public void visit(DigitalCmsCoupon c)
{
CmsCouponPricer cmsCouponPricer = pricer_ as CmsCouponPricer;
Utils.QL_REQUIRE(cmsCouponPricer != null, () => "pricer not compatible with CMS coupon");
c.setPricer(cmsCouponPricer);
}
public LognormalCmsSpreadPricer(
CmsCouponPricer cmsPricer1,
CmsCouponPricer cmsPricer2,
Handle <Quote> correlation,
Handle <YieldTermStructure> couponDiscountCurve = null,
int integrationPoints = 16,
VolatilityType volatilityType = VolatilityType.None,
double?shift1 = null,
double?shift2 = null)
: base(correlation)
{
correlation_.registerWith(update);
cmsPricer1_ = cmsPricer1;
cmsPricer2_ = cmsPricer2;
couponDiscountCurve_ = couponDiscountCurve;
if (couponDiscountCurve_ != null && !couponDiscountCurve_.empty())
{
couponDiscountCurve_.registerWith(update);
}
cmsPricer1_.registerWith(update);
cmsPricer2_.registerWith(update);
Utils.QL_REQUIRE(integrationPoints >= 4,
() => "at least 4 integration points should be used ("
+ integrationPoints + ")");
integrator_ = new GaussHermiteIntegration(integrationPoints);
cnd_ = new CumulativeNormalDistribution(0.0, 1.0);
if (volatilityType == VolatilityType.None)
{
Utils.QL_REQUIRE(shift1 == null && shift2 == null,
() => "if volatility type is inherited, no shifts should be specified");
inheritedVolatilityType_ = true;
volType_ = cmsPricer1.swaptionVolatility().currentLink().volatilityType();
}
else
{
shift1_ = shift1 == null ? 0.0 : shift1.Value;
shift2_ = shift2 == null ? 0.0 : shift2.Value;
inheritedVolatilityType_ = false;
volType_ = volatilityType;
}
}
public MakeCms withCmsCouponPricer(CmsCouponPricer couponPricer)
{
couponPricer_ = couponPricer;
return(this);
}