1 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ 2 3 /* 4 Copyright (C) 2013, 2018 Peter Caspers 5 6 This file is part of QuantLib, a free-software/open-source library 7 for financial quantitative analysts and developers - http://quantlib.org/ 8 9 QuantLib is free software: you can redistribute it and/or modify it 10 under the terms of the QuantLib license. You should have received a 11 copy of the license along with this program; if not, please email 12 <quantlib-dev@lists.sf.net>. The license is also available online at 13 <http://quantlib.org/license.shtml>. 14 15 This program is distributed in the hope that it will be useful, but WITHOUT 16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS 17 FOR A PARTICULAR PURPOSE. See the license for more details. 18 */ 19 20 /*! \file floatfloatswaption.hpp 21 \brief floatfloatswaption class 22 */ 23 24 #ifndef quantlib_instruments_floatfloatswaption_hpp 25 #define quantlib_instruments_floatfloatswaption_hpp 26 27 #include <ql/instruments/swaption.hpp> 28 #include <ql/instruments/floatfloatswap.hpp> 29 #include <ql/pricingengines/swaption/basketgeneratingengine.hpp> 30 #include <ql/termstructures/yieldtermstructure.hpp> 31 #include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp> 32 #include <ql/models/calibrationhelper.hpp> 33 #include <ql/utilities/disposable.hpp> 34 35 namespace QuantLib { 36 37 //! floatfloat swaption class 38 /*! \ingroup instruments 39 */ 40 41 class FloatFloatSwaption : public Option { 42 public: 43 class arguments; 44 class engine; 45 FloatFloatSwaption( 46 const ext::shared_ptr<FloatFloatSwap>& swap, 47 const ext::shared_ptr<Exercise>& exercise, 48 Settlement::Type delivery = Settlement::Physical, 49 Settlement::Method settlementMethod = Settlement::PhysicalOTC); 50 //! \name Instrument interface 51 //@{ 52 bool isExpired() const; 53 void setupArguments(PricingEngine::arguments *) const; 54 //@} 55 //! \name Inspectors 56 //@{ settlementType() const57 Settlement::Type settlementType() const { return settlementType_; } settlementMethod() const58 Settlement::Method settlementMethod() const { 59 return settlementMethod_; 60 } type() const61 VanillaSwap::Type type() const { return swap_->type(); } underlyingSwap() const62 const ext::shared_ptr<FloatFloatSwap> &underlyingSwap() const { 63 return swap_; 64 } 65 //@} 66 Disposable<std::vector<ext::shared_ptr<BlackCalibrationHelper> > > 67 calibrationBasket(const ext::shared_ptr<SwapIndex>& standardSwapBase, 68 const ext::shared_ptr<SwaptionVolatilityStructure>& swaptionVolatility, 69 BasketGeneratingEngine::CalibrationBasketType basketType = 70 BasketGeneratingEngine::MaturityStrikeByDeltaGamma) const; 71 72 private: 73 // arguments 74 ext::shared_ptr<FloatFloatSwap> swap_; 75 Settlement::Type settlementType_; 76 Settlement::Method settlementMethod_; 77 }; 78 79 //! %Arguments for cms swaption calculation 80 class FloatFloatSwaption::arguments : public FloatFloatSwap::arguments, 81 public Option::arguments { 82 public: arguments()83 arguments() {} 84 ext::shared_ptr<FloatFloatSwap> swap; 85 Settlement::Type settlementType; 86 Settlement::Method settlementMethod; 87 void validate() const; 88 }; 89 90 //! base class for cms swaption engines 91 class FloatFloatSwaption::engine 92 : public GenericEngine<FloatFloatSwaption::arguments, 93 FloatFloatSwaption::results> {}; 94 } 95 96 #endif 97