public ImpliedVolHelper_(Swaption swaption,
Handle <YieldTermStructure> discountCurve,
double targetValue,
double?displacement = 0.0,
VolatilityType type = VolatilityType.ShiftedLognormal)
{
discountCurve_ = discountCurve;
targetValue_ = targetValue;
// set an implausible value, so that calculation is forced
// at first ImpliedVolHelper::operator()(Volatility x) call
vol_ = new SimpleQuote(-1.0);
Handle <Quote> h = new Handle <Quote>(vol_);
switch (type)
{
case VolatilityType.ShiftedLognormal:
engine_ = new BlackSwaptionEngine(discountCurve_, h, new Actual365Fixed(), displacement);
break;
case VolatilityType.Normal:
engine_ = new BachelierSwaptionEngine(discountCurve_, h, new Actual365Fixed());
break;
default:
Utils.QL_FAIL("unknown VolatilityType (" + type.ToString() + ")");
break;
}
swaption.setupArguments(engine_.getArguments());
results_ = engine_.getResults() as Instrument.Results;
}
public SwaptionImpliedVolatilityHelper(Swaption swaption, Handle <YieldTermStructure> discountCurve, double targetValue)
{
discountCurve_ = discountCurve;
targetValue_ = targetValue;
// set an implausible value, so that calculation is forced
// at first ImpliedVolHelper::operator()(Volatility x) call
vol_ = new SimpleQuote(-1.0);
Handle <Quote> h = new Handle <Quote>(vol_);
engine_ = new BlackSwaptionEngine(discountCurve_, h);
swaption.setupArguments(engine_.getArguments());
results_ = engine_.getResults() as Results;
}
public override void addTimesTo(List <double> times)
{
Swaption.Arguments args = new Swaption.Arguments();
swaption_.setupArguments(args);
List <double> swaptionTimes =
new DiscretizedSwaption(args,
termStructure_.link.referenceDate(),
termStructure_.link.dayCounter()).mandatoryTimes();
/*times.insert(times.end(),
* swaptionTimes.begin(), swaptionTimes.end());*/
for (int i = 0; i < swaptionTimes.Count; i++)
{
times.Insert(times.Count, swaptionTimes[i]);
}
}