public LinearTsrPricer(SwaptionVolatilityStructureHandle swaptionVol, QuoteHandle meanReversion) : this(NQuantLibcPINVOKE.new_LinearTsrPricer__SWIG_2(SwaptionVolatilityStructureHandle.getCPtr(swaptionVol), QuoteHandle.getCPtr(meanReversion)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public BachelierSwaptionEngine(YieldTermStructureHandle discountCurve, SwaptionVolatilityStructureHandle v) : this(NQuantLibcPINVOKE.new_BachelierSwaptionEngine__SWIG_2(YieldTermStructureHandle.getCPtr(discountCurve), SwaptionVolatilityStructureHandle.getCPtr(v)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public NumericHaganPricer(SwaptionVolatilityStructureHandle v, GFunctionFactory.YieldCurveModel model, QuoteHandle meanReversion) : this(NQuantLibcPINVOKE.new_NumericHaganPricer__SWIG_3(SwaptionVolatilityStructureHandle.getCPtr(v), (int)model, QuoteHandle.getCPtr(meanReversion)), 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 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 LinearTsrPricer(SwaptionVolatilityStructureHandle swaptionVol, QuoteHandle meanReversion, YieldTermStructureHandle couponDiscountCurve) : this(NQuantLibcPINVOKE.new_LinearTsrPricer__SWIG_1(SwaptionVolatilityStructureHandle.getCPtr(swaptionVol), QuoteHandle.getCPtr(meanReversion), YieldTermStructureHandle.getCPtr(couponDiscountCurve)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public void setSwaptionVolatility(SwaptionVolatilityStructureHandle v)
{
NQuantLibcPINVOKE.CmsCouponPricer_setSwaptionVolatility__SWIG_0(swigCPtr, SwaptionVolatilityStructureHandle.getCPtr(v));
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public SwaptionVolatilityStructureHandle swaptionVolatility()
{
SwaptionVolatilityStructureHandle ret = new SwaptionVolatilityStructureHandle(NQuantLibcPINVOKE.CmsCouponPricer_swaptionVolatility(swigCPtr), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(SwaptionVolatilityStructureHandle obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
public BlackSwaptionEngine(YieldTermStructureHandle discountCurve, SwaptionVolatilityStructureHandle v) : this(NQuantLibcPINVOKE.new_BlackSwaptionEngine__SWIG_1(YieldTermStructureHandle.getCPtr(discountCurve), SwaptionVolatilityStructureHandle.getCPtr(v)), 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 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 MarkovFunctional(YieldTermStructureHandle termStructure, double reversion, DateVector volstepdates, DoubleVector volatilities, SwaptionVolatilityStructureHandle swaptionVol, DateVector swaptionExpiries, PeriodVector swaptionTenors, SwapIndex swapIndexBase) : this(NQuantLibcPINVOKE.new_MarkovFunctional__SWIG_1(YieldTermStructureHandle.getCPtr(termStructure), reversion, DateVector.getCPtr(volstepdates), DoubleVector.getCPtr(volatilities), SwaptionVolatilityStructureHandle.getCPtr(swaptionVol), DateVector.getCPtr(swaptionExpiries), PeriodVector.getCPtr(swaptionTenors), SwapIndex.getCPtr(swapIndexBase)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public NumericHaganPricer(SwaptionVolatilityStructureHandle v, GFunctionFactory.YieldCurveModel model, QuoteHandle meanReversion) : this(NQuantLibcPINVOKE.new_NumericHaganPricer__SWIG_3(SwaptionVolatilityStructureHandle.getCPtr(v), (int)model, QuoteHandle.getCPtr(meanReversion)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public MarkovFunctional(YieldTermStructureHandle termStructure, double reversion, DateVector volstepdates, DoubleVector volatilities, SwaptionVolatilityStructureHandle swaptionVol, DateVector swaptionExpiries, PeriodVector swaptionTenors, SwapIndex swapIndexBase, uint yGridPoints, double yStdDevs, uint gaussHermitePoints, double digitalGap) : this(NQuantLibcPINVOKE.new_MarkovFunctional__SWIG_5(YieldTermStructureHandle.getCPtr(termStructure), reversion, DateVector.getCPtr(volstepdates), DoubleVector.getCPtr(volatilities), SwaptionVolatilityStructureHandle.getCPtr(swaptionVol), DateVector.getCPtr(swaptionExpiries), PeriodVector.getCPtr(swaptionTenors), SwapIndex.getCPtr(swapIndexBase), yGridPoints, yStdDevs, gaussHermitePoints, digitalGap), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public MarkovFunctional(YieldTermStructureHandle termStructure, double reversion, DateVector volstepdates, DoubleVector volatilities, SwaptionVolatilityStructureHandle swaptionVol, DateVector swaptionExpiries, PeriodVector swaptionTenors, SwapIndex swapIndexBase, uint yGridPoints, double yStdDevs, uint gaussHermitePoints, double digitalGap, double marketRateAccuracy, double lowerRateBound, double upperRateBound, int adjustments, DoubleVector smileMoneyCheckpoints) : this(NQuantLibcPINVOKE.new_MarkovFunctional__SWIG_0(YieldTermStructureHandle.getCPtr(termStructure), reversion, DateVector.getCPtr(volstepdates), DoubleVector.getCPtr(volatilities), SwaptionVolatilityStructureHandle.getCPtr(swaptionVol), DateVector.getCPtr(swaptionExpiries), PeriodVector.getCPtr(swaptionTenors), SwapIndex.getCPtr(swapIndexBase), yGridPoints, yStdDevs, gaussHermitePoints, digitalGap, marketRateAccuracy, lowerRateBound, upperRateBound, adjustments, DoubleVector.getCPtr(smileMoneyCheckpoints)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public void setSwaptionVolatility(SwaptionVolatilityStructureHandle v) {
NQuantLibcPINVOKE.CmsCouponPricer_setSwaptionVolatility__SWIG_0(swigCPtr, SwaptionVolatilityStructureHandle.getCPtr(v));
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public SwaptionVolatilityStructureHandle swaptionVolatility() {
SwaptionVolatilityStructureHandle ret = new SwaptionVolatilityStructureHandle(NQuantLibcPINVOKE.CmsCouponPricer_swaptionVolatility(swigCPtr), true);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(SwaptionVolatilityStructureHandle obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
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();
}