1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2007, 2009 StatPro Italia srl
5 Copyright (C) 2011 Ferdinando Ametrano
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/*! \file discountingswapengine.hpp
22 \brief discounting swap engine
23*/
24
25#ifndef quantlib_discounting_swap_engine_hpp
26#define quantlib_discounting_swap_engine_hpp
27
28#include <ql/instruments/swap.hpp>
29#include <ql/termstructures/yieldtermstructure.hpp>
30#include <ql/handle.hpp>
31#include <ql/optional.hpp>
32
33namespace QuantLib {
34
35 class DiscountingSwapEngine : public Swap::engine {
36 public:
37 DiscountingSwapEngine(
38 Handle<YieldTermStructure> discountCurve = Handle<YieldTermStructure>(),
39 const ext::optional<bool>& includeSettlementDateFlows = ext::nullopt,
40 Date settlementDate = Date(),
41 Date npvDate = Date());
42 void calculate() const override;
43 Handle<YieldTermStructure> discountCurve() const {
44 return discountCurve_;
45 }
46 private:
47 Handle<YieldTermStructure> discountCurve_;
48 ext::optional<bool> includeSettlementDateFlows_;
49 Date settlementDate_, npvDate_;
50 };
51
52}
53
54#endif
55

source code of quantlib/ql/pricingengines/swap/discountingswapengine.hpp