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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 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 lfmswaptionengine.hpp
\brief libor forward model swaption engine based on black formula
*/
#ifndef quantlib_libor_forward_model_swaption_engine_hpp
#define quantlib_libor_forward_model_swaption_engine_hpp
#include <ql/instruments/swaption.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/legacy/libormarketmodels/liborforwardmodel.hpp>
namespace QuantLib {
//! %Libor forward model swaption engine based on Black formula
/*! \ingroup swaptionengines */
class LfmSwaptionEngine : public GenericModelEngine<LiborForwardModel,
Swaption::arguments,
Swaption::results> {
public:
LfmSwaptionEngine(const boost::shared_ptr<LiborForwardModel>& model,
const Handle<YieldTermStructure>& discountCurve);
void calculate() const;
private:
Handle<YieldTermStructure> discountCurve_;
};
}
#endif
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