capfloor.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006, 2010, 2011 Ferdinando Ametrano
 Copyright (C) 2005 Aurelien Chanudet
 
 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.
*/
 
#ifndef qla_capfloor_hpp
#define qla_capfloor_hpp
 
#include <qlo/baseinstruments.hpp>
 
#include <ql/instruments/capfloor.hpp>
 
namespace QuantLib {
    class IborIndex;
}
 
namespace QuantLibAddin {
    class Leg;
    class CapFloor : public Instrument {
      public:
        CapFloor(const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
                 QuantLib::CapFloor::Type type,
                 const QuantLib::Leg& floatingLeg,
                 const std::vector<QuantLib::Rate>& strikes,
                 bool permanent);
        // MakeCapFloor
        CapFloor(const boost::shared_ptr<ObjectHandler::ValueObject>& properties,
                 QuantLib::CapFloor::Type capFloorType,
                 const QuantLib::Period& capFloorTenor,
                 const boost::shared_ptr<QuantLib::IborIndex>& index,
                 QuantLib::Rate strike,
                 const QuantLib::Period& forwardStart,
                 const boost::shared_ptr<QuantLib::PricingEngine>& engine,
                 bool permanent);
        std::vector<std::vector<ObjectHandler::property_t> > legAnalysis(
                const QuantLib::Date& d);
    };
 
}
 
#endif