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) { }