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## RQuantLib -- R interface to the QuantLib libraries
##
## Copyright (C) 2010 Dirk Eddelbuettel and Khanh Nguyen
##
## This file is part of RQuantLib.
##
## RQuantLib is free software: you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation, either version 2 of the License, or
## (at your option) any later version.
##
## RQuantLib is distributed in the hope that it will be useful,
## but WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
## GNU General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with RQuantLib. If not, see <http://www.gnu.org/licenses/>.
hullWhiteCalibrateUsingCap <- function(termStrc, capHelpers,
index, evaluationDate) {
capData <- capHelpers$data
ibor <- index$term
val <- calibrateHullWhiteUsingCapsEngine(termStrc$table$date,
termStrc$table$zeroRates,
capData,
ibor$table$date,
ibor$table$zeroRates,
index$type,
evaluationDate)
}
hullWhiteCalibrateUsingSwap <- function(termStrc, swapHelpers,
index, evaluationDate) {
swapData <- swapHelpers$data
ibor <- index$term
val <- calibrateHullWhiteUsingSwapsEngine(termStrc$table$date,
termStrc$table$zeroRates,
swapData,
ibor$table$date,
ibor$table$zeroRates,
index$type,
evaluationDate)
}
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