// private constructor
private SabrIborCapletFloorletVolatilityCalibrator(VolatilityIborCapFloorLegPricer pricer, SabrIborCapFloorLegPricer sabrPricer, NonLinearLeastSquare solver, ReferenceData referenceData) : base(pricer, referenceData)
{
this.sabrPricer = ArgChecker.notNull(sabrPricer, "sabrPricer");
this.solver = ArgChecker.notNull(solver, "solver");
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="capFloorLegPricer"> the pricer for <seealso cref="IborCapFloorLeg"/> </param>
/// <param name="payLegPricer"> the pricer for <seealso cref="SwapLeg"/> </param>
public SabrIborCapFloorProductPricer(SabrIborCapFloorLegPricer capFloorLegPricer, DiscountingSwapLegPricer payLegPricer) : base(capFloorLegPricer, payLegPricer)
{
this.capFloorLegPricer = capFloorLegPricer;
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates an instance.
/// <para>
/// The epsilon is the parameter used in <seealso cref="NonLinearLeastSquare"/>, where the iteration stops when certain
/// quantities are smaller than this parameter.
///
/// </para>
/// </summary>
/// <param name="pricer"> the cap pricer </param>
/// <param name="sabrPricer"> the SABR cap pricer </param>
/// <param name="epsilon"> the epsilon parameter </param>
/// <param name="referenceData"> the reference data </param>
/// <returns> the instance </returns>
public static SabrIborCapletFloorletVolatilityCalibrator of(VolatilityIborCapFloorLegPricer pricer, SabrIborCapFloorLegPricer sabrPricer, double epsilon, ReferenceData referenceData)
{
NonLinearLeastSquare solver = new NonLinearLeastSquare(SV_COMMONS, OG_ALGEBRA, epsilon);
return(new SabrIborCapletFloorletVolatilityCalibrator(pricer, sabrPricer, solver, referenceData));
}
