public RelinkableSwaptionVolatilityStructureHandle(SwaptionVolatilityStructure arg0) : this(NQuantLibcPINVOKE.new_RelinkableSwaptionVolatilityStructureHandle__SWIG_0(SwaptionVolatilityStructure.getCPtr(arg0)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public void linkTo(SwaptionVolatilityStructure arg0)
{
NQuantLibcPINVOKE.RelinkableSwaptionVolatilityStructureHandle_linkTo(swigCPtr, SwaptionVolatilityStructure.getCPtr(arg0));
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public BlackCalibrationHelperVector calibrationBasket(SwapIndex swapIndex, SwaptionVolatilityStructure swaptionVolatility, string typeStr)
{
BlackCalibrationHelperVector ret = new BlackCalibrationHelperVector(NQuantLibcPINVOKE.FloatFloatSwaption_calibrationBasket(swigCPtr, SwapIndex.getCPtr(swapIndex), SwaptionVolatilityStructure.getCPtr(swaptionVolatility), typeStr), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public CalibrationHelperVector calibrationBasket(Index standardSwapBase, SwaptionVolatilityStructure swaptionVolatility, string typeStr)
{
CalibrationHelperVector ret = new CalibrationHelperVector(NQuantLibcPINVOKE.NonstandardSwaption_calibrationBasket(swigCPtr, Index.getCPtr(standardSwapBase), SwaptionVolatilityStructure.getCPtr(swaptionVolatility), typeStr), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public SwaptionVolatilityStructure __deref__()
{
SwaptionVolatilityStructure ret = new SwaptionVolatilityStructure(NQuantLibcPINVOKE.SwaptionVolatilityStructureHandle___deref__(swigCPtr), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public SwaptionVolatilityStructure __deref__()
{
global::System.IntPtr cPtr = NQuantLibcPINVOKE.SwaptionVolatilityStructureHandle___deref__(swigCPtr);
SwaptionVolatilityStructure ret = (cPtr == global::System.IntPtr.Zero) ? null : new SwaptionVolatilityStructure(cPtr, true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
// utilities
public void makeObservabilityTest(string description,
SwaptionVolatilityStructure vol,
bool mktDataFloating,
bool referenceDateFloating)
{
double dummyStrike = .02;
Date referenceDate = Settings.evaluationDate();
double initialVol = vol.volatility(
referenceDate + atm.tenors.options[0],
atm.tenors.swaps[0], dummyStrike, false);
// testing evaluation date change ...
Settings.setEvaluationDate(referenceDate - new Period(1, TimeUnit.Years));
double newVol = vol.volatility(
referenceDate + atm.tenors.options[0],
atm.tenors.swaps[0], dummyStrike, false);
Settings.setEvaluationDate(referenceDate);
if (referenceDateFloating && (initialVol == newVol))
{
Assert.Fail(description +
" the volatility should change when the reference date is changed !");
}
if (!referenceDateFloating && (initialVol != newVol))
{
Assert.Fail(description +
" the volatility should not change when the reference date is changed !");
}
// test market data change...
if (mktDataFloating)
{
double initialVolatility = atm.volsHandle[0][0].link.value();
SimpleQuote sq = (SimpleQuote)(atm.volsHandle[0][0].currentLink());
sq.setValue(10);
newVol = vol.volatility(referenceDate + atm.tenors.options[0],
atm.tenors.swaps[0], dummyStrike, false);
sq.setValue(initialVolatility);
if (initialVol == newVol)
{
Assert.Fail(description + " the volatility should change when" +
" the market data is changed !");
}
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(SwaptionVolatilityStructure obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public SwaptionVolatilityStructure __deref__() {
SwaptionVolatilityStructure ret = new SwaptionVolatilityStructure(NQuantLibcPINVOKE.SwaptionVolatilityStructureHandle___deref__(swigCPtr), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
public SwaptionVolatilityStructureHandle(SwaptionVolatilityStructure arg0) : this(NQuantLibcPINVOKE.new_SwaptionVolatilityStructureHandle__SWIG_0(SwaptionVolatilityStructure.getCPtr(arg0)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public void linkTo(SwaptionVolatilityStructure arg0) {
NQuantLibcPINVOKE.RelinkableSwaptionVolatilityStructureHandle_linkTo(swigCPtr, SwaptionVolatilityStructure.getCPtr(arg0));
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(SwaptionVolatilityStructure obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
