CLEAN
Valuation library for mortgage-backed securities
mbs_scenario_analysis.h
1 // -*-C++-*- make sure Emacs is in C++ mode
10 #ifndef INCLUDED_ANDREW_KALOTAY_ASSOCIATES_CLEAN_SCENARIO_ANALYSIS_H
11 #define INCLUDED_ANDREW_KALOTAY_ASSOCIATES_CLEAN_SCENARIO_ANALYSIS_H
12 
13 #include "andrew_kalotay_associates/clean/dll_macros.h"
14 #include "andrew_kalotay_associates/clean/structs.h"
15 
16 namespace AndrewKalotayAssociates
17 {
18  namespace Clean
19  {
20  class InterestRateModel;
21 
23  class CLEAN_API MbsScenarioAnalysis
24  {
25  public:
27  const InterestRateModel& initial,
28  InterestRateModel& final);
29 
31 
32  Output::ScenarioAnalysisReport compute(const Input::Mbs& mbs,
33  const Input::Quote& quote,
34  double reinvestment_spread);
35 
36  class Implementation;
37 
38  private:
39  // *Disable copying and assignment*
41  const MbsScenarioAnalysis& operator=(const MbsScenarioAnalysis&);
42 
43  Implementation* implementation_ptr_;
44  };
45  }
46 }
47 
48 #endif
49 
50 
Definition: interest_rate_model.h:31
Scenario analysis.
Definition: mbs_scenario_analysis.h:24
Terms of a pass-through MBS.
Definition: structs.h:209
Bond price quote.
Definition: structs.h:702