Example #1
0
            public ImpliedVolHelper(CallableBond bond, double targetValue)
            {
                targetValue_ = targetValue;
                vol_         = new SimpleQuote(0.0);
                bond.blackVolQuote_.linkTo(vol_);

                Utils.QL_REQUIRE(bond.blackEngine_ != null, () => "Must set blackEngine_ to use impliedVolatility");

                engine_ = bond.blackEngine_;
                bond.setupArguments(engine_.getArguments());
                results_ = engine_.getResults() as Instrument.Results;
            }
Example #2
0
 public NpvSpreadHelper(CallableBond bond)
 {
     bond_    = bond;
     results_ = bond.engine_.getResults() as Instrument.Results;
     bond.setupArguments(bond.engine_.getArguments());
 }