/// <inheritdoc />
public void PreValue(PriceFactorList factors)
{
var deal = (SwaptionDeal)Deal;
var discountId = InterestRateUtils.GetRateId(deal.Discount_Rate, deal.Currency);
var forecastId = InterestRateUtils.GetRateId(deal.Forecast_Rate, discountId);
fModelParameters = factors.Get <HullWhite1FactorModelParameters>(fModelParametersId);
fFxRate = factors.GetInterface <IFxRate>(deal.Currency);
fDiscountRate = DiscountRate.Get(factors, discountId);
fForecastRate = factors.GetInterface <IInterestRate>(forecastId);
fQuadrature = new Lazy <GaussHermiteNormalQuadrature>(() => new GaussHermiteNormalQuadrature(30));
}
/// <inheritdoc />
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
fModelParameters = factors.Get <HullWhite1FactorModelParameters>(fModelParametersId);
}
