public VannaVolgaDoubleBarrierEngine(Handle <DeltaVolQuote> atmVol,
Handle <DeltaVolQuote> vol25Put,
Handle <DeltaVolQuote> vol25Call,
Handle <Quote> spotFX,
Handle <YieldTermStructure> domesticTS,
Handle <YieldTermStructure> foreignTS,
GetOriginalEngine getEngine,
bool adaptVanDelta = false,
double bsPriceWithSmile = 0.0,
int series = 5)
: base()
{
atmVol_ = atmVol;
vol25Put_ = vol25Put;
vol25Call_ = vol25Call;
T_ = atmVol_.link.maturity();
spotFX_ = spotFX;
domesticTS_ = domesticTS;
foreignTS_ = foreignTS;
adaptVanDelta_ = adaptVanDelta;
bsPriceWithSmile_ = bsPriceWithSmile;
series_ = series;
getOriginalEngine_ = getEngine;
Utils.QL_REQUIRE(vol25Put_.link.delta().IsEqual(-0.25), () => "25 delta put is required by vanna volga method");
Utils.QL_REQUIRE(vol25Call_.link.delta().IsEqual(0.25), () => "25 delta call is required by vanna volga method");
Utils.QL_REQUIRE(vol25Put_.link.maturity().IsEqual(vol25Call_.link.maturity()) &&
vol25Put_.link.maturity().IsEqual(atmVol_.link.maturity()), () =>
"Maturity of 3 vols are not the same");
Utils.QL_REQUIRE(!domesticTS_.empty(), () => "domestic yield curve is not defined");
Utils.QL_REQUIRE(!foreignTS_.empty(), () => "foreign yield curve is not defined");
atmVol_.registerWith(update);
vol25Put_.registerWith(update);
vol25Call_.registerWith(update);
spotFX_.registerWith(update);
domesticTS_.registerWith(update);
foreignTS_.registerWith(update);
}
public ForwardVanillaEngine(GeneralizedBlackScholesProcess process, GetOriginalEngine getEngine)
{
process_ = process;
process_.registerWith(update);
getOriginalEngine_ = getEngine;
}
public ForwardPerformanceVanillaEngine(GeneralizedBlackScholesProcess process, GetOriginalEngine getEngine)
: base(process, getEngine)
{
}
