cpicapfloorengines.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2011 Chris Kenyon
 
 
 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.
 */
 
/*!
    \file cpicapfloorengines.hpp
    \brief Engines for CPI options
*/
 
#ifndef quantlib_cpicapfloorengines_hpp
#define quantlib_cpicapfloorengines_hpp
 
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/instruments/cpicapfloor.hpp>
 
 
namespace QuantLib {
 
    class CPICapFloorTermPriceSurface;
 
    //! Engine for CPI cap/floors based on a price surface
    /*! This engine only adds timing functionality (e.g. different lag)
        w.r.t. an existing interpolated price surface.
    */
    class InterpolatingCPICapFloorEngine : public CPICapFloor::engine {
        public:
          explicit InterpolatingCPICapFloorEngine(Handle<CPICapFloorTermPriceSurface>);
 
          void calculate() const override;
          virtual std::string name() const { return "InterpolatingCPICapFloorEngine"; }
 
          ~InterpolatingCPICapFloorEngine() override = default;
 
        protected:
          Handle<CPICapFloorTermPriceSurface> priceSurf_;
    };
 
}
 
#endif