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

/*

 Copyright (C) 2014 Michael von den Driesch

 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

 <https://www.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 bacheliercapfloorengine.hpp

    \brief Bachelier-Black-formula cap/floor engine

*/

#ifndef quantlib_pricers_bachelier_capfloor_hpp

#define quantlib_pricers_bachelier_capfloor_hpp

#include <ql/instruments/capfloor.hpp>

#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>

namespace QuantLib {

    class Quote;

    //! Bachelier-Black-formula cap/floor engine

    /*! \ingroup capfloorengines */

    class BachelierCapFloorEngine : public CapFloor::engine {

      public:

        BachelierCapFloorEngine(Handle<YieldTermStructure> discountCurve,

                                Volatility vol,

                                const DayCounter& dc = Actual365Fixed());

        BachelierCapFloorEngine(Handle<YieldTermStructure> discountCurve,

                                const Handle<Quote>& vol,

                                const DayCounter& dc = Actual365Fixed());

        BachelierCapFloorEngine(Handle<YieldTermStructure> discountCurve,

                                Handle<OptionletVolatilityStructure> vol);

        void calculate() const override;

        Handle<YieldTermStructure> termStructure() { return discountCurve_; }

        Handle<OptionletVolatilityStructure> volatility() { return vol_; }

      private:

        Handle<YieldTermStructure> discountCurve_;

        Handle<OptionletVolatilityStructure> vol_;

    };

}

#endif