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/*
Copyright (C) 2000, 2001, 2002 RiskMap srl
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 ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
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.
*/
// $Id: BlackInstruments.i,v 1.2 2002/03/14 14:08:35 lballabio Exp $
#ifndef quantlib_black_instruments_i
#define quantlib_black_instruments_i
%include Instruments.i
%include Options.i
%include MarketElements.i
%include TermStructures.i
%include Exercise.i
%include Swap.i
%include CashFlows.i
%include Observer.i
%{
using QuantLib::Handle;
using QuantLib::Instruments::Swaption;
using QuantLib::Instruments::VanillaCap;
using QuantLib::Instruments::VanillaFloor;
using QuantLib::Instruments::VanillaCollar;
typedef Handle<Swaption> SwaptionHandle;
typedef Handle<VanillaCap> VanillaCapHandle;
typedef Handle<VanillaFloor> VanillaFloorHandle;
typedef Handle<VanillaCollar> VanillaCollarHandle;
%}
%name(Swaption) class SwaptionHandle : public InstrumentHandle {
public:
~Swaption();
};
%addmethods SwaptionHandle {
SwaptionHandle(const SimpleSwapHandle& swap,
const Exercise& exercise,
const TermStructureRelinkableHandle& termStructure,
const OptionEngineHandle& engine) {
return new SwaptionHandle(new Swaption(swap,exercise,
termStructure,engine));
}
}
%name(Cap) class VanillaCapHandle : public InstrumentHandle {
public:
~VanillaCapHandle();
};
%addmethods VanillaCapHandle {
VanillaCapHandle(const FloatingRateCouponVector& leg,
const DoubleVector& capRates,
const TermStructureRelinkableHandle& termStructure,
const OptionEngineHandle& engine) {
return new VanillaCapHandle(
new VanillaCap(leg,capRates,
termStructure,engine));
}
}
%name(Floor) class VanillaFloorHandle : public InstrumentHandle {
public:
~VanillaFloorHandle();
};
%addmethods VanillaFloorHandle {
VanillaFloorHandle(const FloatingRateCouponVector& leg,
const DoubleVector& floorRates,
const TermStructureRelinkableHandle& termStructure,
const OptionEngineHandle& engine) {
return new VanillaFloorHandle(
new VanillaFloor(leg,floorRates,
termStructure,engine));
}
}
%name(Collar) class VanillaCollarHandle : public InstrumentHandle {
public:
~VanillaCollarHandle();
};
%addmethods VanillaCollarHandle {
VanillaCollarHandle(const FloatingRateCouponVector& leg,
const DoubleVector& capRates,
const DoubleVector& floorRates,
const TermStructureRelinkableHandle& termStructure,
const OptionEngineHandle& engine) {
return new VanillaCollarHandle(
new VanillaCollar(leg,capRates,floorRates,
termStructure,engine));
}
}
%{
using QuantLib::InterestRateModelling::BlackModel;
typedef Handle<BlackModel> BlackModelHandle;
%}
%name(BlackModel) class BlackModelHandle : public ObservableHandle {
public:
~BlackModelHandle();
};
%addmethods BlackModelHandle {
BlackModelHandle(const MarketElementRelinkableHandle& volatility,
const TermStructureRelinkableHandle& termStructure) {
return new BlackModelHandle(new BlackModel(volatility,termStructure));
}
}
%{
using QuantLib::Pricers::BlackSwaption;
using QuantLib::Pricers::BlackCapFloor;
typedef Handle<BlackSwaption> BlackSwaptionHandle;
typedef Handle<BlackCapFloor> BlackCapFloorHandle;
%}
%name(BlackSwaptionEngine) class BlackSwaptionHandle
: public OptionEngineHandle {
public:
~BlackSwaptionHandle();
};
%addmethods BlackSwaptionHandle {
BlackSwaptionHandle(const BlackModelHandle& model) {
return new BlackSwaptionHandle(new BlackSwaption(model));
}
}
%name(BlackCapFloorEngine) class BlackCapFloorHandle
: public OptionEngineHandle {
public:
~BlackCapFloorHandle();
};
%addmethods BlackCapFloorHandle {
BlackCapFloorHandle(const BlackModelHandle& model) {
return new BlackCapFloorHandle(new BlackCapFloor(model));
}
}
#endif
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