public SwapIndex clone(YieldTermStructureHandle forwarding, YieldTermStructureHandle discounting)
{
SwapIndex ret = new SwapIndex(NQuantLibcPINVOKE.SwapIndex_clone__SWIG_1(swigCPtr, YieldTermStructureHandle.getCPtr(forwarding), YieldTermStructureHandle.getCPtr(discounting)), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public static Leg CmsLeg(DoubleVector nominals, Schedule schedule, SwapIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, UnsignedIntVector fixingDays, DoubleVector gearings)
{
Leg ret = new Leg(NQuantLibcPINVOKE.CmsLeg__SWIG_4(DoubleVector.getCPtr(nominals), Schedule.getCPtr(schedule), SwapIndex.getCPtr(index), DayCounter.getCPtr(paymentDayCounter), (int)paymentConvention, UnsignedIntVector.getCPtr(fixingDays), DoubleVector.getCPtr(gearings)), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public SwapIndex clone(Period tenor)
{
SwapIndex ret = new SwapIndex(NQuantLibcPINVOKE.SwapIndex_clone__SWIG_2(swigCPtr, Period.getCPtr(tenor)), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public static Leg CmsZeroLeg(DoubleVector nominals, Schedule schedule, SwapIndex index)
{
Leg ret = new Leg(NQuantLibcPINVOKE.CmsZeroLeg__SWIG_7(DoubleVector.getCPtr(nominals), Schedule.getCPtr(schedule), SwapIndex.getCPtr(index)), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public SwapIndex clone(Period tenor)
{
global::System.IntPtr cPtr = NQuantLibcPINVOKE.SwapIndex_clone__SWIG_2(swigCPtr, Period.getCPtr(tenor));
SwapIndex ret = (cPtr == global::System.IntPtr.Zero) ? null : new SwapIndex(cPtr, true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public SwapIndex clone(YieldTermStructureHandle forwarding, YieldTermStructureHandle discounting)
{
global::System.IntPtr cPtr = NQuantLibcPINVOKE.SwapIndex_clone__SWIG_1(swigCPtr, YieldTermStructureHandle.getCPtr(forwarding), YieldTermStructureHandle.getCPtr(discounting));
SwapIndex ret = (cPtr == global::System.IntPtr.Zero) ? null : new SwapIndex(cPtr, true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public SwapIndex swapIndex1()
{
global::System.IntPtr cPtr = NQuantLibcPINVOKE.SwapSpreadIndex_swapIndex1(swigCPtr);
SwapIndex ret = (cPtr == global::System.IntPtr.Zero) ? null : new SwapIndex(cPtr, true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
/// <summary>
/// Best Alignments
/// </summary>
/// <param name="swapPossibilities"> Value swap in DB </param>
/// <param name="DB"> Data Base if sequence </param>
/// <returns>Key Value Pair contains maxvalue (i.e. best alignment), DBIndex, SwapIndex, SeqPosIndex </returns>
public KeyValuePair <int, List <List <int> > > ProvideBestSwapBulkAlignments(List <List <int[]> > swapPossibilities, List <FastaItem> DB)
{
int maxValue = int.MinValue;
List <int> DBIndex = new List <int>();
List <int> SwapIndex = new List <int>();
List <int> SeqPosIndex = new List <int>();
int counter = 0;
for (int i = 0; i < swapPossibilities.Count; i++) //
{
counter++;
Console.WriteLine("Verifying swap " + counter + " of " + swapPossibilities.Count);
List <int[]> swapOptions = swapPossibilities[i];
for (int j = 0; j < swapOptions.Count; j++) //SwappedOptions
{
for (int k = 0; k < swapOptions[j].Length; k++)
{
if (swapOptions[j][k] > maxValue)
{
maxValue = swapOptions[j][k];
DBIndex = new List <int>()
{
i
};
SwapIndex = new List <int>()
{
j
};
SeqPosIndex = new List <int>()
{
k
};
}
else if (swapOptions[j][k] == maxValue)
{
DBIndex.Add(i);
SwapIndex.Add(j);
SeqPosIndex.Add(k);
}
}
}
}
Console.WriteLine();
return(new KeyValuePair <int, List <List <int> > >(maxValue, new List <List <int> >()
{
DBIndex, SwapIndex, SeqPosIndex
