QuantLib: a free/open-source library for quantitative finance
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gaussian1dcapfloorengine.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2013 Peter Caspers
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file gaussian1dcapfloorengine.hpp
21 \brief
22*/
23
24#ifndef quantlib_pricers_gaussian1d_capfloor_hpp
25#define quantlib_pricers_gaussian1d_capfloor_hpp
26
30#include <utility>
31
32namespace QuantLib {
33
34 //! Gaussian1d cap/floor engine
35 /*! \ingroup capfloorengines
36 */
37
39 : public GenericModelEngine<Gaussian1dModel, CapFloor::arguments,
40 CapFloor::results> {
41 public:
43 const ext::shared_ptr<Gaussian1dModel>& model,
44 const int integrationPoints = 64,
45 const Real stddevs = 7.0,
46 const bool extrapolatePayoff = true,
47 const bool flatPayoffExtrapolation = false,
50 integrationPoints_(integrationPoints), stddevs_(stddevs),
51 extrapolatePayoff_(extrapolatePayoff), flatPayoffExtrapolation_(flatPayoffExtrapolation),
52 discountCurve_(std::move(discountCurve)) {}
53 void calculate() const override;
54
55 private:
60 };
61}
62
63#endif
64
cap and floor class
Base class for cap-like instruments.
Definition: capfloor.hpp:55
const Handle< YieldTermStructure > discountCurve_
Gaussian1dCapFloorEngine(const ext::shared_ptr< Gaussian1dModel > &model, const int integrationPoints=64, const Real stddevs=7.0, const bool extrapolatePayoff=true, const bool flatPayoffExtrapolation=false, Handle< YieldTermStructure > discountCurve=Handle< YieldTermStructure >())
Base class for some pricing engine on a particular model.
Shared handle to an observable.
Definition: handle.hpp:41
basic interface for one factor interest rate models
Generic option engine based on a model.
QL_REAL Real
real number
Definition: types.hpp:50
Definition: any.hpp:35
STL namespace.