text: /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
  
  /*
   Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
   Copyright (C) 2015 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 swaptionhelper.hpp
      \brief Swaption calibration helper
  */
  
  #ifndef quantlib_swaption_calibration_helper_hpp
  #define quantlib_swaption_calibration_helper_hpp
  
  #include <ql/models/calibrationhelper.hpp>
  #include <ql/instruments/swaption.hpp>
  #include <ql/termstructures/volatility/volatilitytype.hpp>
  
  namespace QuantLib {
  
      //! calibration helper for ATM swaption
  
      class SwaptionHelper : public CalibrationHelper {
        public:
          SwaptionHelper(const Period& maturity,
                         const Period& length,
                         const Handle<Quote>& volatility,
                         const boost::shared_ptr<IborIndex>& index,
                         const Period& fixedLegTenor,
                         const DayCounter& fixedLegDayCounter,
                         const DayCounter& floatingLegDayCounter,
                         const Handle<YieldTermStructure>& termStructure,
                         CalibrationHelper::CalibrationErrorType errorType
                                        = CalibrationHelper::RelativePriceError,
                         const Real strike = Null<Real>(),
                         const Real nominal = 1.0,
                         const VolatilityType type = ShiftedLognormal,
                         const Real shift = 0.0);
  
          SwaptionHelper(const Date& exerciseDate,
                         const Period& length,
                         const Handle<Quote>& volatility,
                         const boost::shared_ptr<IborIndex>& index,
                         const Period& fixedLegTenor,
                         const DayCounter& fixedLegDayCounter,
                         const DayCounter& floatingLegDayCounter,
                         const Handle<YieldTermStructure>& termStructure,
                         CalibrationHelper::CalibrationErrorType errorType
                                        = CalibrationHelper::RelativePriceError,
                         const Real strike = Null<Real>(),
                         const Real nominal = 1.0,
                         const VolatilityType type = ShiftedLognormal,
                         const Real shift = 0.0);
  
          SwaptionHelper(const Date& exerciseDate,
                         const Date& endDate,
                         const Handle<Quote>& volatility,
                         const boost::shared_ptr<IborIndex>& index,
                         const Period& fixedLegTenor,
                         const DayCounter& fixedLegDayCounter,
                         const DayCounter& floatingLegDayCounter,
                         const Handle<YieldTermStructure>& termStructure,
                         CalibrationHelper::CalibrationErrorType errorType
                                        = CalibrationHelper::RelativePriceError,
                         const Real strike = Null<Real>(),
                         const Real nominal = 1.0,
                         const VolatilityType type = ShiftedLognormal,
                         const Real shift = 0.0);
  
          virtual void addTimesTo(std::list<Time>& times) const;
          virtual Real modelValue() const;
          virtual Real blackPrice(Volatility volatility) const;
  
          boost::shared_ptr<VanillaSwap> underlyingSwap() const { calculate(); return swap_; }
          boost::shared_ptr<Swaption> swaption() const { calculate(); return swaption_; }
  
        private:
          void performCalculations() const;
          mutable Date exerciseDate_, endDate_;
          const Period maturity_, length_, fixedLegTenor_;
          const boost::shared_ptr<IborIndex> index_;
          const DayCounter fixedLegDayCounter_, floatingLegDayCounter_;
          const Real strike_, nominal_;
          mutable Rate exerciseRate_;
          mutable boost::shared_ptr<VanillaSwap> swap_;
          mutable boost::shared_ptr<Swaption> swaption_;
      };
  
  }
  
  #endif
  