Esempi in C# (CSharp) per QLNet SwaptionVolatilityStructure.smileSection

Esempio n. 1

File: ConundrumPricer.cs Progetto: minikie/test

 public BlackVanillaOptionPricer(double forwardValue, Date expiryDate, Period swapTenor, SwaptionVolatilityStructure volatilityStructure) {
     forwardValue_ = forwardValue;
     expiryDate_ = expiryDate;
     swapTenor_ = swapTenor;
     volatilityStructure_ = volatilityStructure;
     smile_ = volatilityStructure_.smileSection(expiryDate_, swapTenor_);
 }

Esempio n. 2

File: BlackVanillaOptionPricer.cs Progetto: vdt/QLNet

 public BlackVanillaOptionPricer(double forwardValue, Date expiryDate, Period swapTenor, SwaptionVolatilityStructure volatilityStructure)
 {
     _forwardValue = forwardValue;
     _expiryDate = expiryDate;
     _swapTenor = swapTenor;
     _volatilityStructure = volatilityStructure;
     _smile = _volatilityStructure.smileSection(_expiryDate, _swapTenor);
 }

Esempio n. 3

File: ConundrumPricer.cs Progetto: tzhdingli/qlnet

 public BlackVanillaOptionPricer(double forwardValue, Date expiryDate, Period swapTenor, SwaptionVolatilityStructure volatilityStructure)
 {
     forwardValue_        = forwardValue;
     expiryDate_          = expiryDate;
     swapTenor_           = swapTenor;
     volatilityStructure_ = volatilityStructure;
     smile_ = volatilityStructure_.smileSection(expiryDate_, swapTenor_);
 }

Esempio n. 4

File: BlackVanillaOptionPricer.cs Progetto: jmptrader/QLNet-1

 public BlackVanillaOptionPricer(double forwardValue, Date expiryDate, Period swapTenor, SwaptionVolatilityStructure volatilityStructure)
 {
     _forwardValue        = forwardValue;
     _expiryDate          = expiryDate;
     _swapTenor           = swapTenor;
     _volatilityStructure = volatilityStructure;
     _smile = _volatilityStructure.smileSection(_expiryDate, _swapTenor);
 }

Esempio n. 5

File: ConundrumPricer.cs Progetto: igitur/qlnet

        public BlackVanillaOptionPricer(double forwardValue, Date expiryDate, Period swapTenor, SwaptionVolatilityStructure volatilityStructure)
        {
            forwardValue_        = forwardValue;
            expiryDate_          = expiryDate;
            swapTenor_           = swapTenor;
            volatilityStructure_ = volatilityStructure;
            smile_ = volatilityStructure_.smileSection(expiryDate_, swapTenor_);

            Utils.QL_REQUIRE(volatilityStructure.volatilityType() == VolatilityType.ShiftedLognormal &&
                             Utils.close_enough(volatilityStructure.shift(expiryDate, swapTenor), 0.0), () =>
                             "BlackVanillaOptionPricer: zero-shift lognormal volatility required");
        }