treeswaptionengine.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
 Copyright (C) 2005, 2007 StatPro Italia srl
 
 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 treeswaptionengine.hpp
    \brief Numerical lattice engine for swaptions
*/
 
#ifndef quantlib_tree_swaption_engine_hpp
#define quantlib_tree_swaption_engine_hpp
 
#include <ql/instruments/swaption.hpp>
#include <ql/pricingengines/latticeshortratemodelengine.hpp>
 
namespace QuantLib {
 
    //! Numerical lattice engine for swaptions
    /*! \ingroup swaptionengines
 
        \warning This engine is not guaranteed to work if the
                 underlying swap has a start date in the past, i.e.,
                 before today's date. When using this engine, prune
                 the initial part of the swap so that it starts at
                 \f$ t \geq 0 \f$.
 
        \test calculations are checked against cached results
    */
    class TreeSwaptionEngine
    : public LatticeShortRateModelEngine<Swaption::arguments,
                                         Swaption::results> {
      public:
        /*! \name Constructors
            \note the term structure is only needed when the short-rate
                  model cannot provide one itself.
        */
        //@{
        TreeSwaptionEngine(const ext::shared_ptr<ShortRateModel>&,
                           Size timeSteps,
                           Handle<YieldTermStructure> termStructure = Handle<YieldTermStructure>());
        TreeSwaptionEngine(const ext::shared_ptr<ShortRateModel>&,
                           const TimeGrid& timeGrid,
                           Handle<YieldTermStructure> termStructure = Handle<YieldTermStructure>());
        TreeSwaptionEngine(const Handle<ShortRateModel>&,
                           Size timeSteps,
                           Handle<YieldTermStructure> termStructure = Handle<YieldTermStructure>());
        //@}
        void calculate() const override;
 
      private:
        Handle<YieldTermStructure> termStructure_;
    };
 
}
 
 
#endif