jamshidianswaptionengine.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
 Copyright (C) 2013 Peter Caspers
 
 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_pricers_jamshidian_swaption_hpp
#define quantlib_pricers_jamshidian_swaption_hpp
 
#include <ql/instruments/swaption.hpp>
#include <ql/models/shortrate/onefactormodel.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <utility>
 
namespace QuantLib {
 
 
    class JamshidianSwaptionEngine
        : public GenericModelEngine<OneFactorAffineModel,
                                    Swaption::arguments,
                                    Swaption::results > {
      public:
        JamshidianSwaptionEngine(
            const ext::shared_ptr<OneFactorAffineModel>& model,
            Handle<YieldTermStructure> termStructure = Handle<YieldTermStructure>())
        : GenericModelEngine<OneFactorAffineModel, Swaption::arguments, Swaption::results>(model),
          termStructure_(std::move(termStructure)) {
            registerWith(termStructure_);
        }
        void calculate() const override;
 
      private:
        Handle<YieldTermStructure> termStructure_;
        class rStarFinder;
    };
 
}
 
 
#endif