1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2008 Roland Lichters
5 Copyright (C) 2009, 2014 Jose Aparicio
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21
22#ifndef quantlib_integral_cdo_engine_hpp
23#define quantlib_integral_cdo_engine_hpp
24
25#include <ql/qldefines.hpp>
26
27#ifndef QL_PATCH_SOLARIS
28
29#include <ql/experimental/credit/syntheticcdo.hpp>
30# include <utility>
31
32namespace QuantLib {
33
34 class YieldTermStructure;
35
36 class IntegralCDOEngine : public SyntheticCDO::engine {
37 public:
38 explicit IntegralCDOEngine(Handle<YieldTermStructure> discountCurve,
39 Period stepSize = 3 * Months)
40 : stepSize_(stepSize), discountCurve_(std::move(discountCurve)) {}
41 void calculate() const override;
42
43 protected:
44 Period stepSize_;
45 Handle<YieldTermStructure> discountCurve_;
46 };
47
48}
49
50#endif
51
52#endif
53

source code of quantlib/ql/experimental/credit/integralcdoengine.hpp