numericalintegrationindexcdsoptionengine.hpp

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/*
 Copyright (C) 2023 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 qle/pricingengines/numericalintegrationindexcdsoptionengine.hpp
    \brief numerical integration index credit default swap option engine.
*/
 
#pragma once
 
#include <qle/pricingengines/indexcdsoptionbaseengine.hpp>
 
namespace QuantExt {
 
class NumericalIntegrationIndexCdsOptionEngine : public QuantExt::IndexCdsOptionBaseEngine {
public:
    using IndexCdsOptionBaseEngine::IndexCdsOptionBaseEngine;
 
private:
    void doCalc() const override;
    Real forwardRiskyAnnuityStrike(const Real strike) const;
};
 
} // namespace QuantExt