/// <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);
CommitmentDeal deal = (CommitmentDeal)Deal;
// Add to valuation time grid
fT.Add(deal.Effective_Date - 1.0);
fT.Add(deal.Effective_Date);
for (int i = 0; i < deal.Amortisation.Count; ++i)
{
fT.AddPayDate(deal.Amortisation[i].Date);
}
}
/// <summary>
/// Calculate valuation profiles.
/// </summary>
public override void Value(ValuationResults valuationResults, PriceFactorList factors, BaseTimeGrid baseTimes)
{
PreValue(factors);
TimeGridIterator tgi = new TimeGridIterator(fT);
PVProfiles result = valuationResults.Profile;
CommitmentDeal deal = (CommitmentDeal)Deal;
VectorEngine.For(tgi, () =>
{
if (tgi.Date < deal.Effective_Date)
{
result.AppendZeroVector(tgi.Date);
}
else
{
double amount = deal.Amortisation.GetPrincipal(deal.Amount, tgi.Date - 1.0);
result.AppendVector(tgi.Date, fFxRate.Get(tgi.T) * amount);
}
});
result.Complete(fT);
}