commodityschwartzfutureoptionengine.hpp

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/*
 Copyright (C) 2022 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file commodityschwartzfutureoptionengine.hpp
    \brief commodity future options priced in the Schwartz model
    \ingroup engines
*/
 
#ifndef quantext_com_schwartz_futureoption_engine_hpp
#define quantext_com_schwartz_futureoption_engine_hpp
 
#include <ql/instruments/vanillaoption.hpp>
#include <qle/models/crossassetmodel.hpp>
#include <qle/models/commodityschwartzmodel.hpp>
 
namespace QuantExt {
 
//! Commodity options on prompt future (with maturity=expiry) priced in the Schwartz model
/*! \ingroup engines
 */
class CommoditySchwartzFutureOptionEngine : public VanillaOption::engine {
public:
    CommoditySchwartzFutureOptionEngine(const QuantLib::ext::shared_ptr<CommoditySchwartzModel>& model);
    void calculate() const override;
 
private:
    QuantLib::ext::shared_ptr<CommoditySchwartzModel> model_;
};
 
} // namespace QuantExt
 
#endif