public OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index) : this(NQuantLibcPINVOKE.new_OptionletStripper1__SWIG_7(CapFloorTermVolSurface.getCPtr(parVolSurface), IborIndex.getCPtr(index)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy) : this(NQuantLibcPINVOKE.new_OptionletStripper1__SWIG_5(CapFloorTermVolSurface.getCPtr(parVolSurface), IborIndex.getCPtr(index), switchStrikes, accuracy), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy, uint maxIter, YieldTermStructureHandle discount) : this(NQuantLibcPINVOKE.new_OptionletStripper1__SWIG_3(CapFloorTermVolSurface.getCPtr(parVolSurface), IborIndex.getCPtr(index), switchStrikes, accuracy, maxIter, YieldTermStructureHandle.getCPtr(discount)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public void setCapFloorTermVolSurface()
{
setTermStructure();
//cap volatility smile matrix
optionTenors = new List <Period>();
optionTenors.Add(new Period(1, TimeUnit.Years));
optionTenors.Add(new Period(18, TimeUnit.Months));
optionTenors.Add(new Period(2, TimeUnit.Years));
optionTenors.Add(new Period(3, TimeUnit.Years));
optionTenors.Add(new Period(4, TimeUnit.Years));
optionTenors.Add(new Period(5, TimeUnit.Years));
optionTenors.Add(new Period(6, TimeUnit.Years));
optionTenors.Add(new Period(7, TimeUnit.Years));
optionTenors.Add(new Period(8, TimeUnit.Years));
optionTenors.Add(new Period(9, TimeUnit.Years));
optionTenors.Add(new Period(10, TimeUnit.Years));
optionTenors.Add(new Period(12, TimeUnit.Years));
optionTenors.Add(new Period(15, TimeUnit.Years));
optionTenors.Add(new Period(20, TimeUnit.Years));
optionTenors.Add(new Period(25, TimeUnit.Years));
optionTenors.Add(new Period(30, TimeUnit.Years));
strikes = new List <double>();
strikes.Add(0.015);
strikes.Add(0.0175);
strikes.Add(0.02);
strikes.Add(0.0225);
strikes.Add(0.025);
strikes.Add(0.03);
strikes.Add(0.035);
strikes.Add(0.04);
strikes.Add(0.05);
strikes.Add(0.06);
strikes.Add(0.07);
strikes.Add(0.08);
strikes.Add(0.1);
termV = new Matrix(optionTenors.Count, strikes.Count);
termV[0, 0] = 0.287; termV[0, 1] = 0.274; termV[0, 2] = 0.256; termV[0, 3] = 0.245; termV[0, 4] = 0.227; termV[0, 5] = 0.148; termV[0, 6] = 0.096; termV[0, 7] = 0.09; termV[0, 8] = 0.11; termV[0, 9] = 0.139; termV[0, 10] = 0.166; termV[0, 11] = 0.19; termV[0, 12] = 0.214;
termV[1, 0] = 0.303; termV[1, 1] = 0.258; termV[1, 2] = 0.22; termV[1, 3] = 0.203; termV[1, 4] = 0.19; termV[1, 5] = 0.153; termV[1, 6] = 0.126; termV[1, 7] = 0.118; termV[1, 8] = 0.147; termV[1, 9] = 0.165; termV[1, 10] = 0.18; termV[1, 11] = 0.192; termV[1, 12] = 0.212;
termV[2, 0] = 0.303; termV[2, 1] = 0.257; termV[2, 2] = 0.216; termV[2, 3] = 0.196; termV[2, 4] = 0.182; termV[2, 5] = 0.154; termV[2, 6] = 0.134; termV[2, 7] = 0.127; termV[2, 8] = 0.149; termV[2, 9] = 0.166; termV[2, 10] = 0.18; termV[2, 11] = 0.192; termV[2, 12] = 0.212;
termV[3, 0] = 0.305; termV[3, 1] = 0.266; termV[3, 2] = 0.226; termV[3, 3] = 0.203; termV[3, 4] = 0.19; termV[3, 5] = 0.167; termV[3, 6] = 0.151; termV[3, 7] = 0.144; termV[3, 8] = 0.16; termV[3, 9] = 0.172; termV[3, 10] = 0.183; termV[3, 11] = 0.193; termV[3, 12] = 0.209;
termV[4, 0] = 0.294; termV[4, 1] = 0.261; termV[4, 2] = 0.216; termV[4, 3] = 0.201; termV[4, 4] = 0.19; termV[4, 5] = 0.171; termV[4, 6] = 0.158; termV[4, 7] = 0.151; termV[4, 8] = 0.163; termV[4, 9] = 0.172; termV[4, 10] = 0.181; termV[4, 11] = 0.188; termV[4, 12] = 0.201;
termV[5, 0] = 0.276; termV[5, 1] = 0.248; termV[5, 2] = 0.212; termV[5, 3] = 0.199; termV[5, 4] = 0.189; termV[5, 5] = 0.172; termV[5, 6] = 0.16; termV[5, 7] = 0.155; termV[5, 8] = 0.162; termV[5, 9] = 0.17; termV[5, 10] = 0.177; termV[5, 11] = 0.183; termV[5, 12] = 0.195;
