analyticcapfloorengine.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
 
 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 analyticcapfloorengine.hpp
    \brief Analytic engine for caps/floors
*/
 
#ifndef quantlib_pricers_analytical_cap_floor_hpp
#define quantlib_pricers_analytical_cap_floor_hpp
 
#include <ql/instruments/capfloor.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/models/model.hpp>
 
namespace QuantLib {
 
    //! Analytic engine for cap/floor
    /*! \ingroup capfloorengines */
    class AnalyticCapFloorEngine
        : public GenericModelEngine<AffineModel,
                                    CapFloor::arguments,
                                    CapFloor::results > {
      public:
        /*! \note the term structure is only needed when the short-rate
                  model cannot provide one itself.
        */
        AnalyticCapFloorEngine(
            const ext::shared_ptr<AffineModel>& model,
            Handle<YieldTermStructure> termStructure = Handle<YieldTermStructure>());
        void calculate() const override;
 
      private:
        Handle<YieldTermStructure> termStructure_;
    };
 
}
 
 
#endif