public QuantoVanillaOption(Payoff payoff, Exercise exercise) : this(NQuantLibcPINVOKE.new_QuantoVanillaOption(Payoff.getCPtr(payoff), Exercise.getCPtr(exercise)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public ContinuousAveragingAsianOption(Average.Type averageType, Payoff payoff, Exercise exercise) : this(NQuantLibcPINVOKE.new_ContinuousAveragingAsianOption((int)averageType, Payoff.getCPtr(payoff), Exercise.getCPtr(exercise)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public DividendVanillaOption(Payoff payoff, Exercise exercise, DateVector dividendDates, DoubleVector dividends) : this(NQuantLibcPINVOKE.new_DividendVanillaOption(Payoff.getCPtr(payoff), Exercise.getCPtr(exercise), DateVector.getCPtr(dividendDates), DoubleVector.getCPtr(dividends)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public ForwardVanillaOption(double moneyness, Date resetDate, Payoff payoff, Exercise exercise) : this(NQuantLibcPINVOKE.new_ForwardVanillaOption(moneyness, Date.getCPtr(resetDate), Payoff.getCPtr(payoff), Exercise.getCPtr(exercise)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public VanillaSwingOption(Payoff payoff, SwingExercise ex, uint minExerciseRights, uint maxExerciseRights) : this(NQuantLibcPINVOKE.new_VanillaSwingOption(Payoff.getCPtr(payoff), SwingExercise.getCPtr(ex), minExerciseRights, maxExerciseRights), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public BlackCalculator(Payoff payoff, double forward, double stdDev) : this(NQuantLibcPINVOKE.new_BlackCalculator__SWIG_1(Payoff.getCPtr(payoff), forward, stdDev), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public BrownianBridgePricer(Payoff payoff, Func <double> discounter, GBM stochasticDE, double step) : base(payoff, discounter)
{
price = sum = sum2 = 0.0; NSim = 0;
rand = new Random();
dt = step;
sde = stochasticDE;
}
public AverageBasketPayoff(Payoff p, uint n) : this(NQuantLibcPINVOKE.new_AverageBasketPayoff__SWIG_1(Payoff.getCPtr(p), n), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public AverageBasketPayoff(Payoff p, QlArray a) : this(NQuantLibcPINVOKE.new_AverageBasketPayoff__SWIG_0(Payoff.getCPtr(p), QlArray.getCPtr(a)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
//Smoothing as describe in Orc quant guide.
private void Smooth(string str, ITree spotTree)
{
if (str != null)
{
double dt = spotTree.Tau / spotTree.Gridsteps;
if ((str.ToLower() == "y") | (str.ToLower() == "yes"))
{
int centre = 0;
int k, j;
int idx = Gridsteps - 1;
for (k = 1; spotTree.GetSpotMatrix(idx, k - 1) <= Strike &&
spotTree.GetSpotMatrix(idx, k) <= Strike &&
k <= Gridsteps - 1; k++)
{
}
if (k == 1)
{
centre = 2;
}
else if (k >= Gridsteps - 1)
{
centre = Gridsteps - 2;
}
else if (k <= Gridsteps - 2 && (k > 1))
{
if (Math.Abs(spotTree.GetSpotMatrix(idx, k - 2) / Strike - 1) >
Math.Abs(spotTree.GetSpotMatrix(idx, k + 1) / Strike - 1))
{
centre = k;
}
else
{
centre = k - 1;
}
}
for (j = centre - 1; j <= centre + 1; j++)
{
double temp;
if (Payoff.ToLower() == "c" || (Payoff.ToLower() == "call"))
{
//temp = BSprice(SpotTree.Get_SpotMatrix(idx, j)
//, dt, Strike, get_r(idx), SpotTree.sig, "C");
double fwd = spotTree.GetSpotMatrix(idx, j) - spotTree.GetDiv(idx);
fwd *= Math.Exp(spotTree.GetR(idx) * dt);
