public FloatFloatSwaption(FloatFloatSwap swap, Exercise exercise, Settlement.Type delivery, Settlement.Method settlementMethod) : this(NQuantLibcPINVOKE.new_FloatFloatSwaption__SWIG_0(FloatFloatSwap.getCPtr(swap), Exercise.getCPtr(exercise), (int)delivery, (int)settlementMethod), true)
 {
     if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
     {
         throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
     }
 }
Ejemplo n.º 2
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 public NonstandardSwaption(NonstandardSwap swap, Exercise exercise, Settlement.Type type) : this(NQuantLibcPINVOKE.new_NonstandardSwaption__SWIG_1(NonstandardSwap.getCPtr(swap), Exercise.getCPtr(exercise), (int)type), true)
 {
     if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
     {
         throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
     }
 }
Ejemplo n.º 3
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 public Swaption(VanillaSwap swap, Exercise exercise, Settlement.Type delivery)
     : base(new Payoff(), exercise)
 {
     settlementType_ = delivery;
     swap_           = swap;
     swap_.registerWith(update);
 }
Ejemplo n.º 4
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 public Swaption(VanillaSwap swap, Exercise exercise)
     : base(new Payoff(), exercise)
 {
     settlementType_ = Settlement.Type.Physical;
     swap_           = swap;
     swap_.registerWith(update);
 }
Ejemplo n.º 5
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 public Swaption(VanillaSwap simpleSwap, Exercise exercise, Settlement.Type type) : this(NQuantLibcPINVOKE.new_Swaption__SWIG_0(VanillaSwap.getCPtr(simpleSwap), Exercise.getCPtr(exercise), (int)type), true)
 {
     if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
     {
         throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
     }
 }
 public Settlement.Type settlementType()
 {
     Settlement.Type ret = (Settlement.Type)NQuantLibcPINVOKE.Swaption_settlementType(swigCPtr);
     if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
     {
         throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
     }
     return(ret);
 }
Ejemplo n.º 7
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 public MakeSwaption(SwapIndex swapIndex,
                     Period optionTenor,
                     double strike)
 {
     swapIndex_        = swapIndex;
     delivery_         = Settlement.Type.Physical;
     optionTenor_      = optionTenor;
     optionConvention_ = BusinessDayConvention.ModifiedFollowing;
     strike_           = strike;
 }
Ejemplo n.º 8
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 public MakeSwaption(SwapIndex swapIndex,
     Period optionTenor,
     double strike)
 {
     swapIndex_ = swapIndex;
     delivery_ = Settlement.Type.Physical;
     optionTenor_ = optionTenor;
     optionConvention_ = BusinessDayConvention.ModifiedFollowing;
     strike_ = strike;
 }
Ejemplo n.º 9
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            public Swaption makeSwaption(VanillaSwap swap, Date exercise, double volatility)
            {
                Settlement.Type settlementType = Settlement.Type.Physical;
                Handle <Quote>  vol            = new Handle <Quote>(new SimpleQuote(volatility));
                IPricingEngine  engine         = new BlackSwaptionEngine(termStructure, vol);
                Swaption        result         = new Swaption(swap, new EuropeanExercise(exercise), settlementType);

                result.setPricingEngine(engine);
                return(result);
            }
Ejemplo n.º 10
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 public Swaption(VanillaSwap swap,
                 Exercise exercise,
                 Settlement.Type delivery           = Settlement.Type.Physical,
                 Settlement.Method settlementMethod = Settlement.Method.PhysicalOTC)
     : base(new Payoff(), exercise)
 {
     settlementType_   = delivery;
     settlementMethod_ = settlementMethod;
     swap_             = swap;
     swap_.registerWith(update);
 }
Ejemplo n.º 11
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 public MakeSwaption withSettlementType(Settlement.Type delivery)
 {
     delivery_ = delivery;
     return(this);
 }
Ejemplo n.º 12
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 public Arguments()
 {
     settlementType = Settlement.Type.Physical;
 }
Ejemplo n.º 13
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 public MakeSwaption withSettlementType(Settlement.Type delivery)
 {
     delivery_ = delivery;
     return this;
 }