public SwaptionVolCube1x(Handle <SwaptionVolatilityStructure> atmVolStructure,
List <Period> optionTenors,
List <Period> swapTenors,
List <double> strikeSpreads,
List <List <Handle <Quote> > > volSpreads,
SwapIndex swapIndexBase,
SwapIndex shortSwapIndexBase,
bool vegaWeightedSmileFit,
List <List <Handle <Quote> > > parametersGuess,
List <bool> isParameterFixed,
bool isAtmCalibrated,
EndCriteria endCriteria = null,
double?maxErrorTolerance = null,
OptimizationMethod optMethod = null,
double?errorAccept = null,
bool useMaxError = false,
int maxGuesses = 50,
bool backwardFlat = false,
double cutoffStrike = 0.0001)
: base(atmVolStructure, optionTenors, swapTenors, strikeSpreads, volSpreads, swapIndexBase,
shortSwapIndexBase, vegaWeightedSmileFit)
{
parametersGuessQuotes_ = parametersGuess;
isParameterFixed_ = isParameterFixed;
isAtmCalibrated_ = isAtmCalibrated;
endCriteria_ = endCriteria;
optMethod_ = optMethod;
useMaxError_ = useMaxError;
maxGuesses_ = maxGuesses;
backwardFlat_ = backwardFlat;
cutoffStrike_ = cutoffStrike;
if (maxErrorTolerance != null)
{
maxErrorTolerance_ = maxErrorTolerance.Value;
}
else
{
maxErrorTolerance_ = SWAPTIONVOLCUBE_TOL;
if (vegaWeightedSmileFit_)
{
maxErrorTolerance_ = SWAPTIONVOLCUBE_VEGAWEIGHTED_TOL;
}
}
if (errorAccept != null)
{
errorAccept_ = errorAccept.Value;
}
else
{
errorAccept_ = maxErrorTolerance_ / 5.0;
}
privateObserver_ = new PrivateObserver(this);
registerWithParametersGuess();
setParameterGuess();
}
public SwaptionVolCube1x(Handle <SwaptionVolatilityStructure> atmVolStructure,
List <Period> optionTenors,
List <Period> swapTenors,
List <double> strikeSpreads,
List <List <Handle <Quote> > > volSpreads,
SwapIndex swapIndexBase,
SwapIndex shortSwapIndexBase,
bool vegaWeightedSmileFit,
List <List <Handle <Quote> > > parametersGuess,
List <bool> isParameterFixed,
bool isAtmCalibrated,
EndCriteria endCriteria = null,
double?maxErrorTolerance = null,
OptimizationMethod optMethod = null,
double?errorAccept = null,
bool useMaxError = false,
int maxGuesses = 50,
bool backwardFlat = false,
double cutoffStrike = 0.0001)
: base(atmVolStructure, optionTenors, swapTenors, strikeSpreads, volSpreads, swapIndexBase,
shortSwapIndexBase, vegaWeightedSmileFit)
{
parametersGuessQuotes_ = parametersGuess;
isParameterFixed_ = isParameterFixed;
isAtmCalibrated_ = isAtmCalibrated;
endCriteria_ = endCriteria;
optMethod_ = optMethod;
useMaxError_ = useMaxError;
maxGuesses_ = maxGuesses;
backwardFlat_ = backwardFlat;
cutoffStrike_ = cutoffStrike;
// the current implementations are all lognormal, if we have
// a normal one, we can move this check to the implementing classes
Utils.QL_REQUIRE(atmVolStructure.link.volatilityType() == VolatilityType.ShiftedLognormal, () =>
"vol cubes of type 1 require a lognormal atm surface");
if (maxErrorTolerance != null)
{
maxErrorTolerance_ = maxErrorTolerance.Value;
}
else
{
maxErrorTolerance_ = SWAPTIONVOLCUBE_TOL;
if (vegaWeightedSmileFit_)
{
maxErrorTolerance_ = SWAPTIONVOLCUBE_VEGAWEIGHTED_TOL;
}
}
if (errorAccept != null)
{
errorAccept_ = errorAccept.Value;
}
else
{
errorAccept_ = maxErrorTolerance_ / 5.0;
}
privateObserver_ = new PrivateObserver(this);
registerWithParametersGuess();
setParameterGuess();
}
