00001 #pragma once 00002 00003 #include "./CashFlow.h" 00004 00005 static const ShortNatural MAX_LETTERS=30; 00006 static const Real defaultprecisionInPrice=1.; 00007 00008 class VanillaSwap 00009 { 00010 public: 00012 VanillaSwap(CashFlow cashflowReceived1, CashFlow cashflowPaid2, char* name1, char* name2,yieldCurve* curve); 00013 ~VanillaSwap(void); 00014 00016 Real getFairValue1(); 00017 00019 Real getFairValue2(); 00020 00022 Real returnPrice(); 00023 00025 Real getRho(); 00026 00028 Real getTheta(); 00029 00030 private: 00031 yieldCurve* _curve; 00032 CashFlow _leg1; 00033 CashFlow _leg2; 00034 char* _name1; 00035 char* _name2; 00036 };