// cleanup
//SavedSettings backup;
// setup
public CommonVars()
{
conventions = new SwaptionMarketConventions();
conventions.setConventions();
atm = new AtmVolatility();
atm.setMarketData();
atmVolMatrix = new RelinkableHandle <SwaptionVolatilityStructure> (new
SwaptionVolatilityMatrix(conventions.calendar,
conventions.optionBdc,
atm.tenors.options,
atm.tenors.swaps,
atm.volsHandle,
conventions.dayCounter));
termStructure = new RelinkableHandle <YieldTermStructure>();
termStructure.linkTo((new FlatForward(0, conventions.calendar,
0.05, new Actual365Fixed())));
}
public CommonVars()
{
Settings.setEvaluationDate(new Date(16, Month.September, 2015));
conventions.setConventions();
// ATM swaptionvolmatrix
atm.setMarketData();
atmVolMatrix = new RelinkableHandle <SwaptionVolatilityStructure>(
new SwaptionVolatilityMatrix(conventions.calendar, conventions.optionBdc, atm.tenors.options,
atm.tenors.swaps, atm.volsHandle, conventions.dayCounter));
// Swaptionvolcube
cube.setMarketData();
termStructure.linkTo(Utilities.flatRate(0.05, new Actual365Fixed()));
swapIndexBase = new EuriborSwapIsdaFixA(new Period(2, TimeUnit.Years), termStructure);
shortSwapIndexBase = new EuriborSwapIsdaFixA(new Period(1, TimeUnit.Years), termStructure);
vegaWeighedSmileFit = false;
}