/// <inheritdoc />
public override void HeadNodeInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.HeadNodeInitialize(factors, baseTimes, requiredResults);
CFListBaseDeal <TCashflowList> deal = (CFListBaseDeal <TCashflowList>)fDeal;
fSettlementOffsetHelper.InitialiseHolidayCalendars(factors.CalendarData);
deal.Cashflows.SetCashflowRounding(Cashflow_Rounding);
}
/// <summary>
/// Prepare for valuation anything that will be shared between scenarios.
/// </summary>
public override void PreCloneInitialize(PriceFactorList factors, BaseTimeGrid baseTimes, RequiredResults requiredResults)
{
base.PreCloneInitialize(factors, baseTimes, requiredResults);
CFListBaseDeal <TCashflowList> deal = (CFListBaseDeal <TCashflowList>)fDeal;
fBuySellSign = deal.Buy_Sell == BuySell.Buy ? +1 : -1;
fCutoffDate = fSettlementOffsetHelper.GetCutoffDate(factors.BaseDate);
}
/// <summary>
/// Prepare for valuation anything that is dependent upon the scenario.
/// </summary>
public override void PreValue(PriceFactorList factors)
{
base.PreValue(factors);
CFListBaseDeal <TCashflowList> deal = (CFListBaseDeal <TCashflowList>)fDeal;
if (string.IsNullOrEmpty(fDeal.GetIssuer()))
{
return;
}
if (UseSurvivalProbability())
{
fSurvivalProb = factors.GetInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.GetSurvivalProbability()) ? deal.GetIssuer() : deal.GetSurvivalProbability());
}
if (RespectDefault())
{
fRecoveryRate = factors.Get <RecoveryRate>(InterestRateUtils.GetRateId(deal.GetRecoveryRate(), deal.GetIssuer()));
fCreditRating = factors.Get <CreditRating>(deal.GetIssuer());
}
}
/// <summary>
/// Register price factors.
/// </summary>
public override void RegisterFactors(PriceFactorList factors, ErrorList errors)
{
base.RegisterFactors(factors, errors);
CFListBaseDeal <TCashflowList> deal = (CFListBaseDeal <TCashflowList>)fDeal;
if (string.IsNullOrEmpty(fDeal.GetIssuer()))
{
return;
}
if (UseSurvivalProbability())
{
factors.RegisterInterface <ISurvivalProb>(string.IsNullOrEmpty(deal.GetSurvivalProbability()) ? deal.GetIssuer() : deal.GetSurvivalProbability());
}
if (RespectDefault())
{
factors.Register <RecoveryRate>(InterestRateUtils.GetRateId(deal.GetRecoveryRate(), deal.GetIssuer()));
factors.Register <CreditRating>(deal.GetIssuer());
}
fSettlementOffsetHelper.ValidateHolidayCalendars(factors.CalendarData, errors);
}
/// <summary>
/// Returns true when the valuation is required on all cashflow dates.
/// </summary>
/// <remarks>
/// When true, the cashflows are calculated in the loop over time grid points.
/// When false, the cashflows are calculated by CollectCashflows.
/// </remarks>
protected virtual bool ValueOnCashflowDates()
{
CFListBaseDeal <TCashflowList> deal = (CFListBaseDeal <TCashflowList>)fDeal;
return(deal.IsCashSettled() || RespectDefault() && !string.IsNullOrEmpty(deal.GetIssuer()));
}
