1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
|
/*
Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008, 2009 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
<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_lookback_options_i
#define quantlib_lookback_options_i
%include options.i
%{
using QuantLib::ContinuousFloatingLookbackOption;
using QuantLib::ContinuousFixedLookbackOption;
using QuantLib::ContinuousPartialFloatingLookbackOption;
using QuantLib::ContinuousPartialFixedLookbackOption;
%}
%shared_ptr(ContinuousFloatingLookbackOption)
class ContinuousFloatingLookbackOption : public OneAssetOption {
public:
ContinuousFloatingLookbackOption(
Real currentMinmax,
const ext::shared_ptr<TypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise);
};
%shared_ptr(ContinuousFixedLookbackOption)
class ContinuousFixedLookbackOption : public OneAssetOption {
public:
ContinuousFixedLookbackOption(
Real currentMinmax,
const ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise);
};
%shared_ptr(ContinuousPartialFloatingLookbackOption)
class ContinuousPartialFloatingLookbackOption : public ContinuousFloatingLookbackOption {
public:
ContinuousPartialFloatingLookbackOption(
Real currentMinmax,
Real lambda,
Date lookbackPeriodEnd,
const ext::shared_ptr<TypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise);
};
%shared_ptr(ContinuousPartialFixedLookbackOption)
class ContinuousPartialFixedLookbackOption : public ContinuousFixedLookbackOption {
public:
ContinuousPartialFixedLookbackOption(
Date lookbackPeriodStart,
const ext::shared_ptr<StrikedTypePayoff>& payoff,
const ext::shared_ptr<Exercise>& exercise);
};
%{
using QuantLib::AnalyticContinuousFloatingLookbackEngine;
using QuantLib::AnalyticContinuousFixedLookbackEngine;
using QuantLib::AnalyticContinuousPartialFloatingLookbackEngine;
using QuantLib::AnalyticContinuousPartialFixedLookbackEngine;
%}
%shared_ptr(AnalyticContinuousFloatingLookbackEngine)
class AnalyticContinuousFloatingLookbackEngine : public PricingEngine {
public:
AnalyticContinuousFloatingLookbackEngine(
const ext::shared_ptr<GeneralizedBlackScholesProcess>& process);
};
%shared_ptr(AnalyticContinuousFixedLookbackEngine)
class AnalyticContinuousFixedLookbackEngine : public PricingEngine {
public:
AnalyticContinuousFixedLookbackEngine(
const ext::shared_ptr<GeneralizedBlackScholesProcess>& process);
};
%shared_ptr(AnalyticContinuousPartialFloatingLookbackEngine)
class AnalyticContinuousPartialFloatingLookbackEngine : public PricingEngine {
public:
AnalyticContinuousPartialFloatingLookbackEngine(
const ext::shared_ptr<GeneralizedBlackScholesProcess>& process);
};
%shared_ptr(AnalyticContinuousPartialFixedLookbackEngine)
class AnalyticContinuousPartialFixedLookbackEngine : public PricingEngine {
public:
AnalyticContinuousPartialFixedLookbackEngine(
const ext::shared_ptr<GeneralizedBlackScholesProcess>& process);
};
#endif
|