}));
}
public MakeSwaption(SwapIndex swapIndex,
Date fixingDate,
double?strike = null)
{
swapIndex_ = swapIndex;
delivery_ = Settlement.Type.Physical;
settlementMethod_ = Settlement.Method.PhysicalOTC;
optionConvention_ = BusinessDayConvention.ModifiedFollowing;
fixingDate_ = fixingDate;
strike_ = strike;
underlyingType_ = VanillaSwap.Type.Payer;
nominal_ = 1.0;
}
public void SwapColor (SwapIndex index, Color32 color32)
{
Color color = (Color)color32;
mSpriteColors [(int)index] = color;
mColorSwapTex.SetPixel ((int)index, 0, color);
//For fixing mistakes with the sprite
if (index == SwapIndex.LightSkin) {
mSpriteColors [(int)SwapIndex.DarkSkin] = color;
mColorSwapTex.SetPixel ((int)SwapIndex.DarkSkin, 0, color);
mSpriteColors [(int)SwapIndex.LightSkinOff] = color;
mColorSwapTex.SetPixel ((int)SwapIndex.LightSkinOff, 0, color);
}
}
public void SwapColor(SwapIndex index, Color32 color32)
{
Color color = (Color)color32;
mSpriteColors [(int)index] = color;
mColorSwapTex.SetPixel((int)index, 0, color);
//For fixing mistakes with the sprite
if (index == SwapIndex.LightSkin)
{
mSpriteColors [(int)SwapIndex.DarkSkin] = color;
mColorSwapTex.SetPixel((int)SwapIndex.DarkSkin, 0, color);
mSpriteColors [(int)SwapIndex.LightSkinOff] = color;
mColorSwapTex.SetPixel((int)SwapIndex.LightSkinOff, 0, color);
}
}
public CappedFlooredCmsCoupon(double nominal,
Date paymentDate,
Date startDate,
Date endDate,
int fixingDays,
SwapIndex index,
double gearing = 1.0,
double spread = 0.0,
double?cap = null,
double?floor = null,
Date refPeriodStart = null,
Date refPeriodEnd = null,
DayCounter dayCounter = null,
bool isInArrears = false)
: base(new CmsCoupon(nominal, paymentDate, startDate, endDate, fixingDays, index, gearing, spread, refPeriodStart, refPeriodEnd, dayCounter, isInArrears) as FloatingRateCoupon, cap, floor)
{
}
public CommonVars()
{
Settings.setEvaluationDate(new Date(16, Month.September, 2015));
conventions.setConventions();
// ATM swaptionvolmatrix
atm.setMarketData();
atmVolMatrix = new RelinkableHandle <SwaptionVolatilityStructure>(
new SwaptionVolatilityMatrix(conventions.calendar, conventions.optionBdc, atm.tenors.options,
atm.tenors.swaps, atm.volsHandle, conventions.dayCounter));
// Swaptionvolcube
cube.setMarketData();
termStructure.linkTo(Utilities.flatRate(0.05, new Actual365Fixed()));
swapIndexBase = new EuriborSwapIsdaFixA(new Period(2, TimeUnit.Years), termStructure);
shortSwapIndexBase = new EuriborSwapIsdaFixA(new Period(1, TimeUnit.Years), termStructure);
vegaWeighedSmileFit = false;
}
public SwapRateHelper(Handle <Quote> rate,
SwapIndex swapIndex,
Handle <Quote> spread = null,
Period fwdStart = null,
// exogenous discounting curve
Handle <YieldTermStructure> discount = null,
Pillar.Choice pillarChoice = Pillar.Choice.LastRelevantDate,
Date customPillarDate = null)
: base(rate)
{
spread_ = spread ?? new Handle <Quote>();
fwdStart_ = fwdStart ?? new Period(0, TimeUnit.Days);
settlementDays_ = swapIndex.fixingDays();
tenor_ = swapIndex.tenor();
pillarChoice_ = pillarChoice;
calendar_ = swapIndex.fixingCalendar();
fixedConvention_ = swapIndex.fixedLegConvention();
fixedFrequency_ = swapIndex.fixedLegTenor().frequency();
fixedDayCount_ = swapIndex.dayCounter();
iborIndex_ = swapIndex.iborIndex();
fwdStart_ = fwdStart;
discountHandle_ = discount ?? new Handle <YieldTermStructure>();
// take fixing into account
iborIndex_ = swapIndex.iborIndex().clone(termStructureHandle_);
// We want to be notified of changes of fixings, but we don't
// want notifications from termStructureHandle_ (they would
// interfere with bootstrapping.)
