fdg2swaptionengine.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2011 Klaus Spanderen
 
 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.
*/
 
/*! \file fdg2swaptionengine.hpp
    \brief finite differences swaption engine
*/
 
#ifndef quantlib_fd_g2_swaption_engine_hpp
#define quantlib_fd_g2_swaption_engine_hpp
 
#include <ql/instruments/swaption.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/models/shortrate/twofactormodels/g2.hpp>
#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 
namespace QuantLib {
 
    class FdG2SwaptionEngine
        : public GenericModelEngine<G2,Swaption::arguments,Swaption::results> {
      public:
        explicit FdG2SwaptionEngine(
            const ext::shared_ptr<G2>& model,
            Size tGrid = 100, Size xGrid = 50, Size yGrid = 50,
            Size dampingSteps = 0, Real invEps = 1e-5,
            const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
 
        void calculate() const override;
 
      private:
        const Size tGrid_, xGrid_, yGrid_, dampingSteps_;
        const Real invEps_;
        const FdmSchemeDesc schemeDesc_;
    };
}
#endif