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/*
Copyright (C) 2004, 2005 StatPro Italia 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 quantlib-dev@lists.sf.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.
*/
#ifndef quantlib_stochastic_process_i
#define quantlib_stochastic_process_i
%include marketelements.i
%include termstructures.i
%include volatilities.i
%{
using QuantLib::StochasticProcess;
%}
%ignore StochasticProcess;
class StochasticProcess {};
%template(StochasticProcess) boost::shared_ptr<StochasticProcess>;
%{
using QuantLib::StochasticProcess1D;
typedef boost::shared_ptr<StochasticProcess> StochasticProcess1DPtr;
%}
%rename(StochasticProcess1D) StochasticProcess1DPtr;
class StochasticProcess1DPtr
: public boost::shared_ptr<StochasticProcess> {
private:
StochasticProcess1DPtr();
};
%{
using QuantLib::BlackScholesProcess;
typedef boost::shared_ptr<StochasticProcess> BlackScholesProcessPtr;
%}
%rename(BlackScholesProcess) BlackScholesProcessPtr;
class BlackScholesProcessPtr : public StochasticProcess1DPtr {
public:
%extend {
BlackScholesProcessPtr(const Handle<Quote>& s0,
const Handle<YieldTermStructure>& dividendTS,
const Handle<YieldTermStructure>& riskFreeTS,
const Handle<BlackVolTermStructure>& volTS) {
return new BlackScholesProcessPtr(
new BlackScholesProcess(s0, dividendTS,
riskFreeTS, volTS));
}
}
};
%{
using QuantLib::Merton76Process;
typedef boost::shared_ptr<StochasticProcess> Merton76ProcessPtr;
%}
%rename(Merton76Process) Merton76ProcessPtr;
class Merton76ProcessPtr : public StochasticProcess1DPtr {
public:
%extend {
Merton76ProcessPtr(const Handle<Quote>& stateVariable,
const Handle<YieldTermStructure>& dividendTS,
const Handle<YieldTermStructure>& riskFreeTS,
const Handle<BlackVolTermStructure>& volTS,
const Handle<Quote>& jumpIntensity,
const Handle<Quote>& meanLogJump,
const Handle<Quote>& jumpVolatility) {
return new Merton76ProcessPtr(
new Merton76Process(stateVariable, dividendTS,
riskFreeTS, volTS,
jumpIntensity, meanLogJump,
jumpVolatility));
}
}
};
// allow use of diffusion process vectors
#if defined(SWIGCSHARP)
SWIG_STD_VECTOR_SPECIALIZE( StochasticProcess1D, StochasticProcess1DPtr )
#endif
namespace std {
%template(StochasticProcess1DVector) vector<StochasticProcess1DPtr>;
}
#endif
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