeadNodeInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.HeadNodeInitialize(factors, baseTimes, requiredResults);
BaseCliquetOption deal = (BaseCliquetOption)fDeal;
DateList accrualDates = CashflowGeneration.GenerateStripOfDates(deal.Effective_Date, deal.Maturity_Date, deal.Frequency, deal.GetHolidayCalendar());
fTimes = new double[accrualDates.Count];
for (int i = 0; i < accrualDates.Count; ++i)
{
fTimes[i] = CalcUtils.DaysToYears(accrualDates[i] - factors.BaseDate);
}
// Get the asset price from the deal helper
var dealHelper = (BaseAssetFxDealHelper)deal.GetDealHelper();
IAssetPrice assetPrice = dealHelper.GetAssetPrice(factors);
fKnownPrices = deal.GetKnownPrices(accrualDates, factors, assetPrice);
// Add expiry dates to valuation time grid.
if (accrualDates.Count > 1)
{
DateList expiryDates = new DateList(accrualDates);
expiryDates.RemoveAt(0);
fT.AddPayDates(expiryDates, requiredResults.CashRequired());
}
}
