public override void updatePath(List <KeyValuePair <Date, double> > events,
NotionalPath path)
{
path.reset();
for (int i = 0; i < events.Count; ++i)
{
if (events[i].Value >= threshold_)
{
path.addReduction(paymentOffset_.paymentDate(events[i].Key), 0.0);
}
}
}
public override void updatePath(List <KeyValuePair <Date, double> > events, NotionalPath path)
{
path.reset();
double losses = 0;
double previousNotional = 1;
for (int i = 0; i < events.Count; ++i)
{
losses += events[i].Value;
if (losses > attachement_ && previousNotional > 0)
{
previousNotional = Math.Max(0.0, (exhaustion_ - losses) / (exhaustion_ - attachement_));
path.addReduction(paymentOffset_.paymentDate(events[i].Key), previousNotional);
}
}
}
