riskybondengine.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2008 Roland Lichters
 Copyright (C) 2021 Lew Wei Hao
 
 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_risky_bond_engine_hpp
#define quantlib_risky_bond_engine_hpp
 
#include <ql/instruments/bond.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/defaulttermstructure.hpp>
#include <ql/handle.hpp>
 
namespace QuantLib {
 
 
    class RiskyBondEngine : public Bond::engine {
      public:
        RiskyBondEngine(Handle<DefaultProbabilityTermStructure> defaultTS,
                        Real recoveryRate,
                        Handle<YieldTermStructure> yieldTS);
        void calculate() const override;
        Handle<DefaultProbabilityTermStructure> defaultTS() const;
        Real recoveryRate() const;
        Handle<YieldTermStructure> yieldTS() const;
      private:
        Handle<DefaultProbabilityTermStructure> defaultTS_;
        Real recoveryRate_;
        Handle<YieldTermStructure> yieldTS_;
    };
 
 
    inline Handle<DefaultProbabilityTermStructure> RiskyBondEngine::defaultTS() const {
        return defaultTS_;
    }
 
    inline Real RiskyBondEngine::recoveryRate() const { return recoveryRate_; }
 
    inline Handle<YieldTermStructure> RiskyBondEngine::yieldTS() const { return yieldTS_; }
 
}
 
#endif