discretizedswaption.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
 Copyright (C) 2004, 2007 StatPro Italia srl
 Copyright (C) 2021, 2022 Ralf Konrad Eckel
 
 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_discretized_swaption_hpp
#define quantlib_discretized_swaption_hpp
 
#include <ql/discretizedasset.hpp>
#include <ql/instruments/swaption.hpp>
 
namespace QuantLib {
 
    class DiscretizedSwaption : public DiscretizedOption {
      public:
        DiscretizedSwaption(const Swaption::arguments&,
                            const Date& referenceDate,
                            const DayCounter& dayCounter);
        void reset(Size size) override;
 
      private:
        Swaption::arguments arguments_;
        Time lastPayment_;
 
        static void prepareSwaptionWithSnappedDates(
            const Swaption::arguments& args,
            const Date& referenceDate,
            const DayCounter& dayCounter,
            PricingEngine::arguments& snappedArgs,
            std::vector<CouponAdjustment>& fixedCouponAdjustments,
            std::vector<CouponAdjustment>& floatingCouponAdjustments);
    };
 
}
 
 
#endif