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discretizedswaption.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
 Copyright (C) 2004 StatPro Italia srl

 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/reference/license.html>.

 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 discretizedswaption.hpp
    \brief Discretized swaption class
*/

#ifndef quantlib_pricers_swaption_pricer_hpp
#define quantlib_pricers_swaption_pricer_hpp

#include <ql/Instruments/swaption.hpp>
#include <ql/discretizedasset.hpp>

namespace QuantLib {

    class DiscretizedSwap : public DiscretizedAsset {
      public:
        DiscretizedSwap(const SimpleSwap::arguments&);
        void reset(Size size);
        std::vector<Time> mandatoryTimes() const;
      protected:
        void preAdjustValuesImpl();
        void postAdjustValuesImpl();
      private:
        SimpleSwap::arguments arguments_;
    };

    class DiscretizedSwaption : public DiscretizedOption {
      public:
        DiscretizedSwaption(const Swaption::arguments&);
        void reset(Size size);
      private:
        Swaption::arguments arguments_;
    };

}


#endif


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