QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
experimental
credit
integralcdoengine.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2008 Roland Lichters
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Copyright (C) 2009, 2014 Jose Aparicio
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#ifndef quantlib_integral_cdo_engine_hpp
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#define quantlib_integral_cdo_engine_hpp
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#include <
ql/qldefines.hpp
>
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#ifndef QL_PATCH_SOLARIS
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#include <
ql/experimental/credit/syntheticcdo.hpp
>
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# include <utility>
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namespace
QuantLib
{
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class
YieldTermStructure;
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class
IntegralCDOEngine
:
public
SyntheticCDO::engine
{
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public
:
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explicit
IntegralCDOEngine
(
Handle<YieldTermStructure>
discountCurve,
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Period
stepSize = 3 *
Months
)
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:
stepSize_
(stepSize),
discountCurve_
(
std
::move(discountCurve)) {}
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void
calculate
()
const override
;
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protected
:
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Period
stepSize_
;
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Handle<YieldTermStructure>
discountCurve_
;
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};
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}
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#endif
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#endif
QuantLib::Handle
Shared handle to an observable.
Definition:
handle.hpp:41
QuantLib::IntegralCDOEngine
Definition:
integralcdoengine.hpp:36
QuantLib::IntegralCDOEngine::discountCurve_
Handle< YieldTermStructure > discountCurve_
Definition:
integralcdoengine.hpp:45
QuantLib::IntegralCDOEngine::calculate
void calculate() const override
Definition:
integralcdoengine.cpp:30
QuantLib::IntegralCDOEngine::stepSize_
Period stepSize_
Definition:
integralcdoengine.hpp:44
QuantLib::IntegralCDOEngine::IntegralCDOEngine
IntegralCDOEngine(Handle< YieldTermStructure > discountCurve, Period stepSize=3 *Months)
Definition:
integralcdoengine.hpp:38
QuantLib::Period
Definition:
period.hpp:44
QuantLib::SyntheticCDO::engine
CDO base engine.
Definition:
syntheticcdo.hpp:227
QuantLib::Months
@ Months
Definition:
timeunit.hpp:39
QuantLib
Definition:
any.hpp:35
std
STL namespace.
qldefines.hpp
Global definitions and compiler switches.
syntheticcdo.hpp
Synthetic Collateralized Debt Obligation and pricing engines.
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