public RelinkableOptionletVolatilityStructureHandle(OptionletVolatilityStructure arg0) : this(NQuantLibcPINVOKE.new_RelinkableOptionletVolatilityStructureHandle__SWIG_0(OptionletVolatilityStructure.getCPtr(arg0)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public void linkTo(OptionletVolatilityStructure arg0)
{
NQuantLibcPINVOKE.RelinkableOptionletVolatilityStructureHandle_linkTo(swigCPtr, OptionletVolatilityStructure.getCPtr(arg0));
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public OptionletVolatilityStructure __deref__()
{
OptionletVolatilityStructure ret = new OptionletVolatilityStructure(NQuantLibcPINVOKE.OptionletVolatilityStructureHandle___deref__(swigCPtr), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public OptionletVolatilityStructure __deref__()
{
global::System.IntPtr cPtr = NQuantLibcPINVOKE.OptionletVolatilityStructureHandle___deref__(swigCPtr);
OptionletVolatilityStructure ret = (cPtr == global::System.IntPtr.Zero) ? null : new OptionletVolatilityStructure(cPtr, true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public void testCapletPricing()
{
//"Testing caplet pricing...";
//SavedSettings backup;
const int size = 10;
#if QL_USE_INDEXED_COUPON
const double tolerance = 1e-5;
#else
const double tolerance = 1e-12;
#endif
IborIndex index = makeIndex();
LiborForwardModelProcess process = new LiborForwardModelProcess(size, index);
// set-up pricing engine
OptionletVolatilityStructure capVolCurve = makeCapVolCurve(Settings.evaluationDate());
Vector variances = new LfmHullWhiteParameterization(process, capVolCurve).covariance(0.0, null).diagonal();
LmVolatilityModel volaModel = new LmFixedVolatilityModel(Vector.Sqrt(variances), process.fixingTimes());
LmCorrelationModel corrModel = new LmExponentialCorrelationModel(size, 0.3);
IAffineModel model = (IAffineModel)(new LiborForwardModel(process, volaModel, corrModel));
Handle <YieldTermStructure> termStructure = process.index().forwardingTermStructure();
AnalyticCapFloorEngine engine1 = new AnalyticCapFloorEngine(model, termStructure);
Cap cap1 = new Cap(process.cashFlows(),
new InitializedList <double>(size, 0.04));
cap1.setPricingEngine(engine1);
const double expected = 0.015853935178;
double calculated = cap1.NPV();
if (Math.Abs(expected - calculated) > tolerance)
{
Assert.Fail("Failed to reproduce npv"
+ "\n calculated: " + calculated
+ "\n expected: " + expected);
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(OptionletVolatilityStructure obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public void linkTo(OptionletVolatilityStructure arg0) {
NQuantLibcPINVOKE.RelinkableOptionletVolatilityStructureHandle_linkTo(swigCPtr, OptionletVolatilityStructure.getCPtr(arg0));
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public RelinkableOptionletVolatilityStructureHandle(OptionletVolatilityStructure arg0) : this(NQuantLibcPINVOKE.new_RelinkableOptionletVolatilityStructureHandle__SWIG_0(OptionletVolatilityStructure.getCPtr(arg0)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(OptionletVolatilityStructure obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
public OptionletVolatilityStructure __deref__() {
OptionletVolatilityStructure ret = new OptionletVolatilityStructure(NQuantLibcPINVOKE.OptionletVolatilityStructureHandle___deref__(swigCPtr), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