temp = BSprice(fwd, dt, Strike, spotTree.GetR(idx), spotTree.Sig, "C");
SetPriceMatrix(idx, j, temp);
}
else if ((Payoff.ToLower() == "p") || (Payoff.ToLower() == "put"))
{
//temp = BSprice(SpotTree.Get_SpotMatrix(idx, j)
//, dt, Strike, get_r(idx), SpotTree.sig, "P");
double fwd = spotTree.GetSpotMatrix(idx, j) - spotTree.GetDiv(idx);
fwd *= Math.Exp(spotTree.GetR(idx) * dt);
temp = BSprice(fwd, dt, Strike, spotTree.GetR(idx), spotTree.Sig, "P");
SetPriceMatrix(idx, j, temp);
}
}
}
}
}
public MinBasketPayoff(Payoff p) : this(NQuantLibcPINVOKE.new_MinBasketPayoff(Payoff.getCPtr(p)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
private IPricer GetPricer(Payoff payoff, Func <double> discounter)
{
// Choice here
IPricer op = new EuropeanPricer(payoff, discounter);
path += op.ProcessPath;
finish += op.PostProcess;
// Payoff payoff2 = x => Math.Max(0.0, x - K);
Payoff fixedStrikePayoff = x => Math.Max(0.0, K - x);
/* IPricer op2 = new EuropeanPricer(payoff2, discounter);
* path += op2.ProcessPath;
* finish += op2.PostProcess;*/
// Payoff fixedStrikePayoff = x => Math.Max(0.0, x - K);
Payoff ArithmeticAverage = A => Math.Max(0.0, A - K);
IPricer op3 = new AsianPricer(ArithmeticAverage, discounter);
path += op3.ProcessPath;
finish += op3.PostProcess;
/* IPricer op4 = new LSMPricer(payoff2, discounter, 10, 10, 60.0);
* path += op4.ProcessPath;
* finish += op4.PostProcess;*/
return(op);
}
public bool PayOff(Payoff payoff)
{
using (var dbContext = new TextLandDbContext())
{
dbContext.Users.Attach(payoff.RequestingUser);
var newPayoff = dbContext.Payoffs.Add(payoff);
dbContext.SaveChanges();
return((newPayoff != null) ? true : false);
}
}
//Make grid passing in a tree object.
public void MakeGrid(ITree spotTree)
{
Gridsteps = spotTree.Gridsteps;
EmptyArrays();
MakeArrays();
FillRates(spotTree);
TermValue(spotTree);
FillP(spotTree);
PreTermValue(spotTree);
Smooth(Smoothing, spotTree);
//Iterate backward through tree to price American or Euro calls or puts.
double temp;
double dt = spotTree.Tau / spotTree.Gridsteps;
if ((Style.ToLower() == "a") | (Style.ToLower() == "american"))
{
for (int i = Gridsteps - 2; i >= 0; i--)
{
for (int j = 0; j <= i; j++)
{
if ((Payoff.ToLower() == "c") | (Payoff.ToLower() == "call"))
{
temp = Math.Max(Math.Exp(-spotTree.GetR(i) * dt) * (GetP(i) *
GetPriceMatrix(i + 1, j + 1) + (1 - GetP(i)) *
GetPriceMatrix(i + 1, j)), spotTree.GetSpotMatrix(i, j)
- Strike);
SetPriceMatrix(i, j, temp);
}
else if ((Payoff.ToLower() == "p") | (Payoff.ToLower() == "put"))
{
temp = Math.Max(Math.Exp(-spotTree.GetR(i) * dt) * (GetP(i) *
GetPriceMatrix(i + 1, j + 1) + (1 - GetP(i)) *
GetPriceMatrix(i + 1, j)), Strike - spotTree.GetSpotMatrix(i, j));
SetPriceMatrix(i, j, temp);
}
}
}
}
else if ((Style.ToLower() == "e") | (Style.ToLower() == "european"))
{
for (int i = Gridsteps - 2; i >= 0; i--)
{
for (int j = 0; j <= i; j++)
{
temp = Math.Exp(-spotTree.GetR(i) * dt) * (GetP(i) *
GetPriceMatrix(i + 1, j + 1) + (1 - GetP(i)) *
GetPriceMatrix(i + 1, j));
SetPriceMatrix(i, j, temp);
}
}
}
}
public Payoff payoff()
{
global::System.IntPtr cPtr = NQuantLibcPINVOKE.Option_payoff(swigCPtr);
Payoff ret = (cPtr == global::System.IntPtr.Zero) ? null : new Payoff(cPtr, true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
/// <summary>
/// Makes the grid.