iborIndex_.registerWith(update);
spread_.registerWith(update);
discountHandle_.registerWith(update);
pillarDate_ = customPillarDate;
initializeDates();
}
public SwapRateHelper(double rate, SwapIndex index, QuoteHandle spread, Period fwdStart) : this(NQuantLibcPINVOKE.new_SwapRateHelper__SWIG_23(rate, SwapIndex.getCPtr(index), QuoteHandle.getCPtr(spread), Period.getCPtr(fwdStart)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public SwapRateHelper(double rate, SwapIndex index, QuoteHandle spread, Period fwdStart, YieldTermStructureHandle discountingCurve) : this(NQuantLibcPINVOKE.new_SwapRateHelper__SWIG_22(rate, SwapIndex.getCPtr(index), QuoteHandle.getCPtr(spread), Period.getCPtr(fwdStart), YieldTermStructureHandle.getCPtr(discountingCurve)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public CmsCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, int fixingDays, SwapIndex index, double gearing, double spread, Date refPeriodStart, Date refPeriodEnd, DayCounter dayCounter, bool isInArrears) : this(NQuantLibcPINVOKE.new_CmsCoupon__SWIG_0(Date.getCPtr(paymentDate), nominal, Date.getCPtr(startDate), Date.getCPtr(endDate), fixingDays, SwapIndex.getCPtr(index), gearing, spread, Date.getCPtr(refPeriodStart), Date.getCPtr(refPeriodEnd), DayCounter.getCPtr(dayCounter), isInArrears), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public CmsCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, int fixingDays, SwapIndex index) : this(NQuantLibcPINVOKE.new_CmsCoupon__SWIG_6(Date.getCPtr(paymentDate), nominal, Date.getCPtr(startDate), Date.getCPtr(endDate), fixingDays, SwapIndex.getCPtr(index)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public CmsRateBond(uint settlementDays, double faceAmount, Schedule schedule, SwapIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, uint fixingDays, DoubleVector gearings, DoubleVector spreads, DoubleVector caps, DoubleVector floors) : this(NQuantLibcPINVOKE.new_CmsRateBond__SWIG_3(settlementDays, faceAmount, Schedule.getCPtr(schedule), SwapIndex.getCPtr(index), DayCounter.getCPtr(paymentDayCounter), (int)paymentConvention, fixingDays, DoubleVector.getCPtr(gearings), DoubleVector.getCPtr(spreads), DoubleVector.getCPtr(caps), DoubleVector.getCPtr(floors)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public void SwapColor(SwapIndex index, Color color)
{
mSpriteColors [(int)index] = color;
mColorSwapTex.SetPixel((int)index, 0, color);
mColorSwapTex.Apply();
}
public SwaptionVolCube1(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndex, SwapIndex shortSwapIndex, bool vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, bool isAtmCalibrated, SWIGTYPE_p_boost__shared_ptrT_EndCriteria_t endCriteria, double maxErrorTolerance, OptimizationMethod optMethod) : this(NQuantLibcPINVOKE.new_SwaptionVolCube1__SWIG_0(SwaptionVolatilityStructureHandle.getCPtr(atmVolStructure), PeriodVector.getCPtr(optionTenors), PeriodVector.getCPtr(swapTenors), DoubleVector.getCPtr(strikeSpreads), QuoteHandleVectorVector.getCPtr(volSpreads), SwapIndex.getCPtr(swapIndex), SwapIndex.getCPtr(shortSwapIndex), vegaWeightedSmileFit, QuoteHandleVectorVector.getCPtr(parametersGuess), BoolVector.getCPtr(isParameterFixed), isAtmCalibrated, SWIGTYPE_p_boost__shared_ptrT_EndCriteria_t.getCPtr(endCriteria), maxErrorTolerance, OptimizationMethod.getCPtr(optMethod)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public SwapRateHelper(double rate, SwapIndex index, QuoteHandle spread, Period fwdStart, YieldTermStructureHandle discountingCurve) : this(NQuantLibcPINVOKE.new_SwapRateHelper__SWIG_12(rate, SwapIndex.getCPtr(index), QuoteHandle.getCPtr(spread), Period.getCPtr(fwdStart), YieldTermStructureHandle.getCPtr(discountingCurve)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public static Leg CmsZeroLeg(DoubleVector nominals, Schedule schedule, SwapIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention, UnsignedIntVector fixingDays, DoubleVector gearings, DoubleVector spreads, DoubleVector caps) {
