public BachelierSpec()
{
type_ = VolatilityType.Normal;
}
public double impliedVolatility(double price, YieldTermStructureHandle disc, double guess, double accuracy, uint maxEvaluations, double minVol, double maxVol, VolatilityType type)
{
double ret = NQuantLibcPINVOKE.CapFloor_impliedVolatility__SWIG_1(swigCPtr, price, YieldTermStructureHandle.getCPtr(disc), guess, accuracy, maxEvaluations, minVol, maxVol, (int)type);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public ConstantOptionletVolatility(uint settlementDays, Calendar cal, BusinessDayConvention bdc, double volatility, DayCounter dayCounter, VolatilityType type) : this(NQuantLibcPINVOKE.new_ConstantOptionletVolatility__SWIG_7(settlementDays, Calendar.getCPtr(cal), (int)bdc, volatility, DayCounter.getCPtr(dayCounter), (int)type), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public Black76Spec()
{
type_ = VolatilityType.ShiftedLognormal;
}
public LinearInterpolatedSmileSection(double expiryTime, DoubleVector strikes, DoubleVector stdDevs, double atmLevel, Linear interpolator, DayCounter dc, VolatilityType type) : this(NQuantLibcPINVOKE.new_LinearInterpolatedSmileSection__SWIG_6(expiryTime, DoubleVector.getCPtr(strikes), DoubleVector.getCPtr(stdDevs), atmLevel, Linear.getCPtr(interpolator), DayCounter.getCPtr(dc), (int)type), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public ConstantOptionletVolatility(Date referenceDate, Calendar cal, BusinessDayConvention bdc, QuoteHandle volatility, DayCounter dayCounter, VolatilityType type) : this(NQuantLibcPINVOKE.new_ConstantOptionletVolatility__SWIG_4(Date.getCPtr(referenceDate), Calendar.getCPtr(cal), (int)bdc, QuoteHandle.getCPtr(volatility), DayCounter.getCPtr(dayCounter), (int)type), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public SwaptionVolatilityMatrix(Date referenceDate, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter, bool flatExtrapolation, VolatilityType type, Matrix shifts) : this(NQuantLibcPINVOKE.new_SwaptionVolatilityMatrix__SWIG_12(Date.getCPtr(referenceDate), DateVector.getCPtr(dates), PeriodVector.getCPtr(lengths), Matrix.getCPtr(vols), DayCounter.getCPtr(dayCounter), flatExtrapolation, (int)type, Matrix.getCPtr(shifts)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
/// <summary>
/// Default Constructor
/// </summary>
public Order()
{
openClose = "O";
origin = OrderOrigin.Customer;
transmit = true;
tif = TimeInForce.Day;
designatedLocation = "";
minQty = int.MaxValue;
percentOffset = double.MaxValue;
nbboPriceCap = decimal.MaxValue;
startingPrice = decimal.MaxValue;
stockRefPrice = double.MaxValue;
delta = double.MaxValue;
stockRangeLower = double.MaxValue;
stockRangeUpper = double.MaxValue;
volatility = double.MaxValue;
volatilityType = VolatilityType.Undefined;
deltaNeutralOrderType = OrderType.Empty;
deltaNeutralAuxPrice = double.MaxValue;
referencePriceType = int.MaxValue;
trailStopPrice = decimal.MaxValue;
basisPoints = decimal.MaxValue;
basisPointsType = int.MaxValue;
scaleInitLevelSize = int.MaxValue;
scaleSubsLevelSize = int.MaxValue;
scalePriceIncrement = decimal.MaxValue;
faMethod = FinancialAdvisorAllocationMethod.None;
notHeld = false;
exemptCode = -1;
optOutSmartRouting = false;
deltaNeutralConId = 0;
deltaNeutralOrderType = OrderType.Empty;
deltaNeutralSettlingFirm = string.Empty;
deltaNeutralClearingAccount = string.Empty;
deltaNeutralClearingIntent = string.Empty;
DeltaNeutralOpenClose = "";
DeltaNeutralShortSale = false;
DeltaNeutralShortSaleSlot = 0;
DeltaNeutralDesignatedLocation = "";
referencePriceType = int.MaxValue;
trailStopPrice = decimal.MaxValue;
TrailingPercent = double.MaxValue;
BasisPoints = decimal.MaxValue;
basisPointsType = int.MaxValue;
scaleInitLevelSize = int.MaxValue;
scaleSubsLevelSize = int.MaxValue;
scalePriceIncrement = decimal.MaxValue;
ScalePriceAdjustValue = double.MaxValue;
ScalePriceAdjustInterval = int.MaxValue;
ScaleProfitOffset = double.MaxValue;
ScaleAutoReset = false;
ScaleInitPosition = int.MaxValue;
ScaleInitFillQty = int.MaxValue;
