/usr/include/ql/pricingengines/swaption/jamshidianswaptionengine.hpp is in libquantlib0-dev 1.1-2build1.
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/*
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
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 jamshidianswaptionengine.hpp
\brief Swaption engine using Jamshidian's decomposition
*/
#ifndef quantlib_pricers_jamshidian_swaption_hpp
#define quantlib_pricers_jamshidian_swaption_hpp
#include <ql/instruments/swaption.hpp>
#include <ql/models/shortrate/onefactormodel.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
namespace QuantLib {
//! Jamshidian swaption engine
/*! \ingroup swaptionengines
\warning The engine assumes that the exercise date equals the
start date of the passed swap.
*/
class JamshidianSwaptionEngine
: public GenericModelEngine<OneFactorAffineModel,
Swaption::arguments,
Swaption::results > {
public:
/*! \note the term structure is only needed when the short-rate
model cannot provide one itself.
*/
JamshidianSwaptionEngine(
const boost::shared_ptr<OneFactorAffineModel>& model,
const Handle<YieldTermStructure>& termStructure =
Handle<YieldTermStructure>())
: GenericModelEngine<OneFactorAffineModel,
Swaption::arguments,
Swaption::results>(model),
termStructure_(termStructure) {
registerWith(termStructure_);
}
void calculate() const;
private:
Handle<YieldTermStructure> termStructure_;
class rStarFinder;
friend class rStarFinder;
};
}
#endif
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