/// </summary>
private void MakeGrid()
{
EmptyArrays();
MakeArrays();
TermValue();
PreTermValue();
Smooth(Smoothing);
//Iterate backward through tree to price American or Euro calls or puts.
int n = Tree.Columns;
double _tau = Tree.Time;
double temp = 0;
double dt = _tau / Tree.Columns;
if ((Style.ToLower() == "a") | (Style.ToLower() == "american"))
{
for (int i = n - 2; i >= 0; i--)
{
for (int j = 0; j <= i; j++)
{
if ((Payoff.ToLower() == "c") | (Payoff.ToLower() == "call"))
{
temp = Math.Max(Math.Exp(-Tree.Rate(i) * dt) * (GetP(i) *
GetPriceMatrix(i + 1, j + 1) + (1 - GetP(i)) *
GetPriceMatrix(i + 1, j)), Tree.Underlying(i, j)
- Strike);
SetPriceMatrix(i, j, temp);
}
else if ((Payoff.ToLower() == "p") | (Payoff.ToLower() == "put"))
{
temp = Math.Max(Math.Exp(-Tree.Rate(i) * dt) * (GetP(i) *
GetPriceMatrix(i + 1, j + 1) + (1 - GetP(i)) *
GetPriceMatrix(i + 1, j)), Strike - Tree.Underlying(i, j));
SetPriceMatrix(i, j, temp);
}
}
}
}
else if ((Style.ToLower() == "e") | (Style.ToLower() == "european"))
{
for (int i = n - 2; i >= 0; i--)
{
for (int j = 0; j <= i; j++)
{
temp = Math.Exp(-Tree.Rate(i) * dt) * (GetP(i) *
GetPriceMatrix(i + 1, j + 1) + (1 - GetP(i)) *
GetPriceMatrix(i + 1, j));
SetPriceMatrix(i, j, temp);
}
}
}
}
public Tuple <ISde, FdmBase, IRng> Parts()
{ // V2, parts initialised from the inside
// Get the SDE
ISde sde = GetSde();
IRng rng = GetRng();
FdmBase fdm = GetFdm(sde);
Payoff payoff = x => Math.Max(0.0, K - x);
//Payoff payoff = x => Math.Max(0.0, x - K);
Func <double> discounter = () => Math.Exp(-r * T);
IPricer pricer = GetPricer(payoff, discounter);
return(new Tuple <ISde, FdmBase, IRng>(sde, fdm, rng));
}
public static String payoffTypeToString(Payoff h)
{
object hd = null;
hd = h as PlainVanillaPayoff;
if (hd != null)
{
return("plain-vanilla");
}
hd = h as CashOrNothingPayoff;
if (hd != null)
{
return("cash-or-nothing");
}
hd = h as AssetOrNothingPayoff;
if (hd != null)
{
return("asset-or-nothing");
}
hd = h as SuperSharePayoff;
if (hd != null)
{
return("super-share");
}
hd = h as SuperFundPayoff;
if (hd != null)
{
return("super-fund");
}
hd = h as PercentageStrikePayoff;
if (hd != null)
{
return("percentage-strike");
}
hd = h as GapPayoff;
if (hd != null)
{
return("gap");
}
hd = h as FloatingTypePayoff;
if (hd != null)
{
return("floating-type");
}
Utils.QL_FAIL("unknown payoff type");
return(String.Empty);
}
public double Run(int iter, Payoff payoff)
{
int it = iter;
ParallelOptions parallel_options = new ParallelOptions {
MaxDegreeOfParallelism = 16
};
double sum = 0.0;
Parallel.For(0, iter, parallel_options, (i) =>
{
ParallelOperation.Add(ref sum, payoff(this.param, this.mc.Next()));
});
return(sum / iter);
}
private IPricer GetPricer(Payoff payoff, Func <double> discounter)
{
// Choice here
// IPricer op = new EuropeanPricer(payoff, discounter);
// path += op.ProcessPath;
// finish += op.PostProcess;
//Payoff payoff2 = x => Math.Max(0.0, x - K);
Payoff payoff2 = x => Math.Max(0.0, K - x);
IPricer op2 = new EuropeanPricer(payoff2, discounter);
path += op2.ProcessPath;
finish += op2.PostProcess;
return(op2);
}
/// <summary>
/// Gets the vega.
