public JamshidianSwaptionEngine(ShortRateModel model) : this(NQuantLibcPINVOKE.new_JamshidianSwaptionEngine__SWIG_1(ShortRateModel.getCPtr(model)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public TreeSwaptionEngine(ShortRateModel model, uint timeSteps) : this(NQuantLibcPINVOKE.new_TreeSwaptionEngine__SWIG_1(ShortRateModel.getCPtr(model), timeSteps), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public FdG2SwaptionEngine(ShortRateModel model, uint tGrid, uint xGrid, uint yGrid, uint dampingSteps, double invEps) : this(NQuantLibcPINVOKE.new_FdG2SwaptionEngine__SWIG_1(ShortRateModel.getCPtr(model), tGrid, xGrid, yGrid, dampingSteps, invEps), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public FdG2SwaptionEngine(ShortRateModel model, uint tGrid) : this(NQuantLibcPINVOKE.new_FdG2SwaptionEngine__SWIG_5(ShortRateModel.getCPtr(model), tGrid), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public G2SwaptionEngine(ShortRateModel model, double range, uint intervals) : this(NQuantLibcPINVOKE.new_G2SwaptionEngine(ShortRateModel.getCPtr(model), range, intervals), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public TreeSwaptionEngine(ShortRateModel model, TimeGrid grid, YieldTermStructureHandle termStructure) : this(NQuantLibcPINVOKE.new_TreeSwaptionEngine__SWIG_2(ShortRateModel.getCPtr(model), TimeGrid.getCPtr(grid), YieldTermStructureHandle.getCPtr(termStructure)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public ShortRateModelHandle(ShortRateModel arg0) : this(NQuantLibcPINVOKE.new_ShortRateModelHandle__SWIG_0(ShortRateModel.getCPtr(arg0)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public FdHullWhiteSwaptionEngine(ShortRateModel model, uint tGrid, uint xGrid, uint dampingSteps, double invEps, FdmSchemeDesc schemeDesc) : this(NQuantLibcPINVOKE.new_FdHullWhiteSwaptionEngine__SWIG_0(ShortRateModel.getCPtr(model), tGrid, xGrid, dampingSteps, invEps, FdmSchemeDesc.getCPtr(schemeDesc)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
private static void calibrateModel(
ShortRateModel model,
CalibrationHelperVector helpers,
double lambda)
{
Simplex om = new Simplex(lambda);
model.calibrate(helpers, om,
new EndCriteria(1000, 250, 1e-7, 1e-7, 1e-7));
// Output the implied Black volatilities
for (int i = 0; i < numRows; i++)
{
int j = numCols - i - 1; // 1x5, 2x4, 3x3, 4x2, 5x1
int k = i * numCols + j;
double npv =
NQuantLibc.as_black_helper(helpers[i]).modelValue();
double implied =
NQuantLibc.as_black_helper(helpers[i]).impliedVolatility(
npv,
1e-4,
1000,
0.05,
0.50);
double diff = implied - swaptionVols[k];
Console.WriteLine("{0}x{1}: model {2}, market {3} ({4})",
i + 1, swapLengths[j], implied, swaptionVols[k], diff);
}
}
public JamshidianSwaptionEngine(ShortRateModel model, YieldTermStructureHandle termStructure) : this(NQuantLibcPINVOKE.new_JamshidianSwaptionEngine__SWIG_0(ShortRateModel.getCPtr(model), YieldTermStructureHandle.getCPtr(termStructure)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public TreeSwaptionEngine(ShortRateModel model, TimeGrid grid) : this(NQuantLibcPINVOKE.new_TreeSwaptionEngine__SWIG_3(ShortRateModel.getCPtr(model), TimeGrid.getCPtr(grid)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public TreeCapFloorEngine(ShortRateModel model, uint timeSteps, YieldTermStructureHandle termStructure) : this(NQuantLibcPINVOKE.new_TreeCapFloorEngine__SWIG_0(ShortRateModel.getCPtr(model), timeSteps, YieldTermStructureHandle.getCPtr(termStructure)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
static void CalibrateModel(ShortRateModel model,
List <CalibrationHelper> helpers)
{
if (model == null)
{
throw new ArgumentNullException("model");
}
var om = new LevenbergMarquardt();
model.calibrate(helpers, om,
new EndCriteria(400, 100, 1.0e-8, 1.0e-8, 1.0e-8), new Constraint(),
new List <double>());
// Output the implied Black volatilities
for (int i = 0; i < NumRows; i++)
{
int j = NumCols - i - 1; // 1x5, 2x4, 3x3, 4x2, 5x1
int k = i * NumCols + j;
double npv = helpers[i].modelValue();
double implied = helpers[i].impliedVolatility(npv, 1e-4,
1000, 0.05, 0.50);
double diff = implied - SwaptionVols[k];
Console.WriteLine("{0}x{1}: model {2:0.00000 %}, market {3:0.00000 %}, diff {4:0.00000 %} ",
