gaussian1dswaptionengine.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2013 Peter Caspers
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program 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 license for more details.
*/
 
#ifndef quantlib_pricers_gaussian1d_swaption_hpp
#define quantlib_pricers_gaussian1d_swaption_hpp
 
#include <ql/instruments/swaption.hpp>
#include <ql/models/shortrate/onefactormodels/gaussian1dmodel.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <utility>
 
namespace QuantLib {
 
 
    class Gaussian1dSwaptionEngine
        : public GenericModelEngine<Gaussian1dModel, Swaption::arguments,
                                    Swaption::results> {
      public:
        enum Probabilities {
            None,
            Naive,
            Digital
        };
 
        Gaussian1dSwaptionEngine(
            const ext::shared_ptr<Gaussian1dModel>& model,
            const int integrationPoints = 64,
            const Real stddevs = 7.0,
            const bool extrapolatePayoff = true,
            const bool flatPayoffExtrapolation = false,
            Handle<YieldTermStructure> discountCurve = Handle<YieldTermStructure>(),
            const Probabilities probabilities = None)
        : GenericModelEngine<Gaussian1dModel, Swaption::arguments, Swaption::results>(model),
          integrationPoints_(integrationPoints), stddevs_(stddevs),
          extrapolatePayoff_(extrapolatePayoff), flatPayoffExtrapolation_(flatPayoffExtrapolation),
          discountCurve_(std::move(discountCurve)), probabilities_(probabilities) {
 
            if (!discountCurve_.empty())
                registerWith(discountCurve_);
        }
 
        Gaussian1dSwaptionEngine(
            const Handle<Gaussian1dModel>& model,
            const int integrationPoints = 64,
            const Real stddevs = 7.0,
            const bool extrapolatePayoff = true,
            const bool flatPayoffExtrapolation = false,
            Handle<YieldTermStructure> discountCurve = Handle<YieldTermStructure>(),
            const Probabilities probabilities = None)
        : GenericModelEngine<Gaussian1dModel, Swaption::arguments, Swaption::results>(model),
          integrationPoints_(integrationPoints), stddevs_(stddevs),
          extrapolatePayoff_(extrapolatePayoff), flatPayoffExtrapolation_(flatPayoffExtrapolation),
          discountCurve_(std::move(discountCurve)), probabilities_(probabilities) {
 
            if (!discountCurve_.empty())
                registerWith(discountCurve_);
        }
 
        void calculate() const override;
 
      private:
        const int integrationPoints_;
        const Real stddevs_;
        const bool extrapolatePayoff_, flatPayoffExtrapolation_;
        const Handle<YieldTermStructure> discountCurve_;
        const Probabilities probabilities_;
    };
}
 
#endif