/// </summary>
/// <returns></returns>
public double GetVega()
{
double spot = Tree.Underlying(0, 0);
double _tau = Tree.Time;
BinomialTreePricer lhs1 = new BinomialTreePricer(spot, Strike, Payoff.ToLower()[0] == 'p', _tau, 0.99 * _vol, Tree.Columns, _flatFlag, Style, Smoothing, _ratedays, _rateamts, _divdays, _divamts, _treeType);
BinomialTreePricer lhs2 = new BinomialTreePricer(spot, Strike, Payoff.ToLower()[0] == 'p', _tau, 1.01 * _vol, Tree.Columns, _flatFlag, Style, Smoothing, _ratedays, _rateamts, _divdays, _divamts, _treeType);
double P1 = lhs1.GetPrice();
double P2 = lhs2.GetPrice();
double vega = 0.0;
if (_vol != 0)
{
vega = 0.01 * (P2 - P1) / (2 * 0.01 * _vol);
}
return(vega);
}
public BasketPayoff basketTypeToPayoff(BasketType basketType, Payoff p)
{
switch (basketType)
{
case BasketType.MinBasket:
return(new MinBasketPayoff(p));
case BasketType.MaxBasket:
return(new MaxBasketPayoff(p));
case BasketType.SpreadBasket:
return(new SpreadBasketPayoff(p));
}
Utils.QL_FAIL("unknown basket option type");
return(null);
}
/// <summary>
/// Gets the vega.
/// </summary>
/// <returns></returns>
public double GetVega()
{
double spot = Tree.Underlying(0, 0);
double tau = Tree.Time;
BinomialTreePricer lhs1 = new BinomialTreePricer(spot, Strike, Payoff.ToLower()[0] == 'p', tau, 0.99 * _volatility, Tree.Columns, _flatFlag, Style, Smoothing, _rateDays, _rateAmounts, _dividendDays, _dividendAmounts, _treeType);
BinomialTreePricer lhs2 = new BinomialTreePricer(spot, Strike, Payoff.ToLower()[0] == 'p', tau, 1.01 * _volatility, Tree.Columns, _flatFlag, Style, Smoothing, _rateDays, _rateAmounts, _dividendDays, _dividendAmounts, _treeType);
double p1 = lhs1.GetPrice();
double p2 = lhs2.GetPrice();
double vega = 0.0;
if (_volatility != 0)
{
vega = 0.01 * (p2 - p1) / (2 * 0.01 * _volatility);
}
return(vega);
}
protected Forward(DayCounter dayCounter, Calendar calendar, BusinessDayConvention businessDayConvention,
int settlementDays, Payoff payoff, Date valueDate, Date maturityDate,
Handle <YieldTermStructure> discountCurve)
{
dayCounter_ = dayCounter;
calendar_ = calendar;
businessDayConvention_ = businessDayConvention;
settlementDays_ = settlementDays;
payoff_ = payoff;
valueDate_ = valueDate;
maturityDate_ = maturityDate;
discountCurve_ = discountCurve;
maturityDate_ = calendar_.adjust(maturityDate_, businessDayConvention_);
Settings.registerWith(update);
discountCurve_.registerWith(update);
}
public bool PayOff(int userId)
{
var user = _usersRepository.GetUserById(userId);
if (user == null || user.AccountForCompletedOrders <= 0)
{
return(false);
}
var payoff = new Payoff()
{
RequestingUser = user,
Value = user.AccountForCompletedOrders
};
ResetAccount(user); //to chcę stąd wywalić i zrobić w inny sposób
return(_usersRepository.PayOff(payoff));
}
/// <summary>
/// Gets the gamma.
/// </summary>
/// <returns></returns>
public double GetGamma()
{
double spot = Tree.Underlying(0, 0);
int steps = Tree.Columns + 2;
double tau = Tree.Time * (1 + 2 / steps);
BinomialTreePricer clone = new BinomialTreePricer(spot, Strike, Payoff.ToLower()[0] == 'p', tau, _volatility, steps, _flatFlag, Style, Smoothing, _rateDays, _rateAmounts, _dividendDays, _dividendAmounts, _treeType);
double[] s = new double[3];
double[] c = new double[3];
for (int i = 0; i <= 2; ++i)
{
s[i] = clone.Tree.Underlying(2, i);
c[i] = clone.GetPriceMatrix(2, i);
}
double gamma = 2 * (s[0] * (c[1] - c[2]) + s[1] * (c[2] - c[0]) + s[2] * (c[0] - c[1]))
/ (s[1] - s[0]) / (s[2] - s[0]) / (s[2] - s[1]);
return(gamma);
}
/// <summary>
/// Gets the gamma.
