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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: FdPricers.i,v 1.7 2002/01/16 14:50:51 nando Exp $
#ifndef quantlib_fd_pricers_i
#define quantlib_fd_pricers_i
%include Date.i
%include Options.i
%include Types.i
%include Vectors.i
%{
using QuantLib::Pricers::FdAmericanOption;
using QuantLib::Pricers::FdBermudanOption;
using QuantLib::Pricers::FdDividendAmericanOption;
using QuantLib::Pricers::FdDividendEuropeanOption;
using QuantLib::Pricers::FdDividendShoutOption;
using QuantLib::Pricers::FdEuropean;
using QuantLib::Pricers::FdShoutOption;
%}
class FdEuropean {
public:
FdEuropean(OptionType type, double underlying,
double strike, Spread dividendYield, Rate riskFreeRate,
Time residualTime, double volatility, int timeSteps = 200,
int gridPoints = 800);
~FdEuropean();
double value() const;
double delta() const;
double gamma() const;
double theta() const;
double vega() const;
double rho() const;
double dividendRho() const;
Array getGrid() const;
Array getPrices() const;
double impliedVolatility(double targetValue, double accuracy = 1e-4,
int maxEvaluations = 100) const ;
};
class FdAmericanOption {
public:
FdAmericanOption(OptionType type, double underlying, double strike,
Spread dividendYield, Rate riskFreeRate, Time residualTime,
double volatility, int timeSteps = 100, int gridPoints = 100);
~FdAmericanOption();
double value() const;
double delta() const;
double gamma() const;
double theta() const;
double vega() const;
double rho() const;
double dividendRho() const;
double impliedVolatility(double targetValue, double accuracy = 1e-4,
int maxEvaluations = 100) const ;
};
class FdShoutOption {
public:
FdShoutOption(OptionType type, double underlying, double strike,
Spread dividendYield, Rate riskFreeRate, Time residualTime,
double volatility, int timeSteps = 100, int gridPoints = 100);
~FdShoutOption();
double value() const;
double delta() const;
double gamma() const;
double theta() const;
double vega() const;
double rho() const;
double dividendRho() const;
double impliedVolatility(double targetValue, double accuracy = 1e-4,
int maxEvaluations = 100) const ;
};
class FdBermudanOption{
public:
FdBermudanOption(OptionType type, double underlying, double strike,
Spread dividendYield, Rate riskFreeRate, Time residualTime,
double volatility, const DoubleVector &dates,
int timeSteps = 100, int gridPoints = 100);
~FdBermudanOption();
double value() const;
double delta() const;
double gamma() const;
double theta() const;
double vega() const;
double rho() const;
double dividendRho() const;
double impliedVolatility(double targetValue, double accuracy = 1e-4,
int maxEvaluations = 100) const ;
};
class FdDividendShoutOption{
public:
FdDividendShoutOption(OptionType type, double underlying, double strike,
Spread dividendYield, Rate riskFreeRate, Time residualTime,
double volatility,
const DoubleVector ÷nds,
const DoubleVector &exdivdates,
int timeSteps = 100, int gridPoints = 100);
~FdDividendShoutOption();
double value() const;
double delta() const;
double gamma() const;
double theta() const;
double vega() const;
double rho() const;
double dividendRho() const;
double controlVariateCorrection() const;
double impliedVolatility(double targetValue, double accuracy = 1e-4,
int maxEvaluations = 100) const ;
};
class FdDividendAmericanOption {
public:
FdDividendAmericanOption(OptionType type, double underlying, double strike,
Spread dividendYield, Rate riskFreeRate, Time residualTime,
double volatility,
const DoubleVector ÷nds,
const DoubleVector &exdivdates,
int timeSteps = 100, int gridPoints = 100);
~FdDividendAmericanOption();
double value() const;
double delta() const;
double gamma() const;
double theta() const;
double vega() const;
double rho() const;
double dividendRho() const;
double controlVariateCorrection() const;
double impliedVolatility(double targetValue, double accuracy = 1e-4,
int maxEvaluations = 100) const ;
};
class FdDividendEuropeanOption {
public:
FdDividendEuropeanOption(OptionType type, double underlying, double strike,
Spread dividendYield, Rate riskFreeRate, Time residualTime,
double volatility,
const DoubleVector ÷nds,
const DoubleVector &exdivdates);
~FdDividendEuropeanOption();
double value() const;
double delta() const;
double gamma() const;
double theta() const;
double vega() const;
double rho() const;
double dividendRho() const;
double impliedVolatility(double targetValue, double accuracy = 1e-4,
int maxEvaluations = 100) const ;
};
#endif
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