public ObjectiveFunction(OptionletStripper1 optionletStripper1, CapFloor cap, double targetValue)
{
cap_ = cap;
targetValue_ = targetValue;
OptionletVolatilityStructure adapter = new StrippedOptionletAdapter(optionletStripper1);
// set an implausible value, so that calculation is forced
// at first operator()(Volatility x) call
spreadQuote_ = new SimpleQuote(-1.0);
OptionletVolatilityStructure spreadedAdapter = new SpreadedOptionletVolatility(
new Handle <OptionletVolatilityStructure>(adapter), new Handle <Quote>(spreadQuote_));
BlackCapFloorEngine engine = new BlackCapFloorEngine(optionletStripper1.iborIndex().forwardingTermStructure(),
new Handle <OptionletVolatilityStructure>(spreadedAdapter));
cap_.setPricingEngine(engine);
}
public OptionletStripper2(OptionletStripper1 optionletStripper1, Handle <CapFloorTermVolCurve> atmCapFloorTermVolCurve)
: base(optionletStripper1.termVolSurface(),
optionletStripper1.iborIndex(),
new Handle <YieldTermStructure>(),
optionletStripper1.volatilityType(),
optionletStripper1.displacement())
{
stripper1_ = optionletStripper1;
atmCapFloorTermVolCurve_ = atmCapFloorTermVolCurve;
dc_ = stripper1_.termVolSurface().dayCounter();
nOptionExpiries_ = atmCapFloorTermVolCurve.link.optionTenors().Count;
atmCapFloorStrikes_ = new InitializedList <double>(nOptionExpiries_, 0.0);
atmCapFloorPrices_ = new InitializedList <double>(nOptionExpiries_, 0.0);
spreadsVolImplied_ = new InitializedList <double>(nOptionExpiries_, 0.0);
caps_ = new List <CapFloor>();
maxEvaluations_ = 10000;
accuracy_ = 1E-6;
stripper1_.registerWith(update);
atmCapFloorTermVolCurve_.registerWith(update);
Utils.QL_REQUIRE(dc_ == atmCapFloorTermVolCurve.link.dayCounter(), () => "different day counters provided");
}
