/// <summary>
/// Aggregate the valuation profile onto a set of result curves to support result partitioning.
/// </summary>
protected override void ProcessResults(ValuationResults valResults, DealPartitionAssociations assoc, PriceFactorList factors, BaseTimeGrid baseTimes, ValuationOptions options, int partition)
{
var pvProfiles = valResults.Results <PVProfiles>();
var addOnProfiles = valResults.Results <AddOnProfiles>();
var positiveMtmProfiles = valResults.Results <PositiveMtmProfiles>();
Debug.Assert(addOnProfiles != null, "No Add-On profiles. Cannot proceed with valuation.");
Debug.Assert(positiveMtmProfiles != null, "No Positive mtM profiles. Cannot proceed with valuation.");
fT = Deal.ValuationGrid(factors, baseTimes, Deal.EndDate());
var tgi = new TimeGridIterator(fT);
var nettedExposure = new PVProfiles(factors.NumScenarios);
var collateralExposure = new PVProfiles(factors.NumScenarios);
var addOnsProfile = new PVProfiles(factors.NumScenarios);
var mtmTermProfile = new PVProfiles(factors.NumScenarios);
DealBaselNettingCollateralSet nettingSetDeal = Deal as DealBaselNettingCollateralSet;
bool collateralised = nettingSetDeal.Collateralised == YesNo.Yes;
using (var cache = Vector.Cache(factors.NumScenarios))
{
Vector sumMtm = cache.Get();
Vector sumPositiveMtm = cache.Get();
Vector addOns = cache.Get();
Vector netGrossRatio = cache.Get();
Vector value = cache.Get();
Vector term1 = cache.Get();
Vector term2 = cache.Get();
// Collateral related vectors.
Vector mtmTermStart = cache.Get();
Vector addOnHp = cache.Get();
// Loop to get the netting set exposure.
while (tgi.Next())
{
sumMtm.Clear();
sumPositiveMtm.Clear();
addOns.Clear();
value.Clear();
double date = tgi.Date;
// For MtM Plus Add-On deals PV profiles represents the sum of the MtM profile and Add-On profile.
// Subtract the Add-On profile to recover the MtM profile before flooring.
sumMtm.Assign(VectorMath.Max(pvProfiles[date] - addOnProfiles[date], 0.0));
addOns.Assign(addOnProfiles[date]);
sumPositiveMtm.Assign(positiveMtmProfiles[date]);
netGrossRatio.AssignConditional(sumPositiveMtm > 0, sumMtm / sumPositiveMtm, 0.0);
netGrossRatio.MultiplyBy(this.fNetGrossRatioCorrelation);
netGrossRatio.Add(1 - this.fNetGrossRatioCorrelation);
term2.AssignProduct(addOns, netGrossRatio);
term1.Assign(VectorMath.Max(sumMtm, 0.0));
value.AssignSum(term1, term2);
nettedExposure.AppendVector(date, value);
if (collateralised)
{
mtmTermProfile.AppendVector(date, term1);
addOnsProfile.AppendVector(date, term2);
}
}
nettedExposure.Complete(this.fT);
var exposureResults = valResults.Results <Exposure>();
if (exposureResults != null)
{
exposureResults.Assign(nettedExposure);
}
// Collateral cases.
if (collateralised)
{
mtmTermProfile.Complete(this.fT);
addOnsProfile.Complete(this.fT);
double date = factors.BaseDate;
mtmTermProfile.GetValue(mtmTermStart, date);
addOnsProfile.GetValue(addOnHp, date + nettingSetDeal.Holding_Period);
// Assume we have post haircut collateral.
double collateral = nettingSetDeal.Balance;
double threshold = nettingSetDeal.Threshold;
tgi.Reset();
// Loop to get the netting set exposure.
while (tgi.Next())
{
bool inHoldingPeriod = tgi.T < CalcUtils.DaysToYears(nettingSetDeal.Holding_Period);
CollateralBasel3(mtmTermStart, collateral, addOnHp, threshold, inHoldingPeriod, tgi.Date,
nettedExposure,
collateralExposure);
}
collateralExposure.Complete(this.fT);
if (exposureResults != null)
{
exposureResults.Assign(collateralExposure);
}
}
}
if (options.PartitionCollateralMode != PartitionCollateralMode.Suppress_Collateral_And_Flooring || partition < options.NumTotalPartitions)
{
valResults.FloorResult(assoc.AggregationMode, options);
}
CollateralPlugIn.CollateralBalancesContainer coProfiles = valResults.Results <CollateralPlugIn.CollateralBalancesContainer>();
// Store collateral information according to diagnostic collection rules.
if (coProfiles != null)
{
coProfiles.StoreInformation(this);
}
}