| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2008 Roland Stamm |
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| 5 | Copyright (C) 2009 Jose Aparicio |
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| 6 | |
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| 7 | This file is part of QuantLib, a free-software/open-source library |
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| 8 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 9 | |
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| 10 | QuantLib is free software: you can redistribute it and/or modify it |
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| 11 | under the terms of the QuantLib license. You should have received a |
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| 12 | copy of the license along with this program; if not, please email |
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| 13 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 14 | <http://quantlib.org/license.shtml>. |
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| 15 | |
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| 16 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 17 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 18 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 19 | */ |
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| 20 | |
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| 21 | /*! \file blackcdsoptionengine.hpp |
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| 22 | \brief Black credit default swap option engine |
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| 23 | */ |
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| 24 | |
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| 25 | #ifndef quantlib_black_cds_option_engine_hpp |
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| 26 | #define quantlib_black_cds_option_engine_hpp |
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| 27 | |
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| 28 | #include <ql/experimental/credit/cdsoption.hpp> |
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| 29 | |
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| 30 | namespace QuantLib { |
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| 31 | |
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| 32 | //! Black-formula CDS-option engine |
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| 33 | /*! \warning The engine assumes that the exercise date equals the |
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| 34 | start date of the passed CDS. |
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| 35 | */ |
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| 36 | class BlackCdsOptionEngine : public CdsOption::engine { |
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| 37 | public: |
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| 38 | BlackCdsOptionEngine(Handle<DefaultProbabilityTermStructure>, |
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| 39 | Real recoveryRate, |
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| 40 | Handle<YieldTermStructure> termStructure, |
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| 41 | Handle<Quote> vol); |
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| 42 | void calculate() const override; |
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| 43 | Handle<YieldTermStructure> termStructure(); |
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| 44 | Handle<Quote> volatility(); |
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| 45 | private: |
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| 46 | Handle<DefaultProbabilityTermStructure> probability_; |
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| 47 | Real recoveryRate_; |
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| 48 | Handle<YieldTermStructure> termStructure_; |
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| 49 | Handle<Quote> volatility_; |
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| 50 | }; |
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| 51 | |
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| 52 | } |
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| 53 | |
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| 54 | #endif |
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| 55 | |
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