public void visit(CappedFlooredIborCoupon c)
{
IborCouponPricer iborCouponPricer = pricer_ as IborCouponPricer;
Utils.QL_REQUIRE(iborCouponPricer != null, () => "pricer not compatible with Ibor coupon");
c.setPricer(iborCouponPricer);
}
public void visit(DigitalIborCoupon c)
{
IborCouponPricer pricer = pricer_ as IborCouponPricer;
if (pricer == null)
{
throw new ApplicationException("pricer not compatible with Ibor coupon");
}
c.setPricer(pricer);
}
//public IndexHistoryCleaner indexCleaner;
// initial setup
public CommonVars()
{
backup = new SavedSettings();
//indexCleaner = new IndexHistoryCleaner();
termStructure = new RelinkableHandle<YieldTermStructure>();
int swapSettlementDays = 2;
faceAmount = 100.0;
BusinessDayConvention fixedConvention = BusinessDayConvention.Unadjusted;
compounding = Compounding.Continuous;
Frequency fixedFrequency = Frequency.Annual;
Frequency floatingFrequency = Frequency.Semiannual;
iborIndex = new Euribor(new Period(floatingFrequency), termStructure);
Calendar calendar = iborIndex.fixingCalendar();
swapIndex= new SwapIndex("EuriborSwapIsdaFixA", new Period(10,TimeUnit.Years), swapSettlementDays,
iborIndex.currency(), calendar,
new Period(fixedFrequency), fixedConvention,
iborIndex.dayCounter(), iborIndex);
spread = 0.0;
nonnullspread = 0.003;
Date today = new Date(24,Month.April,2007);
Settings.setEvaluationDate(today);
//Date today = Settings::instance().evaluationDate();
termStructure.linkTo(Utilities.flatRate(today, 0.05, new Actual365Fixed()));
pricer = new BlackIborCouponPricer();
Handle<SwaptionVolatilityStructure> swaptionVolatilityStructure =
new Handle<SwaptionVolatilityStructure>(new ConstantSwaptionVolatility(today,
new NullCalendar(),BusinessDayConvention.Following, 0.2, new Actual365Fixed()));
Handle<Quote> meanReversionQuote = new Handle<Quote>(new SimpleQuote(0.01));
cmspricer = new AnalyticHaganPricer(swaptionVolatilityStructure, GFunctionFactory.YieldCurveModel.Standard, meanReversionQuote);
}
public MakeCms withFloatingCouponPricer(IborCouponPricer couponPricer)
{
iborCouponPricer_ = couponPricer;
return(this);
}