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 NumericHaganPricer(Handle <SwaptionVolatilityStructure> swaptionVol, GFunctionFactory.YieldCurveModel modelOfYieldCurve, Handle <Quote> meanReversion, double lowerLimit, double upperLimit, double precision)
: base(swaptionVol, modelOfYieldCurve, meanReversion)
{
upperLimit_ = upperLimit;
lowerLimit_ = lowerLimit;
requiredStdDeviations_ = 8;
precision_ = precision;
refiningIntegrationTolerance_ = 0.0001;
}
protected HaganPricer(Handle <SwaptionVolatilityStructure> swaptionVol, GFunctionFactory.YieldCurveModel modelOfYieldCurve, Handle <Quote> meanReversion)
: base(swaptionVol)
{
modelOfYieldCurve_ = modelOfYieldCurve;
cutoffForCaplet_ = 2;
cutoffForFloorlet_ = 0;
meanReversion_ = meanReversion;
if (meanReversion_.link != null)
{
meanReversion_.registerWith(update);
}
}
protected HaganPricer(Handle<SwaptionVolatilityStructure> swaptionVol, GFunctionFactory.YieldCurveModel modelOfYieldCurve, Handle<Quote> meanReversion)
: base(swaptionVol)
{
modelOfYieldCurve_ = modelOfYieldCurve;
cutoffForCaplet_ = 2;
cutoffForFloorlet_ = 0;
meanReversion_ = meanReversion;
if (meanReversion_.link != null)
meanReversion_.registerWith(update);
}
public AnalyticHaganPricer(Handle <SwaptionVolatilityStructure> swaptionVol, GFunctionFactory.YieldCurveModel modelOfYieldCurve, Handle <Quote> meanReversion)
: base(swaptionVol, modelOfYieldCurve, meanReversion)
{
}