/// </summary>
/// <returns></returns>
public double GetGamma()
{
double spot = Tree.Underlying(0, 0);
int steps = Tree.Columns + 2;
double tau = Tree.Time * (1 + 2 / steps);
BinomialTreePricer clone = new BinomialTreePricer(spot, Strike, Payoff.ToLower()[0] == 'p', tau, _vol, steps, _flatFlag, Style, Smoothing, _ratedays, _rateamts, _divdays, _divamts, _treeType);
double[] S = new double[3];
double[] C = new double[3];
for (int i = 0; i <= 2; ++i)
{
S[i] = clone.Tree.Underlying(2, i);
C[i] = clone.GetPriceMatrix(2, i);
}
double gamma = 2 * (S[0] * (C[1] - C[2]) + S[1] * (C[2] - C[0]) + S[2] * (C[0] - C[1]))
/ (S[1] - S[0]) / (S[2] - S[0]) / (S[2] - S[1]);
return(gamma);
}
/// <summary>
/// Transfer Payoff to the DeSciL AMT Service
/// </summary>
/// <param name="accessCode">AccessCode of Turker</param>
/// <param name="bonus">Exit Code of Turker</param>
/// <returns>Service Response as JSON string</returns>
public string AddPayoff(string accessCode, double bonus)
{
var payoff = new Payoff
{
AccessCode = accessCode,
Bonus = bonus,
BonusReason = ""
};
var contract = new PostPayoffContract
{
Operation = "PostPayoffs",
ServiceKey = _serviceKey,
ProjectCode = _projectCode
};
contract.Payoffs.Add(payoff);
string json = JsonConvert.SerializeObject(contract);
return Post(json);
}
//Assign terminal payoff condition.
private void TermValue(ITree spotTree)
{
if (spotTree != null)
{
for (int j = 0; j <= Gridsteps; j++)
{
double temp;
Payoff = Payoff.ToLower();
if ((Payoff == "c") | (Payoff == "call"))
{
temp = Math.Max(spotTree.GetSpotMatrix(Gridsteps, j) - Strike, 0);
SetPriceMatrix(Gridsteps, j, temp);
}
else if ((Payoff.ToLower() == "p") | (Payoff.ToLower() == "put"))
{
temp = Math.Max(Strike - spotTree.GetSpotMatrix(Gridsteps, j), 0);
SetPriceMatrix(Gridsteps, j, temp);
}
}
}
}
private double Bisection(double prem, double fwdPrice)
{
double right = 0.75;
double left = 0.35;
double mid;
var cp = Payoff.ToLower() == "c" ? 1 : -1;
int days = Expiry.Subtract(Today).Days;
double t = days / 365.0;
var priceClone = (AmOptionAnalytics)Clone();
if (fwdPrice <= 0 || Strike <= 0 || t <= 0 || prem <= 0)
{
return(0);
}
double df = Convert.ToDouble(RateCurve.GetDf(days));
if (prem < Math.Max(cp * df * (fwdPrice - priceClone.Strike), 0))
{
throw new System.Exception("No solution for volatility");
}
do
{
mid = (right + left) / 2;
priceClone.Sig = left;
double fleft = priceClone.Price() - prem;
priceClone.Sig = right;
double fright = priceClone.Price() - prem;
priceClone.Sig = mid;
double fmid = priceClone.Price() - prem;
if (fleft * fmid < 0)
{
right = mid;
}
else if (fright * fmid < 0)
{
left = mid;
}
} while (Math.Abs(right - left) > 2 * Eps);
return(mid);
}
//Assign values at Gridsteps-1 node.
