public TreeCallableFixedRateBondEngine(ShortRateModel model, TimeGrid timeGrid,
Handle <YieldTermStructure> termStructure)
: base(model, timeGrid)
{
termStructure_ = termStructure;
termStructure_.registerWith(update);
}
public LatticeShortRateModelEngine(ShortRateModel model,
int timeSteps)
: base(model)
{
timeSteps_ = timeSteps;
Utils.QL_REQUIRE(timeSteps > 0, () => "timeSteps must be positive, " + timeSteps + " not allowed");
}
public TreeVanillaSwapEngine(ShortRateModel model,
TimeGrid timeGrid,
Handle <YieldTermStructure> termStructure)
: base(model, timeGrid)
{
termStructure_ = termStructure;
termStructure_.registerWith(update);
}
public TreeSwaptionEngine(ShortRateModel model,
int timeSteps,
Handle <YieldTermStructure> termStructure)
: base(model, timeSteps)
{
termStructure_ = termStructure;
termStructure_.registerWith(update);
}
public LatticeShortRateModelEngine(ShortRateModel model,
TimeGrid timeGrid)
: base(model)
{
timeGrid_ = new TimeGrid(timeGrid.Last(), timeGrid.size() - 1 /*timeGrid.dt(1) - timeGrid.dt(0)*/);
timeGrid_ = timeGrid;
timeSteps_ = 0;
lattice_ = this.model_.link.tree(timeGrid);
}
public LatticeShortRateModelEngine(ShortRateModel model,
int timeSteps)
: base(model)
{
timeSteps_ = timeSteps;
if (!(timeSteps > 0))
{
throw new ArgumentException("timeSteps must be positive, " + timeSteps +
" not allowed");
}
}
static void CalibrateModel(ShortRateModel model,
List<CalibrationHelper> helpers)
{
if (model == null) throw new ArgumentNullException("model");
var om = new LevenbergMarquardt();
model.calibrate(helpers, om,
new EndCriteria(400, 100, 1.0e-8, 1.0e-8, 1.0e-8), new Constraint(),
new List<double>());
// Output the implied Black volatilities
for (int i = 0; i < NumRows; i++)
{
int j = NumCols - i - 1; // 1x5, 2x4, 3x3, 4x2, 5x1
int k = i * NumCols + j;
double npv = helpers[i].modelValue();
double implied = helpers[i].impliedVolatility(npv, 1e-4,
1000, 0.05, 0.50);
double diff = implied - SwaptionVols[k];
Console.WriteLine("{0}x{1}: model {2:0.00000 %}, market {3:0.00000 %}, diff {4:0.00000 %} ",
i + 1, SwapLenghts[j], implied, SwaptionVols[k], diff);
}
}
public TreeSwaptionEngine(ShortRateModel model,
TimeGrid timeGrid)
: this(model, timeGrid, new Handle <YieldTermStructure>())
{
}
/*! \name Constructors
* \note the term structure is only needed when the short-rate
* model cannot provide one itself.
*/
//@{
public TreeSwaptionEngine(ShortRateModel model,
int timeSteps)
: this(model, timeSteps, new Handle <YieldTermStructure>())
{
}
