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

/*
 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb

 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 caphelper.hpp
    \brief CapHelper calibration helper
*/

#ifndef quantlib_cap_calibration_helper_hpp
#define quantlib_cap_calibration_helper_hpp

#include <ql/models/calibrationhelper.hpp>
#include <ql/instruments/capfloor.hpp>
#include <ql/indexes/iborindex.hpp>

namespace QuantLib {

    //! calibration helper for ATM cap
    class CapHelper : public CalibrationHelper {
      public:
        CapHelper(const Period& length,
                  const Handle<Quote>& volatility,
                  const boost::shared_ptr<IborIndex>& index,
                  // data for ATM swap-rate calculation
                  Frequency fixedLegFrequency,
                  const DayCounter& fixedLegDayCounter,
                  bool includeFirstSwaplet,
                  const Handle<YieldTermStructure>& termStructure,
                  bool calibrateVolatility = false);

        virtual void addTimesTo(std::list<Time>& times) const;

        virtual Real modelValue() const;

        virtual Real blackPrice(Volatility volatility) const;

      private:
        boost::shared_ptr<Cap> cap_;
    };

}


#endif
