QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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discretizedswaption.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
5 Copyright (C) 2004, 2007 StatPro Italia srl
6 Copyright (C) 2021, 2022 Ralf Konrad Eckel
7
8 This file is part of QuantLib, a free-software/open-source library
9 for financial quantitative analysts and developers - http://quantlib.org/
10
11 QuantLib is free software: you can redistribute it and/or modify it
12 under the terms of the QuantLib license. You should have received a
13 copy of the license along with this program; if not, please email
14 <quantlib-dev@lists.sf.net>. The license is also available online at
15 <http://quantlib.org/license.shtml>.
16
17 This program is distributed in the hope that it will be useful, but WITHOUT
18 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19 FOR A PARTICULAR PURPOSE. See the license for more details.
20*/
21
22/*! \file discretizedswaption.hpp
23 \brief Discretized swaption class
24*/
25
26#ifndef quantlib_discretized_swaption_hpp
27#define quantlib_discretized_swaption_hpp
28
31
32namespace QuantLib {
33
35 public:
37 const Date& referenceDate,
38 const DayCounter& dayCounter);
39 void reset(Size size) override;
40
41 private:
44
46 const Swaption::arguments& args,
47 const Date& referenceDate,
48 const DayCounter& dayCounter,
49 PricingEngine::arguments& snappedArgs,
50 std::vector<CouponAdjustment>& fixedCouponAdjustments,
51 std::vector<CouponAdjustment>& floatingCouponAdjustments);
52 };
53
54}
55
56
57#endif
Concrete date class.
Definition: date.hpp:125
day counter class
Definition: daycounter.hpp:44
Discretized option on a given asset.
static void prepareSwaptionWithSnappedDates(const Swaption::arguments &args, const Date &referenceDate, const DayCounter &dayCounter, PricingEngine::arguments &snappedArgs, std::vector< CouponAdjustment > &fixedCouponAdjustments, std::vector< CouponAdjustment > &floatingCouponAdjustments)
void reset(Size size) override
Arguments for swaption calculation
Definition: swaption.hpp:147
Discretized asset classes.
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35
Swaption class.