public double NPV(Trade trade, SimMarket simMarket)
{
double npv = 0.0;
try
{
double fx = simMarket.FxSpot(trade.NpvCurrency() + _baseCcyCode).link.value();
double numeraire = simMarket.Numeraire();
npv = trade.Instrument().NPV() * fx / numeraire;
}
catch (Exception ex)
{
//ALOG("Failed to price trade " << trade->id() << " : " << e.what());
npv = 0;
}
return(npv);
}
public ValuationEngine(Date today, DateGrid dg, SimMarket simMarket)
{
_today = today;
_dg = dg;
_simMarket = simMarket;
}
public override void Calculate(Trade trade, int tradeIndex, SimMarket simMarket, Date date, int dateIndex)
{
NPV(trade, simMarket);
}
public override void CalculateT0(Trade trade, int tradeIndex, SimMarket simMarket)
{
NPV(trade, simMarket);
}
public virtual void CalculateT0(Trade trade, int tradeIndex, SimMarket simMarket)
{
throw new NotImplementedException();
}
