cvaswapengine.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2015 Jose Aparicio
 
 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_cva_swap_engine_hpp
#define quantlib_cva_swap_engine_hpp
 
#include <ql/handle.hpp>
#include <ql/instruments/vanillaswap.hpp>
#include <ql/termstructures/defaulttermstructure.hpp>
 
namespace QuantLib {
 
    class YieldTermStructure;
    class Quote;
 
  class CounterpartyAdjSwapEngine : public VanillaSwap::engine {
    public:
 
 
      CounterpartyAdjSwapEngine(
          const Handle<YieldTermStructure>& discountCurve,
          const Handle<PricingEngine>& swaptionEngine,
          const Handle<DefaultProbabilityTermStructure>& ctptyDTS,
          Real ctptyRecoveryRate,
          const Handle<DefaultProbabilityTermStructure>& invstDTS =
              Handle<DefaultProbabilityTermStructure>(),
          Real invstRecoveryRate = 0.999);
      CounterpartyAdjSwapEngine(const Handle<YieldTermStructure>& discountCurve,
                                Volatility blackVol,
                                const Handle<DefaultProbabilityTermStructure>& ctptyDTS,
                                Real ctptyRecoveryRate,
                                const Handle<DefaultProbabilityTermStructure>& invstDTS =
                                    Handle<DefaultProbabilityTermStructure>(),
                                Real invstRecoveryRate = 0.999);
      CounterpartyAdjSwapEngine(
          const Handle<YieldTermStructure>& discountCurve,
          const Handle<Quote>& blackVol,
          const Handle<DefaultProbabilityTermStructure>& ctptyDTS,
          Real ctptyRecoveryRate,
          const Handle<DefaultProbabilityTermStructure>& invstDTS =
              Handle<DefaultProbabilityTermStructure>(),
          Real invstRecoveryRate = 0.999);
      void calculate() const override;
 
    private:
      Handle<PricingEngine> baseSwapEngine_;
      Handle<PricingEngine> swaptionletEngine_;
      Handle<YieldTermStructure> discountCurve_;
      Handle<DefaultProbabilityTermStructure> defaultTS_;     
      Real ctptyRecoveryRate_;
      Handle<DefaultProbabilityTermStructure> invstDTS_;      
      Real invstRecoveryRate_;
  };
 
}
 
#endif