1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
|
//------------------------------------------------------------------------------
// <auto-generated />
//
// This file was automatically generated by SWIG (http://www.swig.org).
// Version 3.0.12
//
// Do not make changes to this file unless you know what you are doing--modify
// the SWIG interface file instead.
//------------------------------------------------------------------------------
namespace QuantLib {
public class OptionletStripper1 : StrippedOptionletBase {
private global::System.Runtime.InteropServices.HandleRef swigCPtr;
internal OptionletStripper1(global::System.IntPtr cPtr, bool cMemoryOwn) : base(NQuantLibcPINVOKE.OptionletStripper1_SWIGUpcast(cPtr), cMemoryOwn) {
swigCPtr = new global::System.Runtime.InteropServices.HandleRef(this, cPtr);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(OptionletStripper1 obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
~OptionletStripper1() {
Dispose();
}
public override void Dispose() {
lock(this) {
if (swigCPtr.Handle != global::System.IntPtr.Zero) {
if (swigCMemOwn) {
swigCMemOwn = false;
NQuantLibcPINVOKE.delete_OptionletStripper1(swigCPtr);
}
swigCPtr = new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero);
}
global::System.GC.SuppressFinalize(this);
base.Dispose();
}
}
public OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy, uint maxIter, YieldTermStructureHandle discount, VolatilityType type, double displacement, bool dontThrow) : this(NQuantLibcPINVOKE.new_OptionletStripper1__SWIG_0(CapFloorTermVolSurface.getCPtr(parVolSurface), IborIndex.getCPtr(index), switchStrikes, accuracy, maxIter, YieldTermStructureHandle.getCPtr(discount), (int)type, displacement, dontThrow), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy, uint maxIter, YieldTermStructureHandle discount, VolatilityType type, double displacement) : this(NQuantLibcPINVOKE.new_OptionletStripper1__SWIG_1(CapFloorTermVolSurface.getCPtr(parVolSurface), IborIndex.getCPtr(index), switchStrikes, accuracy, maxIter, YieldTermStructureHandle.getCPtr(discount), (int)type, displacement), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy, uint maxIter, YieldTermStructureHandle discount, VolatilityType type) : this(NQuantLibcPINVOKE.new_OptionletStripper1__SWIG_2(CapFloorTermVolSurface.getCPtr(parVolSurface), IborIndex.getCPtr(index), switchStrikes, accuracy, maxIter, YieldTermStructureHandle.getCPtr(discount), (int)type), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy, uint maxIter, YieldTermStructureHandle discount) : this(NQuantLibcPINVOKE.new_OptionletStripper1__SWIG_3(CapFloorTermVolSurface.getCPtr(parVolSurface), IborIndex.getCPtr(index), switchStrikes, accuracy, maxIter, YieldTermStructureHandle.getCPtr(discount)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy, uint maxIter) : this(NQuantLibcPINVOKE.new_OptionletStripper1__SWIG_4(CapFloorTermVolSurface.getCPtr(parVolSurface), IborIndex.getCPtr(index), switchStrikes, accuracy, maxIter), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes, double accuracy) : this(NQuantLibcPINVOKE.new_OptionletStripper1__SWIG_5(CapFloorTermVolSurface.getCPtr(parVolSurface), IborIndex.getCPtr(index), switchStrikes, accuracy), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index, double switchStrikes) : this(NQuantLibcPINVOKE.new_OptionletStripper1__SWIG_6(CapFloorTermVolSurface.getCPtr(parVolSurface), IborIndex.getCPtr(index), switchStrikes), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public OptionletStripper1(CapFloorTermVolSurface parVolSurface, IborIndex index) : this(NQuantLibcPINVOKE.new_OptionletStripper1__SWIG_7(CapFloorTermVolSurface.getCPtr(parVolSurface), IborIndex.getCPtr(index)), true) {
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
public Matrix capFloorPrices() {
Matrix ret = new Matrix(NQuantLibcPINVOKE.OptionletStripper1_capFloorPrices(swigCPtr), false);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
public Matrix capFloorVolatilities() {
Matrix ret = new Matrix(NQuantLibcPINVOKE.OptionletStripper1_capFloorVolatilities(swigCPtr), false);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
public Matrix optionletPrices() {
Matrix ret = new Matrix(NQuantLibcPINVOKE.OptionletStripper1_optionletPrices(swigCPtr), false);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
public double switchStrike() {
double ret = NQuantLibcPINVOKE.OptionletStripper1_switchStrike(swigCPtr);
if (NQuantLibcPINVOKE.SWIGPendingException.Pending) throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
return ret;
}
}
}
|