Leg ret = new Leg(NQuantLibcPINVOKE.CmsZeroLeg__SWIG_1(DoubleVector.getCPtr(nominals), Schedule.getCPtr(schedule), SwapIndex.getCPtr(index), DayCounter.getCPtr(paymentDayCounter), (int)paymentConvention, UnsignedIntVector.getCPtr(fixingDays), DoubleVector.getCPtr(gearings), DoubleVector.getCPtr(spreads), DoubleVector.getCPtr(caps)), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
public static Leg CmsZeroLeg(DoubleVector nominals, Schedule schedule, SwapIndex index, DayCounter paymentDayCounter, BusinessDayConvention paymentConvention) {
Leg ret = new Leg(NQuantLibcPINVOKE.CmsZeroLeg__SWIG_5(DoubleVector.getCPtr(nominals), Schedule.getCPtr(schedule), SwapIndex.getCPtr(index), DayCounter.getCPtr(paymentDayCounter), (int)paymentConvention), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
public static Leg CmsZeroLeg(DoubleVector nominals, Schedule schedule, SwapIndex index) {
Leg ret = new Leg(NQuantLibcPINVOKE.CmsZeroLeg__SWIG_7(DoubleVector.getCPtr(nominals), Schedule.getCPtr(schedule), SwapIndex.getCPtr(index)), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(SwapIndex obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
public SwapRateHelper(double rate, SwapIndex index) : this(NQuantLibcPINVOKE.new_SwapRateHelper__SWIG_25(rate, SwapIndex.getCPtr(index)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
private void SwapColor(SwapIndex index, Color color)
{
mSpriteColors[(int)index] = color;
mColorSwapTex.SetPixel((int)index, 0, color);
}
public SwapRateHelper(double rate, SwapIndex index) : this(NQuantLibcPINVOKE.new_SwapRateHelper__SWIG_15(rate, SwapIndex.getCPtr(index)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public SwaptionVolCube1(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndex, SwapIndex shortSwapIndex, bool vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, bool isAtmCalibrated) : this(NQuantLibcPINVOKE.new_SwaptionVolCube1__SWIG_3(SwaptionVolatilityStructureHandle.getCPtr(atmVolStructure), PeriodVector.getCPtr(optionTenors), PeriodVector.getCPtr(swapTenors), DoubleVector.getCPtr(strikeSpreads), QuoteHandleVectorVector.getCPtr(volSpreads), SwapIndex.getCPtr(swapIndex), SwapIndex.getCPtr(shortSwapIndex), vegaWeightedSmileFit, QuoteHandleVectorVector.getCPtr(parametersGuess), BoolVector.getCPtr(isParameterFixed), isAtmCalibrated), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public SwaptionVolCube2(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndexBase, SwapIndex shortSwapIndexBase, bool vegaWeightedSmileFit) : this(NQuantLibcPINVOKE.new_SwaptionVolCube2(SwaptionVolatilityStructureHandle.getCPtr(atmVolStructure), PeriodVector.getCPtr(optionTenors), PeriodVector.getCPtr(swapTenors), DoubleVector.getCPtr(strikeSpreads), QuoteHandleVectorVector.getCPtr(volSpreads), SwapIndex.getCPtr(swapIndexBase), SwapIndex.getCPtr(shortSwapIndexBase), vegaWeightedSmileFit), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public CappedFlooredCmsCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, uint fixingDays, SwapIndex index, double gearing, double spread) : this(NQuantLibcPINVOKE.new_CappedFlooredCmsCoupon__SWIG_6(Date.getCPtr(paymentDate), nominal, Date.getCPtr(startDate), Date.getCPtr(endDate), fixingDays, SwapIndex.getCPtr(index), gearing, spread), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public void testFairRate()
{
// Testing Hagan-pricer flat-vol equivalence for coupons
CommonVars vars = new CommonVars();
SwapIndex swapIndex = new SwapIndex("EuriborSwapIsdaFixA",
new Period(10, TimeUnit.Years),
vars.iborIndex.fixingDays(),
vars.iborIndex.currency(),
vars.iborIndex.fixingCalendar(),
new Period(1, TimeUnit.Years),
BusinessDayConvention.Unadjusted,
vars.iborIndex.dayCounter(),//??
