/// <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());
}
}
/// <summary>
/// Calculate a valuation profile for a range of scenarios.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
IAssetPrice price = GetAssetPrice(factors);
PVProfiles result = valuationResults.Profile;
double scale = fDeal.Units * (fDeal.Buy_Sell == BuySell.Buy ? +1 : -1);
var tgi = new TimeGridIterator(fT);
VectorEngine.For(tgi, () => result.AppendVector(tgi.Date, scale * price.Get(tgi.T)));
result.Complete(fT);
CashAccumulators cashAccumulators = valuationResults.Cash;
double endDate = Deal.EndDate();
if (!cashAccumulators.Ignore && endDate <= fT.fHorizon)
{
double tEnd = CalcUtils.DaysToYears(endDate - factors.BaseDate);
IFxRate fxRate = factors.GetInterface <IFxRate>(fDeal.Currency);
cashAccumulators.Accumulate(fxRate, endDate, scale * price.Get(tEnd) / fxRate.Get(tEnd));
}
}
/// <summary>
/// Construct the array of known prices.
/// </summary>
public override double[] GetKnownPrices(DateList resetDates, PriceFactorList factors, IAssetPrice assetPrice)
{
bool isCompo = !string.IsNullOrEmpty(fPayoffCurrency) && fPayoffCurrency != Currency && Payoff_Type == PayoffType.Compo;
string assetCurrency = isCompo ? fPayoffCurrency : Currency;
double[] knownPrices;
double[] knownFxRates;
AssetPriceFxRateList.GetRates(resetDates, factors.BaseDate, Known_Prices, out knownPrices, out knownFxRates);
if (isCompo)
{
for (int i = 0; i < knownPrices.Length; ++i)
{
knownPrices[i] *= knownFxRates[i];
}
}
FillMissingKnownPricesFromRateFixings(knownPrices, resetDates, factors, assetPrice, assetCurrency);
return(knownPrices);
}
/// <summary>
/// Fills missing known prices with values from the rate fixings.
/// </summary>
protected void FillMissingKnownPricesFromRateFixings(double[] knownPrices, DateList resetDates, PriceFactorList factors, IAssetPrice assetPrice, string assetCurrency)
{
List <int> missingIndices;
List <DateTime> missingDates;
if (!GetMissingIndicesAndDates(knownPrices, resetDates, factors.BaseDate, out missingIndices, out missingDates))
{
return;
}
var rateFixings = factors.RateFixings.GetAssetPriceFixings(factors, assetPrice, assetCurrency, missingDates, factors.BaseDate, this, string.Empty).ToList();
ApplyFixings(missingIndices, rateFixings, knownPrices);
}
/// <summary> /// Construct the array of known prices. /// </summary> public abstract double[] GetKnownPrices(DateList resetDates, PriceFactorList factors, IAssetPrice assetPrice);