termV[6, 0] = 0.26; termV[6, 1] = 0.237; termV[6, 2] = 0.21; termV[6, 3] = 0.198; termV[6, 4] = 0.188; termV[6, 5] = 0.172; termV[6, 6] = 0.161; termV[6, 7] = 0.156; termV[6, 8] = 0.161; termV[6, 9] = 0.167; termV[6, 10] = 0.173; termV[6, 11] = 0.179; termV[6, 12] = 0.19;
termV[7, 0] = 0.25; termV[7, 1] = 0.231; termV[7, 2] = 0.208; termV[7, 3] = 0.196; termV[7, 4] = 0.187; termV[7, 5] = 0.172; termV[7, 6] = 0.162; termV[7, 7] = 0.156; termV[7, 8] = 0.16; termV[7, 9] = 0.165; termV[7, 10] = 0.17; termV[7, 11] = 0.175; termV[7, 12] = 0.185;
termV[8, 0] = 0.244; termV[8, 1] = 0.226; termV[8, 2] = 0.206; termV[8, 3] = 0.195; termV[8, 4] = 0.186; termV[8, 5] = 0.171; termV[8, 6] = 0.161; termV[8, 7] = 0.156; termV[8, 8] = 0.158; termV[8, 9] = 0.162; termV[8, 10] = 0.166; termV[8, 11] = 0.171; termV[8, 12] = 0.18;
termV[9, 0] = 0.239; termV[9, 1] = 0.222; termV[9, 2] = 0.204; termV[9, 3] = 0.193; termV[9, 4] = 0.185; termV[9, 5] = 0.17; termV[9, 6] = 0.16; termV[9, 7] = 0.155; termV[9, 8] = 0.156; termV[9, 9] = 0.159; termV[9, 10] = 0.163; termV[9, 11] = 0.168; termV[9, 12] = 0.177;
termV[10, 0] = 0.235; termV[10, 1] = 0.219; termV[10, 2] = 0.202; termV[10, 3] = 0.192; termV[10, 4] = 0.183; termV[10, 5] = 0.169; termV[10, 6] = 0.159; termV[10, 7] = 0.154; termV[10, 8] = 0.154; termV[10, 9] = 0.156; termV[10, 10] = 0.16; termV[10, 11] = 0.164; termV[10, 12] = 0.173;
termV[11, 0] = 0.227; termV[11, 1] = 0.212; termV[11, 2] = 0.197; termV[11, 3] = 0.187; termV[11, 4] = 0.179; termV[11, 5] = 0.166; termV[11, 6] = 0.156; termV[11, 7] = 0.151; termV[11, 8] = 0.149; termV[11, 9] = 0.15; termV[11, 10] = 0.153; termV[11, 11] = 0.157; termV[11, 12] = 0.165;
termV[12, 0] = 0.22; termV[12, 1] = 0.206; termV[12, 2] = 0.192; termV[12, 3] = 0.183; termV[12, 4] = 0.175; termV[12, 5] = 0.162; termV[12, 6] = 0.153; termV[12, 7] = 0.147; termV[12, 8] = 0.144; termV[12, 9] = 0.144; termV[12, 10] = 0.147; termV[12, 11] = 0.151; termV[12, 12] = 0.158;
termV[13, 0] = 0.211; termV[13, 1] = 0.197; termV[13, 2] = 0.185; termV[13, 3] = 0.176; termV[13, 4] = 0.168; termV[13, 5] = 0.156; termV[13, 6] = 0.147; termV[13, 7] = 0.142; termV[13, 8] = 0.138; termV[13, 9] = 0.138; termV[13, 10] = 0.14; termV[13, 11] = 0.144; termV[13, 12] = 0.151;
termV[14, 0] = 0.204; termV[14, 1] = 0.192; termV[14, 2] = 0.18; termV[14, 3] = 0.171; termV[14, 4] = 0.164; termV[14, 5] = 0.152; termV[14, 6] = 0.143; termV[14, 7] = 0.138; termV[14, 8] = 0.134; termV[14, 9] = 0.134; termV[14, 10] = 0.137; termV[14, 11] = 0.14; termV[14, 12] = 0.148;
termV[15, 0] = 0.2; termV[15, 1] = 0.187; termV[15, 2] = 0.176; termV[15, 3] = 0.167; termV[15, 4] = 0.16; termV[15, 5] = 0.148; termV[15, 6] = 0.14; termV[15, 7] = 0.135; termV[15, 8] = 0.131; termV[15, 9] = 0.132; termV[15, 10] = 0.135; termV[15, 11] = 0.139; termV[15, 12] = 0.146;
capFloorVolSurface = new CapFloorTermVolSurface(0, calendar, BusinessDayConvention.Following, optionTenors, strikes,
termV, dayCounter);
}
public void setFlatTermVolSurface()
{
setTermStructure();
optionTenors = new InitializedList <Period>(10);
for (int i = 0; i < optionTenors.Count; ++i)
{
optionTenors[i] = new Period(i + 1, TimeUnit.Years);
}
strikes = new InitializedList <double>(10);
for (int j = 0; j < strikes.Count; ++j)
{
strikes[j] = (double)(j + 1) / 100.0;
}
double flatVol = .18;
termV = new Matrix(optionTenors.Count, strikes.Count, flatVol);
flatTermVolSurface = new CapFloorTermVolSurface(0, calendar, BusinessDayConvention.Following,
optionTenors, strikes, termV, dayCounter);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(CapFloorTermVolSurface obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
