public LinearTsrPricer(Handle <SwaptionVolatilityStructure> swaptionVol,
Handle <Quote> meanReversion,
Handle <YieldTermStructure> couponDiscountCurve = null,
Settings settings = null,
Integrator integrator = null)
: base(swaptionVol)
{
meanReversion_ = meanReversion;
couponDiscountCurve_ = couponDiscountCurve ?? new Handle <YieldTermStructure>();
settings_ = settings ?? new Settings();
volDayCounter_ = swaptionVol.link.dayCounter();
integrator_ = integrator;
if (!couponDiscountCurve_.empty())
{
couponDiscountCurve_.registerWith(update);
}
if (integrator_ == null)
{
integrator_ = new GaussKronrodNonAdaptive(1E-10, 5000, 1E-10);
}
}
private Integration(Algorithm intAlgo, Integrator integrator)
{
intAlgo_ = intAlgo;
integrator_ = integrator;
}