// private constructor
private SabrIborCapletFloorletVolatilityBootstrapper(VolatilityIborCapFloorLegPricer pricer, SabrIborCapletFloorletPeriodPricer sabrPeriodPricer, NonLinearLeastSquare solver, ReferenceData referenceData) : base(pricer, referenceData)
{
this.sabrPeriodPricer = ArgChecker.notNull(sabrPeriodPricer, "sabrPeriodPricer");
this.solver = ArgChecker.notNull(solver, "solver");
}
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="capFloorLegPricer"> the pricer for <seealso cref="IborCapFloorLeg"/> </param>
/// <param name="payLegPricer"> the pricer for <seealso cref="SwapLeg"/> </param>
public VolatilityIborCapFloorProductPricer(VolatilityIborCapFloorLegPricer capFloorLegPricer, DiscountingSwapLegPricer payLegPricer)
{
this.capFloorLegPricer = ArgChecker.notNull(capFloorLegPricer, "capFloorLegPricer");
this.payLegPricer = ArgChecker.notNull(payLegPricer, "payLegPricer");
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates an instance.
/// <para>
/// The epsilon is the parameter used in <seealso cref="NonLinearLeastSquare"/>, where the iteration stops when certain
/// quantities are smaller than this parameter.
///
/// </para>
/// </summary>
/// <param name="pricer"> the cap/floor pricer to convert quoted volatilities to prices </param>
/// <param name="sabrPeriodPricer"> the SABR pricer </param>
/// <param name="epsilon"> the epsilon parameter </param>
/// <param name="referenceData"> the reference data </param>
/// <returns> the instance </returns>
public static SabrIborCapletFloorletVolatilityBootstrapper of(VolatilityIborCapFloorLegPricer pricer, SabrIborCapletFloorletPeriodPricer sabrPeriodPricer, double epsilon, ReferenceData referenceData)
{
NonLinearLeastSquare solver = new NonLinearLeastSquare(SV_COMMONS, OG_ALGEBRA, epsilon);
return(new SabrIborCapletFloorletVolatilityBootstrapper(pricer, sabrPeriodPricer, solver, referenceData));
}
// private constructor
private DirectIborCapletFloorletVolatilityCalibrator(VolatilityIborCapFloorLegPricer pricer, double epsilon, ReferenceData referenceData) : base(pricer, referenceData)
{
this.solver = new NonLinearLeastSquareWithPenalty(new CholeskyDecompositionCommons(), epsilon);
}
/// <summary>
/// Obtains an instance.
/// <para>
/// The epsilon is the parameter used in <seealso cref="NonLinearLeastSquareWithPenalty"/>,
/// where the iteration stops when certain quantities are smaller than this parameter.
///
/// </para>
/// </summary>
/// <param name="pricer"> the cap pricer </param>
/// <param name="epsilon"> the epsilon parameter </param>
/// <param name="referenceData"> the reference data </param>
/// <returns> the instance </returns>
public static DirectIborCapletFloorletVolatilityCalibrator of(VolatilityIborCapFloorLegPricer pricer, double epsilon, ReferenceData referenceData)
{
return(new DirectIborCapletFloorletVolatilityCalibrator(pricer, epsilon, referenceData));
}
/// <summary>
/// Constructor with cap pricer and reference data.
/// </summary>
/// <param name="pricer"> the cap pricer </param>
/// <param name="referenceData"> the reference data </param>
public IborCapletFloorletVolatilityCalibrator(VolatilityIborCapFloorLegPricer pricer, ReferenceData referenceData)
{
this.pricer = ArgChecker.notNull(pricer, "pricer");
this.referenceData = ArgChecker.notNull(referenceData, "referenceData");
}
// private constructor
private SurfaceIborCapletFloorletVolatilityBootstrapper(VolatilityIborCapFloorLegPricer pricer, ReferenceData referenceData) : base(pricer, referenceData)
{
}
//-------------------------------------------------------------------------
/// <summary>
/// Creates an instance.
/// </summary>
/// <param name="pricer"> the cap pricer </param>
/// <param name="referenceData"> the reference data </param>
/// <returns> the instance </returns>
public static SurfaceIborCapletFloorletVolatilityBootstrapper of(VolatilityIborCapFloorLegPricer pricer, ReferenceData referenceData)
{
return(new SurfaceIborCapletFloorletVolatilityBootstrapper(pricer, referenceData));
}
