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/*
Copyright (C) 2003, 2004, 2005, 2006, 2007, 2008, 2009 StatPro Italia srl
Copyright (C) 2018 Klaus Spanderen
Copyright (C) 2018, 2019 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_swing_options_i
#define quantlib_swing_options_i
%include options.i
%{
using QuantLib::VanillaSwingOption;
%}
%shared_ptr(VanillaSwingOption)
class VanillaSwingOption : public OneAssetOption {
public:
VanillaSwingOption(
const ext::shared_ptr<Payoff>& payoff,
const ext::shared_ptr<SwingExercise>& ex,
Size minExerciseRights, Size maxExerciseRights);
};
%{
using QuantLib::FdSimpleBSSwingEngine;
using QuantLib::FdSimpleExtOUJumpSwingEngine;
%}
%shared_ptr(FdSimpleBSSwingEngine)
class FdSimpleBSSwingEngine : public PricingEngine {
public:
FdSimpleBSSwingEngine(
const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,
Size tGrid = 50, Size xGrid = 100,
const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Douglas());
};
%shared_ptr(FdSimpleExtOUJumpSwingEngine)
class FdSimpleExtOUJumpSwingEngine : public PricingEngine {
public:
%extend {
FdSimpleExtOUJumpSwingEngine(
const ext::shared_ptr<ExtOUWithJumpsProcess>& process,
const ext::shared_ptr<YieldTermStructure>& rTS,
Size tGrid = 50, Size xGrid = 200, Size yGrid=50,
const std::vector<std::pair<Time,Real> >& shape =
std::vector<std::pair<Time,Real> >(),
const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer()) {
ext::shared_ptr<FdSimpleExtOUJumpSwingEngine::Shape> curve(
new FdSimpleExtOUJumpSwingEngine::Shape(shape));
return new FdSimpleExtOUJumpSwingEngine(
process, rTS, tGrid, xGrid, yGrid,
curve, schemeDesc);
}
}
};
#endif
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