QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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integralntdengine.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2008 Roland Lichters
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#ifndef quantlib_integral_ntd_engine_hpp
21#define quantlib_integral_ntd_engine_hpp
22
24#include <utility>
25
26namespace QuantLib {
27
28 class YieldTermStructure;
29
30 // Varying recoveries allowed, allow now for heterogeneous notionals
32 public:
33 IntegralNtdEngine(const Period& integrationStep, Handle<YieldTermStructure> discountCurve)
34 : discountCurve_(std::move(discountCurve)), integrationStepSize_(integrationStep) {}
35 void calculate() const override;
36
37 protected:
40 };
41
42}
43
44#endif
Shared handle to an observable.
Definition: handle.hpp:41
IntegralNtdEngine(const Period &integrationStep, Handle< YieldTermStructure > discountCurve)
Handle< YieldTermStructure > discountCurve_
void calculate() const override
Definition: any.hpp:35
STL namespace.
N-th to default swap.