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);
}
