rq_fpml_swaption.h

风险财务控制库 Risk Quantify is an open source financial library, with a focus on managing the risk of fi

/*
** rq_fpml_swaption.h
**
** Written by Brett Hutley - [e-mail]
**
** Copyright (C) 2002 Brett Hutley
**
** This file is part of the Risk Quantify Library
**
** Risk Quantify is free software; you can redistribute it and/or
** modify it under the terms of the GNU Library General Public
** License as published by the Free Software Foundation; either
** version 2 of the License, or (at your option) any later version.
**
** Risk Quantify 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 GNU
** Library General Public License for more details.
**
** You should have received a copy of the GNU Library General Public
** License along with Risk Quantify; if not, write to the Free
** Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA  02111-1307  USA
*/
#ifndef rq_fpml_swaption_h
#define rq_fpml_swaption_h

/* -- includes ----------------------------------------------------- */
#include "rq_config.h"
#include "fpml/rq_fpml_swap.h"
#include "fpml/rq_fpml_swaption_adjusted_dates.h"
#include "fpml/rq_fpml_cash_settlement.h"
#include "fpml/rq_fpml_exercise_procedure.h"
#include "fpml/rq_fpml_american_exercise.h"
#include "fpml/rq_fpml_bermudan_exercise.h"
#include "fpml/rq_fpml_european_exercise.h"
#include "fpml/rq_fpml_payment.h"
#include "rq_stream.h"

/* -- structures --------------------------------------------------- */
struct rq_fpml_swaption {
	const char * product_type;
	const char * product_id;
	const char * buyer_party_reference;
	const char * seller_party_reference;
	struct rq_fpml_payment premium;
	struct rq_fpml_european_exercise *european_exercise;
	struct rq_fpml_bermudan_exercise *bermudan_exercise;
	struct rq_fpml_american_exercise *american_exercise;
	struct rq_fpml_exercise_procedure exercise_procedure;
	const char * calculation_agent_party_reference;
	struct rq_fpml_cash_settlement cash_settlement;
	short swaption_straddle;
	struct rq_fpml_swaption_adjusted_dates swaption_adjusted_dates;
	struct rq_fpml_swap swap;
};

void rq_fpml_swaption_init(struct rq_fpml_swaption *p);
void rq_fpml_swaption_clear(struct rq_fpml_swaption *p);
int rq_fpml_swaption_write_xml(struct rq_fpml_swaption *p, rq_stream_t output_stream);

#endif