public BlackSwaptionEngine(Handle <YieldTermStructure> discountCurve,
Handle <Quote> vol, DayCounter dc = null,
double?displacement = 0.0,
CashAnnuityModel model = CashAnnuityModel.DiscountCurve)
: base(discountCurve, vol, dc, displacement, model)
{
}
public BachelierSwaptionEngine(Handle <YieldTermStructure> discountCurve,
Handle <SwaptionVolatilityStructure> vol,
CashAnnuityModel model = CashAnnuityModel.DiscountCurve)
: base(discountCurve, vol, 0.0, model)
{
Utils.QL_REQUIRE(vol.link.volatilityType() == VolatilityType.Normal,
() => "BachelierSwaptionEngine requires normal input volatility");
}
public BlackSwaptionEngine(Handle <YieldTermStructure> discountCurve,
Handle <SwaptionVolatilityStructure> vol,
double?displacement = null,
CashAnnuityModel model = CashAnnuityModel.DiscountCurve)
: base(discountCurve, vol, displacement, model)
{
Utils.QL_REQUIRE(vol.link.volatilityType() == VolatilityType.ShiftedLognormal,
() => "BlackSwaptionEngine requires (shifted) lognormal input volatility");
}
public BlackStyleSwaptionEngine(Handle <YieldTermStructure> discountCurve,
Handle <SwaptionVolatilityStructure> volatility,
double?displacement = 0.0,
CashAnnuityModel model = CashAnnuityModel.DiscountCurve)
{
discountCurve_ = discountCurve;
vol_ = volatility;
model_ = model;
displacement_ = displacement;
discountCurve_.registerWith(update);
vol_.registerWith(update);
}
public BlackStyleSwaptionEngine(Handle <YieldTermStructure> discountCurve,
double vol,
DayCounter dc = null,
double?displacement = 0.0,
CashAnnuityModel model = CashAnnuityModel.DiscountCurve)
{
dc = dc == null ? new Actual365Fixed() : dc;
discountCurve_ = discountCurve;
vol_ = new Handle <SwaptionVolatilityStructure>(new ConstantSwaptionVolatility(0, new NullCalendar(),
BusinessDayConvention.Following, vol, dc, new Spec().type(), displacement));
model_ = model;
displacement_ = displacement;
discountCurve_.registerWith(update);
}
public BachelierSwaptionEngine(Handle <YieldTermStructure> discountCurve,
Handle <Quote> vol, DayCounter dc = null,
CashAnnuityModel model = CashAnnuityModel.DiscountCurve)
: base(discountCurve, vol, dc, 0.0, model)
{
}
