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/*
Copyright (C) 2004, 2005, 2007 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/license.shtml>.
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>;
IsObservable(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::GeneralizedBlackScholesProcess;
typedef boost::shared_ptr<StochasticProcess> GeneralizedBlackScholesProcessPtr;
%}
%rename(GeneralizedBlackScholesProcess) GeneralizedBlackScholesProcessPtr;
class GeneralizedBlackScholesProcessPtr : public StochasticProcess1DPtr {
public:
%extend {
GeneralizedBlackScholesProcessPtr(
const Handle<Quote>& s0,
const Handle<YieldTermStructure>& dividendTS,
const Handle<YieldTermStructure>& riskFreeTS,
const Handle<BlackVolTermStructure>& volTS) {
return new GeneralizedBlackScholesProcessPtr(
new GeneralizedBlackScholesProcess(s0, dividendTS,
riskFreeTS, volTS));
}
}
};
%{
using QuantLib::BlackScholesProcess;
typedef boost::shared_ptr<StochasticProcess> BlackScholesProcessPtr;
%}
%rename(BlackScholesProcess) BlackScholesProcessPtr;
class BlackScholesProcessPtr : public GeneralizedBlackScholesProcessPtr {
public:
%extend {
BlackScholesProcessPtr(const Handle<Quote>& s0,
const Handle<YieldTermStructure>& riskFreeTS,
const Handle<BlackVolTermStructure>& volTS) {
return new BlackScholesProcessPtr(
new BlackScholesProcess(s0, riskFreeTS, volTS));
}
}
};
%{
using QuantLib::BlackScholesMertonProcess;
typedef boost::shared_ptr<StochasticProcess> BlackScholesMertonProcessPtr;
%}
%rename(BlackScholesMertonProcess) BlackScholesMertonProcessPtr;
class BlackScholesMertonProcessPtr : public GeneralizedBlackScholesProcessPtr {
public:
%extend {
BlackScholesMertonProcessPtr(
const Handle<Quote>& s0,
const Handle<YieldTermStructure>& dividendTS,
const Handle<YieldTermStructure>& riskFreeTS,
const Handle<BlackVolTermStructure>& volTS) {
return new BlackScholesMertonProcessPtr(
new BlackScholesMertonProcess(s0, dividendTS,
riskFreeTS, volTS));
}
}
};
%{
using QuantLib::BlackProcess;
typedef boost::shared_ptr<StochasticProcess> BlackProcessPtr;
%}
%rename(BlackProcess) BlackProcessPtr;
class BlackProcessPtr : public GeneralizedBlackScholesProcessPtr {
public:
%extend {
BlackProcessPtr(const Handle<Quote>& s0,
const Handle<YieldTermStructure>& riskFreeTS,
const Handle<BlackVolTermStructure>& volTS) {
return new BlackProcessPtr(new BlackProcess(s0, riskFreeTS, volTS));
}
}
};
%{
using QuantLib::GarmanKohlagenProcess;
typedef boost::shared_ptr<StochasticProcess> GarmanKohlagenProcessPtr;
%}
%rename(GarmanKohlagenProcess) GarmanKohlagenProcessPtr;
class GarmanKohlagenProcessPtr : public GeneralizedBlackScholesProcessPtr {
public:
%extend {
GarmanKohlagenProcessPtr(
const Handle<Quote>& s0,
const Handle<YieldTermStructure>& foreignRiskFreeTS,
const Handle<YieldTermStructure>& domesticRiskFreeTS,
const Handle<BlackVolTermStructure>& volTS) {
return new GarmanKohlagenProcessPtr(
new GarmanKohlagenProcess(s0, foreignRiskFreeTS,
domesticRiskFreeTS, 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));
}
}
};
%{
using QuantLib::StochasticProcessArray;
typedef boost::shared_ptr<StochasticProcess> StochasticProcessArrayPtr;
%}
%rename(StochasticProcessArray) StochasticProcessArrayPtr;
class StochasticProcessArrayPtr : public boost::shared_ptr<StochasticProcess> {
public:
%extend {
StochasticProcessArrayPtr(
const std::vector<boost::shared_ptr<StochasticProcess> >&array,
const Matrix &correlation) {
std::vector<boost::shared_ptr<StochasticProcess1D> > in_array;
for (Size j=0; j < array.size(); j++)
in_array.push_back(
boost::dynamic_pointer_cast<StochasticProcess1D>(array[j]));
return new StochasticProcessArrayPtr(
new StochasticProcessArray(in_array, correlation));
}
}
};
// allow use of diffusion process vectors
#if defined(SWIGCSHARP)
SWIG_STD_VECTOR_SPECIALIZE( StochasticProcess, boost::shared_ptr<StochasticProcess> )
#endif
%template(StochasticProcessVector)
std::vector<boost::shared_ptr<StochasticProcess> >;
typedef std::vector<boost::shared_ptr<StochasticProcess> >
StochasticProcessVector;
#endif
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