ScaleRandomPercent = false;
ScaleTable = "";
whatIf = false;
notHeld = false;
Conditions = new List<OrderCondition>();
TriggerPrice = double.MaxValue;
LmtPriceOffset = double.MaxValue;
AdjustedStopPrice = double.MaxValue;
AdjustedStopLimitPrice = double.MaxValue;
AdjustedTrailingAmount = double.MaxValue;
ExtOperator = "";
}
public SabrSmileSection(Date d, double forward, List <double> sabrParams, DayCounter dc = null, VolatilityType volatilityType = VolatilityType.ShiftedLognormal, double shift = 0.0)
: base(d, dc ?? new Actual365Fixed(), null, volatilityType, shift)
{
forward_ = forward;
shift_ = shift;
volatilityType_ = volatilityType;
alpha_ = sabrParams[0];
beta_ = sabrParams[1];
nu_ = sabrParams[2];
rho_ = sabrParams[3];
Utils.QL_REQUIRE(volatilityType == VolatilityType.Normal || forward_ + shift_ > 0.0, () => "at the money forward rate +shift must be: " + forward_ + shift_ + " not allowed");
Utils.validateSabrParameters(alpha_, beta_, nu_, rho_);
}
public OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy, uint maxIter, YieldTermStructureHandle discount, VolatilityType type) : this(NQuantLibcPINVOKE.new_OptionletStripper1__SWIG_2(CapFloorTermVolSurface.getCPtr(parVolSurface), IborIndex.getCPtr(index), switchStrikes, accuracy, maxIter, YieldTermStructureHandle.getCPtr(discount), (int)type), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public ConstantSwaptionVolatility(uint settlementDays, Calendar cal, BusinessDayConvention bdc, QuoteHandle volatility, DayCounter dc, VolatilityType type) : this(NQuantLibcPINVOKE.new_ConstantSwaptionVolatility__SWIG_1(settlementDays, Calendar.getCPtr(cal), (int)bdc, QuoteHandle.getCPtr(volatility), DayCounter.getCPtr(dc), (int)type), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public ConstantSwaptionVolatility(Date referenceDate, Calendar cal, BusinessDayConvention bdc, double volatility, DayCounter dc, VolatilityType type) : this(NQuantLibcPINVOKE.new_ConstantSwaptionVolatility__SWIG_10(Date.getCPtr(referenceDate), Calendar.getCPtr(cal), (int)bdc, volatility, DayCounter.getCPtr(dc), (int)type), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
/// <summary>
/// Default Constructor
/// </summary>
public Order()
{
openClose = "O";
origin = OrderOrigin.Customer;
transmit = true;
tif = TimeInForce.Day;
designatedLocation = "";
minQty = int.MaxValue;
percentOffset = double.MaxValue;
nbboPriceCap = decimal.MaxValue;
startingPrice = decimal.MaxValue;
stockRefPrice = double.MaxValue;
delta = double.MaxValue;
stockRangeLower = double.MaxValue;
stockRangeUpper = double.MaxValue;
volatility = double.MaxValue;
volatilityType = VolatilityType.Undefined;
deltaNeutralOrderType = OrderType.Empty;
deltaNeutralAuxPrice = double.MaxValue;
referencePriceType = int.MaxValue;
trailStopPrice = decimal.MaxValue;
basisPoints = decimal.MaxValue;
basisPointsType = int.MaxValue;
scaleInitLevelSize = int.MaxValue;
scaleSubsLevelSize = int.MaxValue;
scalePriceIncrement = decimal.MaxValue;
faMethod = FinancialAdvisorAllocationMethod.None;
notHeld = false;
exemptCode = -1;
optOutSmartRouting = false;
deltaNeutralConId = 0;
deltaNeutralOrderType = OrderType.Empty;
deltaNeutralSettlingFirm = string.Empty;
deltaNeutralClearingAccount = string.Empty;
deltaNeutralClearingIntent = string.Empty;
DeltaNeutralOpenClose = "";
DeltaNeutralShortSale = false;
DeltaNeutralShortSaleSlot = 0;
DeltaNeutralDesignatedLocation = "";
referencePriceType = int.MaxValue;
trailStopPrice = decimal.MaxValue;
TrailingPercent = double.MaxValue;
BasisPoints = decimal.MaxValue;
basisPointsType = int.MaxValue;
scaleInitLevelSize = int.MaxValue;
scaleSubsLevelSize = int.MaxValue;
scalePriceIncrement = decimal.MaxValue;
ScalePriceAdjustValue = double.MaxValue;
ScalePriceAdjustInterval = int.MaxValue;
ScaleProfitOffset = double.MaxValue;
ScaleAutoReset = false;
ScaleInitPosition = int.MaxValue;
ScaleInitFillQty = int.MaxValue;
ScaleRandomPercent = false;
ScaleTable = "";
whatIf = false;
notHeld = false;
Conditions = new List <OrderCondition>();
