QuantLib
: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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ql
legacy
libormarketmodels
lfmswaptionengine.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2006 Klaus Spanderen
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#ifndef quantlib_libor_forward_model_swaption_engine_hpp
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#define quantlib_libor_forward_model_swaption_engine_hpp
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#include <ql/instruments/swaption.hpp>
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#include <ql/pricingengines/genericmodelengine.hpp>
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#include <ql/legacy/libormarketmodels/liborforwardmodel.hpp>
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namespace
QuantLib
{
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class
LfmSwaptionEngine
:
public
GenericModelEngine
<LiborForwardModel,
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Swaption::arguments,
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Swaption::results> {
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public
:
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LfmSwaptionEngine
(
const
ext::shared_ptr<LiborForwardModel>& model,
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Handle<YieldTermStructure>
discountCurve);
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void
calculate
()
const override
;
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private
:
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Handle<YieldTermStructure>
discountCurve_
;
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};
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}
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#endif
QuantLib::GenericModelEngine
Base class for some pricing engine on a particular model.
Definition:
genericmodelengine.hpp:40
QuantLib::Handle
Shared handle to an observable.
Definition:
handle.hpp:41
QuantLib::LfmSwaptionEngine
Libor forward model swaption engine based on Black formula
Definition:
lfmswaptionengine.hpp:37
QuantLib::LfmSwaptionEngine::discountCurve_
Handle< YieldTermStructure > discountCurve_
Definition:
lfmswaptionengine.hpp:44
QuantLib::LfmSwaptionEngine::calculate
void calculate() const override
Definition:
lfmswaptionengine.cpp:35
QuantLib
Definition:
any.hpp:35
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