vars.iborIndex);
// FIXME
//shared_ptr<SwapIndex> swapIndex(new
// EuriborSwapIsdaFixA(10*Years, vars.iborIndex->termStructure()));
Date startDate = vars.termStructure.link.referenceDate() + new Period(20, TimeUnit.Years);
Date paymentDate = startDate + new Period(1, TimeUnit.Years);
Date endDate = paymentDate;
double nominal = 1.0;
double?infiniteCap = null;
double?infiniteFloor = null;
double gearing = 1.0;
double spread = 0.0;
CappedFlooredCmsCoupon coupon = new CappedFlooredCmsCoupon(nominal, paymentDate,
startDate, endDate,
swapIndex.fixingDays(), swapIndex,
gearing, spread,
infiniteCap, infiniteFloor,
startDate, endDate,
vars.iborIndex.dayCounter());
for (int j = 0; j < vars.yieldCurveModels.Count; ++j)
{
vars.numericalPricers[j].setSwaptionVolatility(vars.atmVol);
coupon.setPricer(vars.numericalPricers[j]);
double rate0 = coupon.rate();
vars.analyticPricers[j].setSwaptionVolatility(vars.atmVol);
coupon.setPricer(vars.analyticPricers[j]);
double rate1 = coupon.rate();
double difference = Math.Abs(rate1 - rate0);
double tol = 2.0e-4;
bool linearTsr = j == vars.yieldCurveModels.Count - 1;
if (difference > tol)
{
QAssert.Fail("\nCoupon payment date: " + paymentDate +
"\nCoupon start date: " + startDate +
"\nCoupon floor: " + (infiniteFloor) +
"\nCoupon gearing: " + (gearing) +
"\nCoupon swap index: " + swapIndex.name() +
"\nCoupon spread: " + (spread) +
"\nCoupon cap: " + (infiniteCap) +
"\nCoupon DayCounter: " + vars.iborIndex.dayCounter() +
"\nYieldCurve Model: " + vars.yieldCurveModels[j] +
"\nNumerical Pricer: " + (rate0) + (linearTsr ? " (Linear TSR Model)" : "") +
"\nAnalytic Pricer: " + (rate1) +
"\ndifference: " + (difference) +
"\ntolerance: " + (tol));
}
}
}
public CmsCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, int fixingDays, SwapIndex index, double gearing, double spread, Date refPeriodStart, Date refPeriodEnd) : this(NQuantLibcPINVOKE.new_CmsCoupon__SWIG_2(Date.getCPtr(paymentDate), nominal, Date.getCPtr(startDate), Date.getCPtr(endDate), fixingDays, SwapIndex.getCPtr(index), gearing, spread, Date.getCPtr(refPeriodStart), Date.getCPtr(refPeriodEnd)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public void ClearColor(SwapIndex index)
{
Color c = new Color(0.0f, 0.0f, 0.0f, 0.0f);
mSpriteColors[(int)index] = c;
mColorSwapTex.SetPixel((int)index, 0, c);
}
public SwaptionVolCube1(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndexBase, SwapIndex shortSwapIndexBase, bool vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, bool isAtmCalibrated, SWIGTYPE_p_boost__shared_ptrT_EndCriteria_t endCriteria, double maxErrorTolerance, SWIGTYPE_p_boost__shared_ptrT_OptimizationMethod_t optMethod) : this(NQuantLibcPINVOKE.new_SwaptionVolCube1__SWIG_0(SwaptionVolatilityStructureHandle.getCPtr(atmVolStructure), PeriodVector.getCPtr(optionTenors), PeriodVector.getCPtr(swapTenors), DoubleVector.getCPtr(strikeSpreads), QuoteHandleVectorVector.getCPtr(volSpreads), SwapIndex.getCPtr(swapIndexBase), SwapIndex.getCPtr(shortSwapIndexBase), vegaWeightedSmileFit, QuoteHandleVectorVector.getCPtr(parametersGuess), BoolVector.getCPtr(isParameterFixed), isAtmCalibrated, SWIGTYPE_p_boost__shared_ptrT_EndCriteria_t.getCPtr(endCriteria), maxErrorTolerance, SWIGTYPE_p_boost__shared_ptrT_OptimizationMethod_t.getCPtr(optMethod)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public CmsCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, int fixingDays, SwapIndex index, double gearing, double spread) : this(NQuantLibcPINVOKE.new_CmsCoupon__SWIG_4(Date.getCPtr(paymentDate), nominal, Date.getCPtr(startDate), Date.getCPtr(endDate), fixingDays, SwapIndex.getCPtr(index), gearing, spread), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public SwapRateHelper(QuoteHandle rate, SwapIndex index, QuoteHandle spread) : this(NQuantLibcPINVOKE.new_SwapRateHelper__SWIG_10(QuoteHandle.getCPtr(rate), SwapIndex.getCPtr(index), QuoteHandle.getCPtr(spread)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public SwaptionVolCube1(SwaptionVolatilityStructureHandle atmVolStructure, PeriodVector optionTenors, PeriodVector swapTenors, DoubleVector strikeSpreads, QuoteHandleVectorVector volSpreads, SwapIndex swapIndexBase, SwapIndex shortSwapIndexBase, bool vegaWeightedSmileFit, QuoteHandleVectorVector parametersGuess, BoolVector isParameterFixed, bool isAtmCalibrated) : this(NQuantLibcPINVOKE.new_SwaptionVolCube1__SWIG_3(SwaptionVolatilityStructureHandle.getCPtr(atmVolStructure), PeriodVector.getCPtr(optionTenors), PeriodVector.getCPtr(swapTenors), DoubleVector.getCPtr(strikeSpreads), QuoteHandleVectorVector.getCPtr(volSpreads), SwapIndex.getCPtr(swapIndexBase), SwapIndex.getCPtr(shortSwapIndexBase), vegaWeightedSmileFit, QuoteHandleVectorVector.getCPtr(parametersGuess), BoolVector.getCPtr(isParameterFixed), isAtmCalibrated), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public SwapRateHelper(double rate, SwapIndex index, QuoteHandle spread, Period fwdStart) : this(NQuantLibcPINVOKE.new_SwapRateHelper__SWIG_13(rate, SwapIndex.getCPtr(index), QuoteHandle.getCPtr(spread), Period.getCPtr(fwdStart)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public CappedFlooredCmsCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, uint fixingDays, SwapIndex index, double gearing, double spread, double cap, double floor, Date refPeriodStart) : this(NQuantLibcPINVOKE.new_CappedFlooredCmsCoupon__SWIG_3(Date.getCPtr(paymentDate), nominal, Date.getCPtr(startDate), Date.getCPtr(endDate), fixingDays, SwapIndex.getCPtr(index), gearing, spread, cap, floor, Date.getCPtr(refPeriodStart)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public SwapSpreadIndex(string familyName, SwapIndex swapIndex1, SwapIndex swapIndex2) : this(NQuantLibcPINVOKE.new_SwapSpreadIndex__SWIG_2(familyName, SwapIndex.getCPtr(swapIndex1), SwapIndex.getCPtr(swapIndex2)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public CappedFlooredCmsCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, uint fixingDays, SwapIndex index) : this(NQuantLibcPINVOKE.new_CappedFlooredCmsCoupon__SWIG_8(Date.getCPtr(paymentDate), nominal, Date.getCPtr(startDate), Date.getCPtr(endDate), fixingDays, SwapIndex.getCPtr(index)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public CappedFlooredCmsCoupon(Date paymentDate, double nominal, Date startDate, Date endDate, uint fixingDays, SwapIndex index, double gearing, double spread, double cap, double floor, Date refPeriodStart, Date refPeriodEnd, DayCounter dayCounter) : this(NQuantLibcPINVOKE.new_CappedFlooredCmsCoupon__SWIG_1(Date.getCPtr(paymentDate), nominal, Date.getCPtr(startDate), Date.getCPtr(endDate), fixingDays, SwapIndex.getCPtr(index), gearing, spread, cap, floor, Date.getCPtr(refPeriodStart), Date.getCPtr(refPeriodEnd), DayCounter.getCPtr(dayCounter)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public void ColorSwap(SwapIndex index, Color32 color)
