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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: Options.i,v 1.6 2002/01/16 14:51:31 nando Exp $
#ifndef quantlib_options_i
#define quantlib_options_i
%include Instruments.i
%include MarketElements.i
%include TermStructures.i
%include Types.i
// typemap option types to corresponding strings
%{
using QuantLib::Option;
typedef Option::Type OptionType;
using QuantLib::StringFormatter;
%}
%typemap(ruby,in) OptionType (OptionType temp),
const OptionType & (OptionType temp) {
if (TYPE($source) == T_STRING) {
std::string s(STR2CSTR($source));
s = StringFormatter::toLowercase(s);
if (s == "c" || s == "call") temp = Option::Call;
else if (s == "p" || s == "put") temp = Option::Put;
else if (s == "s" || s == "straddle") temp = Option::Straddle;
else {
rb_raise(rb_eTypeError,"unknown option type");
}
} else {
rb_raise(rb_eTypeError,"not an option type");
}
$target = &temp;
};
%typemap(ruby,out) OptionType, const OptionType & {
switch (*$source) {
case Option::Call: $target = rb_str_new2("Call"); break;
case Option::Put: $target = rb_str_new2("Put"); break;
case Option::Straddle: $target = rb_str_new2("Straddle"); break;
}
};
%typemap(ruby,ret) OptionType {
delete $source;
}
// handles to pricing engines
%{
using QuantLib::OptionPricingEngine;
typedef Handle<OptionPricingEngine> OptionEngineHandle;
%}
class OptionEngineHandle {
private:
// abstract class - no constructor
OptionEngineHandle();
public:
~OptionEngineHandle();
};
// plain options and engines
%{
using QuantLib::Instruments::PlainOption;
typedef Handle<PlainOption> PlainOptionHandle;
%}
// fake inheritance
%name(PlainOption) class PlainOptionHandle : public InstrumentHandle {
public:
// constructor redefined below
~PlainOptionHandle();
};
%addmethods PlainOptionHandle {
void crash() {}
PlainOptionHandle(OptionType type,
MarketElementRelinkableHandle underlying, double strike,
TermStructureRelinkableHandle dividendYield,
TermStructureRelinkableHandle riskFreeRate,
Date exerciseDate,
MarketElementRelinkableHandle volatility,
OptionEngineHandle engine) {
return new PlainOptionHandle(new PlainOption(type,underlying,
strike,dividendYield,riskFreeRate,exerciseDate,volatility,
engine,"","option"));
}
double delta() {
return (*self)->delta();
}
double gamma() {
return (*self)->gamma();
}
double theta() {
return (*self)->theta();
}
double vega() {
return (*self)->vega();
}
double rho() {
return (*self)->rho();
}
double dividendRho() {
return (*self)->dividendRho();
}
double impliedVolatility(double targetValue, double accuracy = 1.0e-4,
size_t maxEvaluations = 100,
double minVol = 1.0e-4, double maxVol = 4.0) {
return (*self)->impliedVolatility(
targetValue,accuracy,maxEvaluations,minVol,maxVol);
}
}
%{
using QuantLib::Pricers::EuropeanEngine;
typedef Handle<EuropeanEngine> EuropeanEngineHandle;
%}
// fake inheritance
%name(EuropeanEngine) class EuropeanEngineHandle : public OptionEngineHandle {
public:
// constructor redefined below
~EuropeanEngineHandle();
};
%addmethods EuropeanEngineHandle {
void crash() {}
EuropeanEngineHandle() {
return new EuropeanEngineHandle(new EuropeanEngine);
}
}
#endif
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