public SwaptionVolatilityDiscrete(List<Period> optionTenors,
List<Period> swapTenors,
int settlementDays,
Calendar cal,
BusinessDayConvention bdc,
DayCounter dc)
: base(settlementDays, cal, bdc, dc)
{
nOptionTenors_ = optionTenors.Count;
optionTenors_ = optionTenors;
optionDates_ = new InitializedList<Date>(nOptionTenors_);
optionTimes_ = new InitializedList<double>(nOptionTenors_);
optionDatesAsReal_ = new InitializedList<double>(nOptionTenors_);
nSwapTenors_ = swapTenors.Count;
swapTenors_ = swapTenors;
swapLengths_ = new InitializedList<double>(nSwapTenors_);
checkOptionTenors();
initializeOptionDatesAndTimes();
checkSwapTenors();
initializeSwapLengths();
optionInterpolator_ = new LinearInterpolation(optionTimes_,
optionTimes_.Count,
optionDatesAsReal_);
optionInterpolator_.update();
optionInterpolator_.enableExtrapolation();
evaluationDate_ = Settings.evaluationDate();
Settings.registerWith(update);
}
public override void update()
{
for (int i = 0; i < size_; ++i)
{
Utils.QL_REQUIRE(yBegin_[i] > 0.0, () => "invalid value (" + yBegin_[i] + ") at index " + i);
logY_[i] = Math.Log(yBegin_[i]);
}
interpolation_.update();
}
/* In case a pricing engine is not used, this method must be overridden to perform the actual
* calculations and set any needed results.
* In case a pricing engine is used, the default implementation can be used. */
protected override void performCalculations()
{
// check if date recalculation could be avoided here
if (moving_)
{
initializeOptionDatesAndTimes();
initializeSwapLengths();
optionInterpolator_.update();
}
}
public override void update()
{
for (int i = 0; i < size_; ++i)
{
if (!(yBegin_[i] > 0.0))
{
throw new ArgumentException("invalid value (" + yBegin_[i] + ") at index " + i);
}
logY_[i] = System.Math.Log(yBegin_[i]);
}
interpolation_.update();
}
public SwaptionVolatilityDiscrete(List<Period> optionTenors,
List<Period> swapTenors,
Date referenceDate,
Calendar cal,
BusinessDayConvention bdc,
DayCounter dc)
: base(referenceDate, cal, bdc, dc)
{
nOptionTenors_ = optionTenors.Count;
optionTenors_ = optionTenors;
optionDates_ = new InitializedList<Date>(nOptionTenors_);
optionTimes_ = new InitializedList<double>(nOptionTenors_);
optionDatesAsReal_ = new InitializedList<double>(nOptionTenors_);
nSwapTenors_ = swapTenors.Count;
swapTenors_ = swapTenors;
swapLengths_ = new InitializedList<double>(nSwapTenors_);
checkOptionTenors();
initializeOptionDatesAndTimes();
checkSwapTenors();
initializeSwapLengths();
optionInterpolator_ = new LinearInterpolation(optionTimes_,
optionTimes_.Count,
optionDatesAsReal_);
optionInterpolator_.update();
optionInterpolator_.enableExtrapolation();
}
public void setInterpolation <Interpolator>(Interpolator i) where Interpolator : IInterpolationFactory, new ()
{
varianceCurve_ = i.interpolate(times_, times_.Count, variances_);
varianceCurve_.update();
notifyObservers();
}
