QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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integralcdoengine.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 Copyright (C) 2009, 2014 Jose Aparicio
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21
22#ifndef quantlib_integral_cdo_engine_hpp
23#define quantlib_integral_cdo_engine_hpp
24
25#include <ql/qldefines.hpp>
26
27#ifndef QL_PATCH_SOLARIS
28
30# include <utility>
31
32namespace QuantLib {
33
34 class YieldTermStructure;
35
37 public:
39 Period stepSize = 3 * Months)
40 : stepSize_(stepSize), discountCurve_(std::move(discountCurve)) {}
41 void calculate() const override;
42
43 protected:
46 };
47
48}
49
50#endif
51
52#endif
Shared handle to an observable.
Definition: handle.hpp:41
Handle< YieldTermStructure > discountCurve_
void calculate() const override
IntegralCDOEngine(Handle< YieldTermStructure > discountCurve, Period stepSize=3 *Months)
Definition: any.hpp:35
STL namespace.
Global definitions and compiler switches.
Synthetic Collateralized Debt Obligation and pricing engines.