public TestData()
{
refDate = new Date(23, Month.February, 2018);
Settings.Instance.setEvaluationDate(refDate);
yts2 = new Handle <YieldTermStructure>(new FlatForward(refDate, 0.02, new Actual365Fixed()));
swLn = new Handle <SwaptionVolatilityStructure>(new ConstantSwaptionVolatility(refDate, new TARGET(),
BusinessDayConvention.Following, 0.20, new Actual365Fixed(),
VolatilityType.ShiftedLognormal, 0.0));
swSln = new Handle <SwaptionVolatilityStructure>(new ConstantSwaptionVolatility(refDate, new TARGET(),
BusinessDayConvention.Following, 0.10, new Actual365Fixed(),
VolatilityType.ShiftedLognormal, 0.01));
swN = new Handle <SwaptionVolatilityStructure>(new ConstantSwaptionVolatility(refDate, new TARGET(),
BusinessDayConvention.Following, 0.0075, new Actual365Fixed(),
VolatilityType.Normal, 0.01));
reversion = new Handle <Quote>(new SimpleQuote(0.01));
cmsPricerLn = new LinearTsrPricer(swLn, reversion, yts2);
cmsPricerSln = new LinearTsrPricer(swSln, reversion, yts2);
cmsPricerN = new LinearTsrPricer(swN, reversion, yts2);
correlation = new Handle <Quote>(new SimpleQuote(0.6));
cmsspPricerLn = new LognormalCmsSpreadPricer(cmsPricerLn, cmsPricerLn, correlation, yts2, 32);
cmsspPricerSln = new LognormalCmsSpreadPricer(cmsPricerSln, cmsPricerSln, correlation, yts2, 32);
cmsspPricerN = new LognormalCmsSpreadPricer(cmsPricerN, cmsPricerN, correlation, yts2, 32);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(LognormalCmsSpreadPricer obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