TriggerPrice = double.MaxValue;
LmtPriceOffset = double.MaxValue;
AdjustedStopPrice = double.MaxValue;
AdjustedStopLimitPrice = double.MaxValue;
AdjustedTrailingAmount = double.MaxValue;
ExtOperator = "";
}
public MonotonicCubicInterpolatedSmileSection(Date d, DoubleVector strikes, DoubleVector stdDevs, double atmLevel, DayCounter dc, MonotonicCubic interpolator, Date referenceDate, VolatilityType type) : this(NQuantLibcPINVOKE.new_MonotonicCubicInterpolatedSmileSection__SWIG_17(Date.getCPtr(d), DoubleVector.getCPtr(strikes), DoubleVector.getCPtr(stdDevs), atmLevel, DayCounter.getCPtr(dc), MonotonicCubic.getCPtr(interpolator), Date.getCPtr(referenceDate), (int)type), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public SwaptionVolatilityMatrix(Date referenceDate, Calendar calendar, BusinessDayConvention bdc, DateVector dates, PeriodVector lengths, Matrix vols, DayCounter dayCounter, bool flatExtrapolation, VolatilityType type) : this(NQuantLibcPINVOKE.new_SwaptionVolatilityMatrix__SWIG_1(Date.getCPtr(referenceDate), Calendar.getCPtr(calendar), (int)bdc, DateVector.getCPtr(dates), PeriodVector.getCPtr(lengths), Matrix.getCPtr(vols), DayCounter.getCPtr(dayCounter), flatExtrapolation, (int)type), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public MonotonicCubicInterpolatedSmileSection(double expiryTime, DoubleVector strikes, QuoteHandleVector stdDevHandles, QuoteHandle atmLevel, MonotonicCubic interpolator, DayCounter dc, VolatilityType type) : this(NQuantLibcPINVOKE.new_MonotonicCubicInterpolatedSmileSection__SWIG_1(expiryTime, DoubleVector.getCPtr(strikes), QuoteHandleVector.getCPtr(stdDevHandles), QuoteHandle.getCPtr(atmLevel), MonotonicCubic.getCPtr(interpolator), DayCounter.getCPtr(dc), (int)type), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public SwaptionVolatilityMatrix(Calendar calendar, BusinessDayConvention bdc, PeriodVector optionTenors, PeriodVector swapTenors, QuoteHandleVectorVector vols, DayCounter dayCounter, bool flatExtrapolation, VolatilityType type) : this(NQuantLibcPINVOKE.new_SwaptionVolatilityMatrix__SWIG_5(Calendar.getCPtr(calendar), (int)bdc, PeriodVector.getCPtr(optionTenors), PeriodVector.getCPtr(swapTenors), QuoteHandleVectorVector.getCPtr(vols), DayCounter.getCPtr(dayCounter), flatExtrapolation, (int)type), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
/// <summary>
/// Default Constructor
/// </summary>
public Order()
{
openClose = "O";
origin = OrderOrigin.Customer;
transmit = true;
tif = TimeInForce.Day;
designatedLocation = "";
minQty = Int32.MaxValue;
percentOffset = Double.MaxValue;
nbboPriceCap = decimal.MaxValue;
startingPrice = decimal.MaxValue;
stockRefPrice = Double.MaxValue;
delta = Double.MaxValue;
stockRangeLower = Double.MaxValue;
stockRangeUpper = Double.MaxValue;
volatility = Double.MaxValue;
volatilityType = VolatilityType.Undefined;
deltaNeutralOrderType = OrderType.Empty;
deltaNeutralAuxPrice = Double.MaxValue;
referencePriceType = Int32.MaxValue;
trailStopPrice = decimal.MaxValue;
basisPoints = decimal.MaxValue;
basisPointsType = Int32.MaxValue;
scaleInitLevelSize = Int32.MaxValue;
scaleSubsLevelSize = Int32.MaxValue;
scalePriceIncrement = decimal.MaxValue;
faMethod = FinancialAdvisorAllocationMethod.None;
notHeld = false;
exemptCode = -1;
optOutSmartRouting = false;
deltaNeutralConId = 0;
deltaNeutralOrderType = OrderType.Empty;
deltaNeutralSettlingFirm = string.Empty;
deltaNeutralClearingAccount = string.Empty;
deltaNeutralClearingIntent = string.Empty;
}
public LinearInterpolatedSmileSection(Date d, DoubleVector strikes, DoubleVector stdDevs, double atmLevel, DayCounter dc, Linear interpolator, Date referenceDate, VolatilityType type, double shift) : this(NQuantLibcPINVOKE.new_LinearInterpolatedSmileSection__SWIG_16(Date.getCPtr(d), DoubleVector.getCPtr(strikes), DoubleVector.getCPtr(stdDevs), atmLevel, DayCounter.getCPtr(dc), Linear.getCPtr(interpolator), Date.getCPtr(referenceDate), (int)type, shift), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