{
mSpriteColors[(int)index] = color;
mColorSwapTex.SetPixel((int)index, 0, color);
}
public SwapRateHelper(QuoteHandle rate, SwapIndex index, QuoteHandle spread, Period fwdStart, YieldTermStructureHandle discountingCurve, Pillar.Choice pillar, Date customPillarDate) : this(NQuantLibcPINVOKE.new_SwapRateHelper__SWIG_14(QuoteHandle.getCPtr(rate), SwapIndex.getCPtr(index), QuoteHandle.getCPtr(spread), Period.getCPtr(fwdStart), YieldTermStructureHandle.getCPtr(discountingCurve), (int)pillar, Date.getCPtr(customPillarDate)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public SwapRateHelper(QuoteHandle rate, SwapIndex index, QuoteHandle spread) : this(NQuantLibcPINVOKE.new_SwapRateHelper__SWIG_18(QuoteHandle.getCPtr(rate), SwapIndex.getCPtr(index), QuoteHandle.getCPtr(spread)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public void testCmsSwap()
{
// Testing Hagan-pricer flat-vol equivalence for swaps
CommonVars vars = new CommonVars();
SwapIndex swapIndex = new SwapIndex("EuriborSwapIsdaFixA",
new Period(10, TimeUnit.Years),
vars.iborIndex.fixingDays(),
vars.iborIndex.currency(),
vars.iborIndex.fixingCalendar(),
new Period(1, TimeUnit.Years),
BusinessDayConvention.Unadjusted,
vars.iborIndex.dayCounter(),//??
vars.iborIndex);
// FIXME
//shared_ptr<SwapIndex> swapIndex(new
// EuriborSwapIsdaFixA(10*Years, vars.iborIndex->termStructure()));
double spread = 0.0;
List <int> swapLengths = new List <int>();
swapLengths.Add(1);
swapLengths.Add(5);
swapLengths.Add(6);
swapLengths.Add(10);
int n = swapLengths.Count;
List <Swap> cms = new List <Swap>(n);
for (int i = 0; i < n; ++i)
{
// no cap, floor
// no gearing, spread
cms.Add(new MakeCms(new Period(swapLengths[i], TimeUnit.Years),
swapIndex,
vars.iborIndex, spread,
new Period(10, TimeUnit.Days)).value());
}
for (int j = 0; j < vars.yieldCurveModels.Count; ++j)
{
vars.numericalPricers[j].setSwaptionVolatility(vars.atmVol);
vars.analyticPricers[j].setSwaptionVolatility(vars.atmVol);
for (int sl = 0; sl < n; ++sl)
{
Utils.setCouponPricer(cms[sl].leg(0), vars.numericalPricers[j]);
double priceNum = cms[sl].NPV();
Utils.setCouponPricer(cms[sl].leg(0), vars.analyticPricers[j]);
double priceAn = cms[sl].NPV();
double difference = Math.Abs(priceNum - priceAn);
double tol = 2.0e-4;
bool linearTsr = j == vars.yieldCurveModels.Count - 1;
if (difference > tol)
{
QAssert.Fail("\nLength in Years: " + swapLengths[sl] +
"\nswap index: " + swapIndex.name() +
"\nibor index: " + vars.iborIndex.name() +
"\nspread: " + (spread) +
"\nYieldCurve Model: " + vars.yieldCurveModels[j] +
"\nNumerical Pricer: " + (priceNum) + (linearTsr ? " (Linear TSR Model)" : "") +
"\nAnalytic Pricer: " + (priceAn) +
"\ndifference: " + (difference) +
"\ntolerance: " + (tol));
}
}
}
}
public void SwapColor(SwapIndex index, Color color)
{
mSpriteColors[(int)index] = color;
mColorSwapTex.SetPixel((int)index, 0, color);
}
