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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: Pricers.i,v 1.16 2002/01/16 14:50:51 nando Exp $
#ifndef quantlib_pricers_i
#define quantlib_pricers_i
%include Date.i
%include Options.i
%include Types.i
%include Vectors.i
%include Barrier.i
%{
using QuantLib::Pricers::BarrierOption;
using QuantLib::Pricers::BinaryOption;
using QuantLib::Pricers::CliquetOption;
using QuantLib::Pricers::ContinuousGeometricAPO;
using QuantLib::Pricers::DiscreteGeometricAPO;
using QuantLib::Pricers::DiscreteGeometricASO;
using QuantLib::Pricers::EuropeanOption;
%}
class EuropeanOption {
public:
EuropeanOption(OptionType type, double underlying, double strike,
Spread dividendYield, Rate riskFreeRate, Time residualTime,
double volatility);
~EuropeanOption();
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 CliquetOption {
public:
CliquetOption(OptionType type,
double underlying,
Spread dividendYield,
Rate riskFreeRate,
const DoubleVector &dates,
double volatility);
~CliquetOption();
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 BinaryOption {
public:
BinaryOption(OptionType type, double underlying, double strike,
Spread dividendYield, Rate riskFreeRate, Time residualTime,
double volatility, double cashPayoff = 1);
~BinaryOption();
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 BarrierOption {
public:
BarrierOption(BarrierType barrType, OptionType type, double underlying,
double strike, Spread dividendYield, Rate riskFreeRate,
Time residualTime, double volatility, double barrier,
double rebate = 0.0);
~BarrierOption();
double delta() const;
double gamma() const;
double theta() const;
double vega() const;
double rho() const;
double dividendRho() const;
double value() const;
};
class ContinuousGeometricAPO {
public:
ContinuousGeometricAPO(OptionType type, double underlying,
double strike,
Spread dividendYield, Rate riskFreeRate, double residualTime,
double volatility);
~ContinuousGeometricAPO();
double value() const;
};
class DiscreteGeometricAPO {
public:
DiscreteGeometricAPO(OptionType type,
double underlying,
double strike,
Spread dividendYield,
Rate riskFreeRate,
const DoubleVector& timeDelays,
double volatility);
~DiscreteGeometricAPO();
double value() const;
};
class DiscreteGeometricASO {
public:
DiscreteGeometricASO(OptionType type,
double underlying,
Spread dividendYield,
Rate riskFreeRate,
const DoubleVector& timeDelays,
double volatility);
~DiscreteGeometricASO();
double value() const;
};
#endif
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