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/*
Copyright (C) 2006, 2007 StatPro Italia srl
Copyright (C) 2018 Matthias Lungwitz
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
<https://www.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_convertible_bonds_i
#define quantlib_convertible_bonds_i
%include bonds.i
%include dividends.i
%include options.i
%{
using QuantLib::ConvertibleZeroCouponBond;
using QuantLib::ConvertibleFixedCouponBond;
using QuantLib::ConvertibleFloatingRateBond;
using QuantLib::BinomialConvertibleEngine;
%}
%shared_ptr(ConvertibleZeroCouponBond)
class ConvertibleZeroCouponBond : public Bond {
public:
ConvertibleZeroCouponBond(
const ext::shared_ptr<Exercise>& exercise,
Real conversionRatio,
const std::vector<ext::shared_ptr<Callability> >& callability,
const Date& issueDate,
Integer settlementDays,
const DayCounter& dayCounter,
const Schedule& schedule,
Real redemption = 100.0);
};
%shared_ptr(ConvertibleFixedCouponBond)
class ConvertibleFixedCouponBond : public Bond {
public:
ConvertibleFixedCouponBond(
const ext::shared_ptr<Exercise>& exercise,
Real conversionRatio,
const std::vector<ext::shared_ptr<Callability> >& callability,
const Date& issueDate,
Integer settlementDays,
const std::vector<Rate>& coupons,
const DayCounter& dayCounter,
const Schedule& schedule,
Real redemption = 100.0,
const Period& exCouponPeriod = Period(),
const Calendar& exCouponCalendar = Calendar(),
const BusinessDayConvention exCouponConvention = Unadjusted,
bool exCouponEndOfMonth = false);
};
%shared_ptr(ConvertibleFloatingRateBond)
class ConvertibleFloatingRateBond : public Bond {
public:
ConvertibleFloatingRateBond(
const ext::shared_ptr<Exercise>& exercise,
Real conversionRatio,
const std::vector<ext::shared_ptr<Callability> >& callability,
const Date& issueDate,
Integer settlementDays,
const ext::shared_ptr<IborIndex>& index,
Integer fixingDays,
const std::vector<Spread>& spreads,
const DayCounter& dayCounter,
const Schedule& schedule,
Real redemption = 100.0,
const Period& exCouponPeriod = Period(),
const Calendar& exCouponCalendar = Calendar(),
const BusinessDayConvention exCouponConvention = Unadjusted,
bool exCouponEndOfMonth = false);
};
%shared_ptr(BinomialConvertibleEngine<CoxRossRubinstein>)
%shared_ptr(BinomialConvertibleEngine<JarrowRudd>)
%shared_ptr(BinomialConvertibleEngine<AdditiveEQPBinomialTree>)
%shared_ptr(BinomialConvertibleEngine<Trigeorgis>)
%shared_ptr(BinomialConvertibleEngine<Tian>)
%shared_ptr(BinomialConvertibleEngine<LeisenReimer>)
%shared_ptr(BinomialConvertibleEngine<Joshi4>)
template <class T>
class BinomialConvertibleEngine : public PricingEngine {
public:
BinomialConvertibleEngine(ext::shared_ptr<GeneralizedBlackScholesProcess>,
Size steps,
const Handle<Quote>& creditSpread,
const std::vector<ext::shared_ptr<Dividend> >& dividends
= std::vector<ext::shared_ptr<Dividend> >());
};
%template(BinomialCRRConvertibleEngine) BinomialConvertibleEngine<CoxRossRubinstein>;
%template(BinomialJRConvertibleEngine) BinomialConvertibleEngine<JarrowRudd>;
%template(BinomialEQPConvertibleEngine) BinomialConvertibleEngine<AdditiveEQPBinomialTree>;
%template(BinomialTrigeorgisConvertibleEngine) BinomialConvertibleEngine<Trigeorgis>;
%template(BinomialTianConvertibleEngine) BinomialConvertibleEngine<Tian>;
%template(BinomialLRConvertibleEngine) BinomialConvertibleEngine<LeisenReimer>;
%template(BinomialJ4ConvertibleEngine) BinomialConvertibleEngine<Joshi4>;
#if defined(SWIGPYTHON)
%pythoncode %{
def BinomialConvertibleEngine(process, type, steps, creditSpread, dividends=[]):
type = type.lower()
if type == "crr" or type == "coxrossrubinstein":
cls = BinomialCRRConvertibleEngine
elif type == "jr" or type == "jarrowrudd":
cls = BinomialJRConvertibleEngine
elif type == "eqp":
cls = BinomialEQPConvertibleEngine
elif type == "trigeorgis":
cls = BinomialTrigeorgisConvertibleEngine
elif type == "tian":
cls = BinomialTianConvertibleEngine
elif type == "lr" or type == "leisenreimer":
cls = BinomialLRConvertibleEngine
elif type == "j4" or type == "joshi4":
cls = BinomialJ4ConvertibleEngine
else:
raise RuntimeError("unknown binomial engine type: %s" % type);
return cls(process, steps, creditSpread, dividends)
%}
#endif
#endif
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