public SwaptionHelper(Period maturity, Period length, Handle <Quote> volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, Handle <YieldTermStructure> termStructure, CalibrationErrorType errorType = CalibrationErrorType.RelativePriceError, double?strike = null, double nominal = 1.0) : base(volatility, termStructure, errorType) { exerciseDate_ = null; endDate_ = null; maturity_ = maturity; length_ = length; fixedLegTenor_ = fixedLegTenor; index_ = index; fixedLegDayCounter_ = fixedLegDayCounter; floatingLegDayCounter_ = floatingLegDayCounter; strike_ = strike; nominal_ = nominal; index_.registerWith(update); }
public SwaptionHelper(Date exerciseDate, Date endDate, Handle <Quote> volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, Handle <YieldTermStructure> termStructure, CalibrationErrorType errorType = CalibrationErrorType.RelativePriceError, double?strike = null, double nominal = 1.0, VolatilityType type = VolatilityType.ShiftedLognormal, double shift = 0.0) : base(volatility, termStructure, errorType, type, shift) { exerciseDate_ = exerciseDate; endDate_ = endDate; maturity_ = new Period(0, TimeUnit.Days); length_ = new Period(0, TimeUnit.Days); fixedLegTenor_ = fixedLegTenor; index_ = index; fixedLegDayCounter_ = fixedLegDayCounter; floatingLegDayCounter_ = floatingLegDayCounter; strike_ = strike; nominal_ = nominal; index_.registerWith(update); }
SwaptionHelper( Date exerciseDate, Period length, Handle<Quote> volatility, IborIndex index, Period fixedLegTenor, DayCounter fixedLegDayCounter, DayCounter floatingLegDayCounter, Handle<YieldTermStructure> termStructure, CalibrationErrorType errorType = CalibrationErrorType.RelativePriceError, double? strike = null, double nominal = 1.0) : base(volatility, termStructure, errorType) { exerciseDate_ = exerciseDate; endDate_ = null; maturity_ = new Period(0,TimeUnit.Days); length_ = length; fixedLegTenor_ = fixedLegTenor; index_ = index; fixedLegDayCounter_ = fixedLegDayCounter; floatingLegDayCounter_ = floatingLegDayCounter; strike_ = strike; nominal_ = nominal; index_.registerWith( update ); }
protected CalibrationHelper( Handle<Quote> volatility, Handle<YieldTermStructure> termStructure, CalibrationErrorType calibrationErrorType = CalibrationErrorType.RelativePriceError ) { volatility_ = volatility; termStructure_ = termStructure; calibrationErrorType_ = calibrationErrorType; volatility_.registerWith( update ); termStructure_.registerWith( update ); }
public CalibrationHelper( Handle<Quote> volatility, Handle<YieldTermStructure> termStructure, CalibrationErrorType calibrationErrorType = CalibrationErrorType.RelativePriceError ) { volatility_ = volatility; termStructure_ = termStructure; calibrationErrorType_ = calibrationErrorType; volatility_.registerWith( update ); termStructure_.registerWith( update ); }
protected CalibrationHelper(Handle <Quote> volatility, Handle <YieldTermStructure> termStructure, CalibrationErrorType calibrationErrorType = CalibrationErrorType.RelativePriceError, VolatilityType type = VolatilityType.ShiftedLognormal, double shift = 0.0) { volatility_ = volatility; termStructure_ = termStructure; calibrationErrorType_ = calibrationErrorType; volatilityType_ = type; shift_ = shift; volatility_.registerWith(update); termStructure_.registerWith(update); }
public CapHelper(Period length, Handle <Quote> volatility, IborIndex index, // data for ATM swap-rate calculation Frequency fixedLegFrequency, DayCounter fixedLegDayCounter, bool includeFirstSwaplet, Handle <YieldTermStructure> termStructure, CalibrationErrorType errorType = CalibrationErrorType.RelativePriceError) : base(volatility, termStructure, errorType) { length_ = length; index_ = index; fixedLegFrequency_ = fixedLegFrequency; fixedLegDayCounter_ = fixedLegDayCounter; includeFirstSwaplet_ = includeFirstSwaplet; index_.registerWith(update); }
public CapHelper( Period length, Handle<Quote> volatility, IborIndex index, // data for ATM swap-rate calculation Frequency fixedLegFrequency, DayCounter fixedLegDayCounter, bool includeFirstSwaplet, Handle<YieldTermStructure> termStructure, CalibrationErrorType errorType = CalibrationErrorType.RelativePriceError) : base(volatility, termStructure, errorType) { length_ = length; index_ = index; fixedLegFrequency_ = fixedLegFrequency; fixedLegDayCounter_ = fixedLegDayCounter; includeFirstSwaplet_ = includeFirstSwaplet; index_.registerWith(update); }