private void PreTermValue(Tree SpotTree)
{
if (SpotTree != null)
{
double temp = 0;
double dt = SpotTree.Tau / SpotTree.Gridsteps;
int idx = Gridsteps - 1;
for (int j = 0; j <= Gridsteps - 1; j++)
{
if ((Style.ToLower() == "a") | (Style.ToLower() == "american"))
{
if ((Payoff.ToLower() == "c") | (Payoff.ToLower() == "call"))
{
temp = Math.Max(Math.Exp(-SpotTree.GetR(idx) * dt) * (Get_P(idx) *
Get_PriceMatrix(idx + 1, j + 1) + (1 - Get_P(idx)) *
Get_PriceMatrix(idx + 1, j)), SpotTree.GetSpotMatrix(idx, j)
- Strike);
Set_PriceMatrix(idx, j, temp);
}
else if ((Payoff.ToLower() == "p") | (Payoff.ToLower() == "put"))
{
temp = Math.Max(Math.Exp(-SpotTree.GetR(idx) * dt) * (Get_P(idx) *
Get_PriceMatrix(idx + 1, j + 1) + (1 - Get_P(idx)) *
Get_PriceMatrix(idx + 1, j)), -SpotTree.GetSpotMatrix(idx, j)
+ Strike);
Set_PriceMatrix(idx, j, temp);
}
}
else if ((Style.ToLower() == "e") | (Style.ToLower() == "european"))
{
temp = Math.Exp(-SpotTree.GetR(idx) * dt) * (Get_P(idx) *
Get_PriceMatrix(idx + 1, j + 1) + (1 - Get_P(idx)) *
Get_PriceMatrix(idx + 1, j));
Set_PriceMatrix(idx, j, temp);
}
}
}
}
public AverageBasketPayoff(Payoff p, uint n) : this(NQuantLibcPINVOKE.new_AverageBasketPayoff__SWIG_1(Payoff.getCPtr(p), n), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public AverageBasketPayoff(Payoff p, QlArray a) : this(NQuantLibcPINVOKE.new_AverageBasketPayoff__SWIG_0(Payoff.getCPtr(p), QlArray.getCPtr(a)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public BarrierOption(Barrier.Type barrierType, double barrier, double rebate, Payoff payoff, Exercise exercise) : this(NQuantLibcPINVOKE.new_BarrierOption((int)barrierType, barrier, rebate, Payoff.getCPtr(payoff), Exercise.getCPtr(exercise)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public ContinuousAveragingAsianOption(Average.Type averageType, Payoff payoff, Exercise exercise) : this(NQuantLibcPINVOKE.new_ContinuousAveragingAsianOption((int)averageType, Payoff.getCPtr(payoff), Exercise.getCPtr(exercise)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public EuropeanOption(Payoff payoff, Exercise exercise) : this(NQuantLibcPINVOKE.new_EuropeanOption(Payoff.getCPtr(payoff), Exercise.getCPtr(exercise)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(Payoff obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
public MaxBasketPayoff(Payoff p) : this(NQuantLibcPINVOKE.new_MaxBasketPayoff(Payoff.getCPtr(p)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public BlackCalculator(Payoff payoff, double forward, double stdDev) : this(NQuantLibcPINVOKE.new_BlackCalculator__SWIG_1(Payoff.getCPtr(payoff), forward, stdDev), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public DividendVanillaOption(Payoff payoff, Exercise exercise, DateVector dividendDates, DoubleVector dividends) : this(NQuantLibcPINVOKE.new_DividendVanillaOption(Payoff.getCPtr(payoff), Exercise.getCPtr(exercise), DateVector.getCPtr(dividendDates), DoubleVector.getCPtr(dividends)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public QuantoForwardVanillaOption(double moneyness, Date resetDate, Payoff payoff, Exercise exercise) : this(NQuantLibcPINVOKE.new_QuantoForwardVanillaOption(moneyness, Date.getCPtr(resetDate), Payoff.getCPtr(payoff), Exercise.getCPtr(exercise)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public DiscreteAveragingAsianOption(Average.Type averageType, double runningAccumulator, uint pastFixings, DateVector fixingDates, Payoff payoff, Exercise exercise) : this(NQuantLibcPINVOKE.new_DiscreteAveragingAsianOption((int)averageType, runningAccumulator, pastFixings, DateVector.getCPtr(fixingDates), Payoff.getCPtr(payoff), Exercise.getCPtr(exercise)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
