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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2008 Roland Lichters
Copyright (C) 2009, 2014 Jose Aparicio
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.
*/
#ifndef quantlib_integral_cdo_engine_hpp
#define quantlib_integral_cdo_engine_hpp
#include <ql/qldefines.hpp>
#ifndef QL_PATCH_SOLARIS
#include <ql/experimental/credit/syntheticcdo.hpp>
namespace QuantLib {
class YieldTermStructure;
class IntegralCDOEngine : public SyntheticCDO::engine {
public:
explicit IntegralCDOEngine(const Handle<YieldTermStructure>& discountCurve,
Period stepSize = 3*Months)
: stepSize_(stepSize), discountCurve_(discountCurve) {}
void calculate() const;
protected:
Period stepSize_;
Handle<YieldTermStructure> discountCurve_;
};
}
#endif
#endif
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