i + 1, SwapLenghts[j], implied, SwaptionVols[k], diff);
}
}
public AnalyticCapFloorEngine(ShortRateModel model) : this(NQuantLibcPINVOKE.new_AnalyticCapFloorEngine__SWIG_1(ShortRateModel.getCPtr(model)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public void linkTo(ShortRateModel arg0)
{
NQuantLibcPINVOKE.RelinkableShortRateModelHandle_linkTo(swigCPtr, ShortRateModel.getCPtr(arg0));
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public ShortRateModel __deref__()
{
ShortRateModel ret = new ShortRateModel(NQuantLibcPINVOKE.ShortRateModelHandle___deref__(swigCPtr), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public ShortRateModel __deref__()
{
global::System.IntPtr cPtr = NQuantLibcPINVOKE.ShortRateModelHandle___deref__(swigCPtr);
ShortRateModel ret = (cPtr == global::System.IntPtr.Zero) ? null : new ShortRateModel(cPtr, true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
private static void CalibrateModel(ShortRateModel model, CalibrationHelperVector helpers, double lambda)
{
var om = new Simplex(lambda);
model.calibrate(helpers, om, new EndCriteria(1000, 250, 1e-7, 1e-7, 1e-7));
// Output the implied Black volatilities
for (int i = 0; i < NUM_ROWS; i++)
{
int j = NUM_COLS - i - 1; // 1x5, 2x4, 3x3, 4x2, 5x1
int k = i * NUM_COLS + j;
double npv = NQuantLibc.as_black_helper(helpers[i]).modelValue();
double implied = NQuantLibc.as_black_helper(helpers[i]).impliedVolatility(npv, 1e-4, 1000, 0.05, 0.50);
double diff = implied - SWAPTION_VOLS[k];
Console.WriteLine("{0}x{1}: model {2}, market {3} ({4})", i + 1, SWAP_LENGHTS[j], implied, SWAPTION_VOLS[k], diff);
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(ShortRateModel obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public TreeSwaptionEngine(ShortRateModel model, TimeGrid grid) : this(NQuantLibcPINVOKE.new_TreeSwaptionEngine__SWIG_3(ShortRateModel.getCPtr(model), TimeGrid.getCPtr(grid)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public TreeSwaptionEngine(ShortRateModel model, TimeGrid grid, YieldTermStructureHandle termStructure) : this(NQuantLibcPINVOKE.new_TreeSwaptionEngine__SWIG_2(ShortRateModel.getCPtr(model), TimeGrid.getCPtr(grid), YieldTermStructureHandle.getCPtr(termStructure)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public TreeSwaptionEngine(ShortRateModel model, uint timeSteps) : this(NQuantLibcPINVOKE.new_TreeSwaptionEngine__SWIG_1(ShortRateModel.getCPtr(model), timeSteps), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public ShortRateModel __deref__() {
ShortRateModel ret = new ShortRateModel(NQuantLibcPINVOKE.ShortRateModelHandle___deref__(swigCPtr), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
public G2SwaptionEngine(ShortRateModel model, double range, uint intervals) : this(NQuantLibcPINVOKE.new_G2SwaptionEngine(ShortRateModel.getCPtr(model), range, intervals), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public ShortRateModelHandle(ShortRateModel arg0) : this(NQuantLibcPINVOKE.new_ShortRateModelHandle__SWIG_0(ShortRateModel.getCPtr(arg0)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public TreeCallableFixedRateBondEngine(ShortRateModel model, uint timeSteps, YieldTermStructureHandle termStructure) : this(NQuantLibcPINVOKE.new_TreeCallableFixedRateBondEngine__SWIG_0(ShortRateModel.getCPtr(model), timeSteps, YieldTermStructureHandle.getCPtr(termStructure)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public AnalyticCapFloorEngine(ShortRateModel model, YieldTermStructureHandle termStructure) : this(NQuantLibcPINVOKE.new_AnalyticCapFloorEngine__SWIG_0(ShortRateModel.getCPtr(model), YieldTermStructureHandle.getCPtr(termStructure)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public AnalyticCapFloorEngine(ShortRateModel model) : this(NQuantLibcPINVOKE.new_AnalyticCapFloorEngine__SWIG_1(ShortRateModel.getCPtr(model)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(ShortRateModel obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
public JamshidianSwaptionEngine(ShortRateModel model) : this(NQuantLibcPINVOKE.new_JamshidianSwaptionEngine__SWIG_1(ShortRateModel.getCPtr(model)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
