public double swaption(Swaption.Arguments arguments,
double fixedRate,
double range,
int intervals)
{
Date settlement = termStructure().link.referenceDate();
DayCounter dayCounter = termStructure().link.dayCounter();
double start = dayCounter.yearFraction(settlement,
arguments.floatingResetDates[0]);
double w = (arguments.type == VanillaSwap.Type.Payer ? 1 : -1);
List <double> fixedPayTimes = new InitializedList <double>(arguments.fixedPayDates.Count);
for (int i = 0; i < fixedPayTimes.Count; ++i)
{
fixedPayTimes[i] =
dayCounter.yearFraction(settlement,
arguments.fixedPayDates[i]);
}
SwaptionPricingFunction function = new SwaptionPricingFunction(a(),
sigma(), b(), eta(), rho(),
w, start,
fixedPayTimes,
fixedRate, this);
double upper = function.mux() + range * function.sigmax();
double lower = function.mux() - range * function.sigmax();
SegmentIntegral integrator = new SegmentIntegral(intervals);
return(arguments.nominal * w * termStructure().link.discount(start) *
integrator.value(function.value, lower, upper));
}
public double swaption(Swaption.Arguments arguments,
double fixedRate,
double range,
int intervals)
{
Date settlement = termStructure().link.referenceDate();
DayCounter dayCounter = termStructure().link.dayCounter();
double start = dayCounter.yearFraction(settlement,
arguments.floatingResetDates[0]);
double w = (arguments.type==VanillaSwap.Type.Payer ? 1 : -1 );
List<double> fixedPayTimes = new InitializedList<double>(arguments.fixedPayDates.Count);
for (int i=0; i<fixedPayTimes.Count; ++i)
fixedPayTimes[i] =
dayCounter.yearFraction(settlement,
arguments.fixedPayDates[i]);
SwaptionPricingFunction function = new SwaptionPricingFunction(a(),
sigma(), b(), eta(), rho(),
w, start,
fixedPayTimes,
fixedRate,this);
double upper = function.mux() + range*function.sigmax();
double lower = function.mux() - range*function.sigmax();
SegmentIntegral integrator = new SegmentIntegral(intervals);
return arguments.nominal*w*termStructure().link.discount(start)*
integrator.value(function.value, lower, upper);
}
