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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2013, 2018 Peter Caspers
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
<https://www.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 floatfloatswaption.hpp
\brief floatfloatswaption class
*/
#ifndef quantlib_instruments_floatfloatswaption_hpp
#define quantlib_instruments_floatfloatswaption_hpp
#include <ql/instruments/swaption.hpp>
#include <ql/instruments/floatfloatswap.hpp>
#include <ql/pricingengines/swaption/basketgeneratingengine.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
#include <ql/models/calibrationhelper.hpp>
namespace QuantLib {
//! floatfloat swaption class
/*! \ingroup instruments
*/
class FloatFloatSwaption : public Option {
public:
class arguments;
class engine;
FloatFloatSwaption(ext::shared_ptr<FloatFloatSwap> swap,
const ext::shared_ptr<Exercise>& exercise,
Settlement::Type delivery = Settlement::Physical,
Settlement::Method settlementMethod = Settlement::PhysicalOTC);
//! \name Instrument interface
//@{
bool isExpired() const override;
void setupArguments(PricingEngine::arguments*) const override;
//@}
//! \name Inspectors
//@{
Settlement::Type settlementType() const { return settlementType_; }
Settlement::Method settlementMethod() const {
return settlementMethod_;
}
Swap::Type type() const { return swap_->type(); }
const ext::shared_ptr<FloatFloatSwap> &underlyingSwap() const {
return swap_;
}
//@}
std::vector<ext::shared_ptr<BlackCalibrationHelper>>
calibrationBasket(const ext::shared_ptr<SwapIndex>& standardSwapBase,
const ext::shared_ptr<SwaptionVolatilityStructure>& swaptionVolatility,
BasketGeneratingEngine::CalibrationBasketType basketType =
BasketGeneratingEngine::MaturityStrikeByDeltaGamma) const;
private:
// arguments
ext::shared_ptr<FloatFloatSwap> swap_;
Settlement::Type settlementType_;
Settlement::Method settlementMethod_;
};
//! %Arguments for cms swaption calculation
class FloatFloatSwaption::arguments : public FloatFloatSwap::arguments,
public Option::arguments {
public:
arguments() = default;
ext::shared_ptr<FloatFloatSwap> swap;
Settlement::Type settlementType;
Settlement::Method settlementMethod;
void validate() const override;
};
//! base class for cms swaption engines
class FloatFloatSwaption::engine
: public GenericEngine<FloatFloatSwaption::arguments,
FloatFloatSwaption::results> {};
}
#endif
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