/// <summary>
/// This method check scenario by scenario for defaults, overwriting bondValue as necessary
/// </summary>
public static void AdjustBondValueForDefault(double notional, double expiryTime, Vector bondValue, Vector bondIsAlive,
Vector historicalRecovery, Vector defaultTime, double currentTime, IInterestRate discountRate, RecoveryRate recoveryRate)
{
using (var cache = Vector.CacheLike(bondValue))
{
Vector recoveryValue = cache.Get();
Vector expiryDf = cache.Get();
discountRate.GetValue(expiryDf, currentTime, expiryTime);
recoveryRate.GetValue(recoveryValue, currentTime);
// If this is the period when the bond defaults fill in the historical recovery amount.
historicalRecovery.AssignConditional((defaultTime <= currentTime).And(bondIsAlive), recoveryValue * notional, historicalRecovery);
bondValue.AssignConditional((defaultTime <= currentTime), expiryDf * historicalRecovery, bondValue);
bondIsAlive.AssignConditional((defaultTime <= currentTime), 0.0, bondIsAlive);
}
}
/// <summary>
/// Returns the recovery rate to be used for realized default.
/// </summary>
protected override void RealizedRecoveryRate(Vector vout, RecoveryRate RR, double t)
{
RR.GetValue(vout, t);
}
