public CmsIntegrantProvider(SabrExtrapolationReplicationCmsPeriodPricer outerInstance, CmsPeriod cmsPeriod, ResolvedSwap swap, SabrSwaptionVolatilities swaptionVolatilities, double forward, double strike, double timeToExpiry, double tenor, double cutOffStrike, double eta)
{
this.outerInstance = outerInstance;
ResolvedSwapLeg fixedLeg = swap.getLegs(SwapLegType.FIXED).get(0);
this.nbFixedPeriod = fixedLeg.PaymentPeriods.size();
this.nbFixedPaymentYear = (int)(long)Math.Round(1d / ((RatePaymentPeriod)fixedLeg.PaymentPeriods.get(0)).AccrualPeriods.get(0).YearFraction, MidpointRounding.AwayFromZero);
this.tau = 1d / nbFixedPaymentYear;
this.eta = eta;
SabrFormulaData sabrPoint = SabrFormulaData.of(swaptionVolatilities.alpha(timeToExpiry, tenor), swaptionVolatilities.beta(timeToExpiry, tenor), swaptionVolatilities.rho(timeToExpiry, tenor), swaptionVolatilities.nu(timeToExpiry, tenor));
this.shift = swaptionVolatilities.shift(timeToExpiry, tenor);
this.sabrExtrapolation = SabrExtrapolationRightFunction.of(forward + shift, timeToExpiry, sabrPoint, cutOffStrike + shift, outerInstance.mu);
this.putCall = cmsPeriod.CmsPeriodType.Equals(CmsPeriodType.FLOORLET) ? PutCall.PUT : PutCall.CALL;
this.strike = strike;
this.factor = g(forward) / h(forward);
this.g0 = new double[4];
g0[0] = nbFixedPeriod * tau;
g0[1] = -0.5 * nbFixedPeriod * (nbFixedPeriod + 1.0d) * tau * tau;
g0[2] = -2.0d / 3.0d * g0[1] * (nbFixedPeriod + 2.0d) * tau;
g0[3] = -3.0d / 4.0d * g0[2] * (nbFixedPeriod + 2.0d) * tau;
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="cmsPeriodPricer"> the pricer for <seealso cref="CmsPeriod"/> </param>
public SabrExtrapolationReplicationCmsLegPricer(SabrExtrapolationReplicationCmsPeriodPricer cmsPeriodPricer)
{
this.cmsPeriodPricer = ArgChecker.notNull(cmsPeriodPricer, "cmsPeriodPricer");
}
public CmsDeltaIntegrantProvider(SabrExtrapolationReplicationCmsPeriodPricer outerInstance, CmsPeriod cmsPeriod, ResolvedSwap swap, SabrSwaptionVolatilities swaptionVolatilities, double forward, double strike, double timeToExpiry, double tenor, double cutOffStrike, double eta) : base(outerInstance, cmsPeriod, swap, swaptionVolatilities, forward, strike, timeToExpiry, tenor, cutOffStrike, eta)
{
this.outerInstance = outerInstance;
this.nnp_Renamed = nnp(forward);
}
