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

/*

 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb

 Copyright (C) 2013 Peter Caspers

 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.

*/

/*! \file gaussian1djamshidianswaptionengine.hpp

    \brief Swaption engine using Jamshidian's decomposition

*/

#ifndef quantlib_pricers_gaussian1d_jamshidian_swaption_hpp

#define quantlib_pricers_gaussian1d_jamshidian_swaption_hpp

#include <ql/instruments/swaption.hpp>

#include <ql/models/shortrate/onefactormodels/gsr.hpp>

#include <ql/pricingengines/genericmodelengine.hpp>

namespace QuantLib {

    //! Jamshidian swaption engine

    /*! \ingroup swaptionengines

    */

    class Gaussian1dJamshidianSwaptionEngine

        : public GenericModelEngine<Gaussian1dModel, Swaption::arguments,

                                    Swaption::results> {

      public:

        /*! \note the term structure is only needed when the short-rate

                  model cannot provide one itself.

        */

        Gaussian1dJamshidianSwaptionEngine(

            const ext::shared_ptr<Gaussian1dModel> &model)

            : GenericModelEngine<Gaussian1dModel, Swaption::arguments,

                                 Swaption::results>(model) {}

        void calculate() const override;

      private:

        class rStarFinder;

    };

}

#endif