// cleanup
//SavedSettings backup;
// setup
public CommonVars()
{
conventions = new SwaptionMarketConventions();
conventions.setConventions();
atm = new AtmVolatility();
atm.setMarketData();
atmVolMatrix = new RelinkableHandle <SwaptionVolatilityStructure> (new
SwaptionVolatilityMatrix(conventions.calendar,
conventions.optionBdc,
atm.tenors.options,
atm.tenors.swaps,
atm.volsHandle,
conventions.dayCounter));
termStructure = new RelinkableHandle <YieldTermStructure>();
termStructure.linkTo((new FlatForward(0, conventions.calendar,
0.05, new Actual365Fixed())));
}
