public ImpliedVolHelper(CapFloor cap,
Handle <YieldTermStructure> discountCurve,
double targetValue,
double displacement,
VolatilityType type)
{
discountCurve_ = discountCurve;
targetValue_ = targetValue;
vol_ = new SimpleQuote(-1.0);
Handle <Quote> h = new Handle <Quote>(vol_);
switch (type)
{
case VolatilityType.ShiftedLognormal:
engine_ = (IPricingEngine) new BlackCapFloorEngine(discountCurve_, h, new Actual365Fixed(), displacement);
break;
case VolatilityType.Normal:
engine_ = (IPricingEngine) new BachelierCapFloorEngine(discountCurve_, h, new Actual365Fixed());
break;
default:
Utils.QL_FAIL("unknown VolatilityType (" + type.ToString() + ")");
break;
}
cap.setupArguments(engine_.getArguments());
results_ = engine_.getResults() as Instrument.Results;
}
public ImpliedVolHelper_(Swaption swaption,
Handle <YieldTermStructure> discountCurve,
double targetValue,
double?displacement = 0.0,
VolatilityType type = VolatilityType.ShiftedLognormal)
{
discountCurve_ = discountCurve;
targetValue_ = targetValue;
// set an implausible value, so that calculation is forced
// at first ImpliedVolHelper::operator()(Volatility x) call
vol_ = new SimpleQuote(-1.0);
Handle <Quote> h = new Handle <Quote>(vol_);
switch (type)
{
case VolatilityType.ShiftedLognormal:
engine_ = new BlackSwaptionEngine(discountCurve_, h, new Actual365Fixed(), displacement);
break;
case VolatilityType.Normal:
engine_ = new BachelierSwaptionEngine(discountCurve_, h, new Actual365Fixed());
break;
default:
Utils.QL_FAIL("unknown VolatilityType (" + type.ToString() + ")");
break;
}
swaption.setupArguments(engine_.getArguments());
results_ = engine_.getResults() as Instrument.Results;
}
public PriceError(IPricingEngine engine, SimpleQuote vol, double targetValue)
{
engine_ = engine;
vol_ = vol;
targetValue_ = targetValue;
results_ = engine_.getResults() as Instrument.Results;
Utils.QL_REQUIRE(results_ != null, () => "pricing engine does not supply needed results");
}
/*! When a derived result structure is defined for an instrument,
* this method should be overridden to read from it.
* This is mandatory in case a pricing engine is used. */
public virtual void fetchResults(IPricingEngineResults r)
{
Instrument.Results results = r as Instrument.Results;
if (results == null)
{
throw new ArgumentException("no results returned from pricing engine");
}
NPV_ = results.value;
CASH_ = results.cash;
errorEstimate_ = results.errorEstimate;
valuationDate_ = results.valuationDate;
additionalResults_ = new Dictionary <string, object>(results.additionalResults);
}
