public FloatFloatSwaption(FloatFloatSwap swap, Exercise exercise, Settlement.Type delivery, Settlement.Method settlementMethod) : this(NQuantLibcPINVOKE.new_FloatFloatSwaption__SWIG_0(FloatFloatSwap.getCPtr(swap), Exercise.getCPtr(exercise), (int)delivery, (int)settlementMethod), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public NonstandardSwaption(NonstandardSwap swap, Exercise exercise, Settlement.Type type) : this(NQuantLibcPINVOKE.new_NonstandardSwaption__SWIG_1(NonstandardSwap.getCPtr(swap), Exercise.getCPtr(exercise), (int)type), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public Swaption(VanillaSwap swap, Exercise exercise, Settlement.Type delivery)
: base(new Payoff(), exercise)
{
settlementType_ = delivery;
swap_ = swap;
swap_.registerWith(update);
}
public Swaption(VanillaSwap swap, Exercise exercise)
: base(new Payoff(), exercise)
{
settlementType_ = Settlement.Type.Physical;
swap_ = swap;
swap_.registerWith(update);
}
public Swaption(VanillaSwap simpleSwap, Exercise exercise, Settlement.Type type) : this(NQuantLibcPINVOKE.new_Swaption__SWIG_0(VanillaSwap.getCPtr(simpleSwap), Exercise.getCPtr(exercise), (int)type), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public Settlement.Type settlementType()
{
Settlement.Type ret = (Settlement.Type)NQuantLibcPINVOKE.Swaption_settlementType(swigCPtr);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
return(ret);
}
public MakeSwaption(SwapIndex swapIndex,
Period optionTenor,
double strike)
{
swapIndex_ = swapIndex;
delivery_ = Settlement.Type.Physical;
optionTenor_ = optionTenor;
optionConvention_ = BusinessDayConvention.ModifiedFollowing;
strike_ = strike;
}
public MakeSwaption(SwapIndex swapIndex,
Period optionTenor,
double strike)
{
swapIndex_ = swapIndex;
delivery_ = Settlement.Type.Physical;
optionTenor_ = optionTenor;
optionConvention_ = BusinessDayConvention.ModifiedFollowing;
strike_ = strike;
}
public Swaption makeSwaption(VanillaSwap swap, Date exercise, double volatility)
{
Settlement.Type settlementType = Settlement.Type.Physical;
Handle <Quote> vol = new Handle <Quote>(new SimpleQuote(volatility));
IPricingEngine engine = new BlackSwaptionEngine(termStructure, vol);
Swaption result = new Swaption(swap, new EuropeanExercise(exercise), settlementType);
result.setPricingEngine(engine);
return(result);
}
public Swaption(VanillaSwap swap,
Exercise exercise,
Settlement.Type delivery = Settlement.Type.Physical,
Settlement.Method settlementMethod = Settlement.Method.PhysicalOTC)
: base(new Payoff(), exercise)
{
settlementType_ = delivery;
settlementMethod_ = settlementMethod;
swap_ = swap;
swap_.registerWith(update);
}
public MakeSwaption withSettlementType(Settlement.Type delivery)
{
delivery_ = delivery;
return(this);
}
public Arguments()
{
settlementType = Settlement.Type.Physical;
}
public MakeSwaption withSettlementType(Settlement.Type delivery)
{
delivery_ = delivery;
return this;
}